题目 Which of the following methodologies is least effective for estimating the VaR due to embedded options? 选项 A.Delta gamma B.Variance covariance C.Historical simulation D.Monte Carlo [...]
题目 John Flag, the manager of a USD 150 million distressed bond portfolio, conducts stress tests on the portfolio. The portfolio’s annualized return is 12%, with an annualized return volatility [...]
题目 A financial institution created a model to measure interest rate volatility. The historical distribution of interest rate volatility did not appear to be normally distributed due to the [...]
题目 Consider the following levels of sophistication in Risk Management Models and Procedures: I. Mark to Market Analysis II. Stress/Scenario Analysis III. Simulation Value at Risk IV. Parametric [...]
题目 Bank A and Bank B are two competing investment banks that are calculating the 1-day 99% VaR for an at-the-money call on a non-dividend-paying stock with the following information: Current [...]
题目 Analyst Sue observes that equity returns exhibit leptokurtosis but are symmetrical; i.e., skew is zero. Her value at risk (VaR) model assumes returns are normal. Which of the following errors [...]
题目 An at-the money European call on the DJ EURO STOXX 50 index a strike of 2200 and maturing in 1 year is trading at EUR 350, where contract value is determined by EUR 10 per index point. The [...]
题目 You have been asked to estimate the VaR of an investment in Big Pharma Inc. The company’s stock is trading at USD 23 and the stock has a daily volatility of 1.5%. Using the delta-normal [...]
题目 Bank Omega's foreign currency trading desk is composed of 2 dealers: dealer A, who holds a long position of 10 million CHF against the USD, and dealer B, who holds a long position of 10 [...]
题目 Consider a stock portfolio consisting of two stocks with normally distributed returns. The joint distribution of daily returns is constant over time and there is no serial correlation. Stock [...]
