题目 Consider the following single bond position of $10 million, a modified duration of 3.6 years, an annualized yield volatility of 2%. Using the duration method and assuming that the daily return [...]
题目 Assume that portfolio daily returns are independent and identically normally distributed. Sam Neil, a new quantitative analyst, has been asked by the portfolio manager to calculate portfolio [...]
题目 Consider two portfolios. One with USD 100 million credit exposure to a single B- rated counterparty. The second with USD 100 million on credit exposure split evenly between 50 B- rated [...]
题目 A commodity-trading firm has an options portfolio with a two-day Value-at-Risk (VaR) of $2.5 million. What would be an appropriate translation of this VaR to a ten-day horizon under normal [...]
题目 Which of the following statements about stress testing are true? I. Stress testing can complement VaR estimation in helping risk managers identify crucial vulnerabilities in a portfolio. II. [...]
题目 A portfolio contains three independent bonds each with identical (i.i.d.) $100 par value, 3.0% probability of default (EDF) and loss given default (LGD) of 100%. What is, respectively, the [...]
题目 A department store chain has a B1 rating from Moody’s and a B+ rating from S&P. Its balance sheet reflects a large number of receivables from shoppers who use the chain’s private label [...]
题目 To convert VaR from a one-day holding period to a ten-day holding period the VaR number is generally multiplied by: 选项 A.2.33 B.3.16 C.7.25 D.10.00 答案 B 解析 We use the square root [...]
题目 Which of the following statements comparing VaR with expected shortfall is true? 选项 A.Expected shortfall is sub-additive while VaR is not. B.Both VaR and expected shortfall measure the [...]
