爱考云 - 搜题找答案神器_海量试题解析在线查

题目 In the presence of fat tails in the distribution of returns, VaR based on the delta-normal method would (for a linear portfolio): 选项 A.Underestimate the true VaR. B.Be the same as the true [...]

题目 A trader has an option position in crude oil with a delta of 100,000 barrels and gamma of 50,000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this [...]

题目 Value at risk (VaR) measures should be supplemented by portfolio stress testing because: 选项 A.VaR does not indicate how large the losses will be beyond the specified confidence level. [...]

题目 Consider the risk of a long call on an asset with a notional amount of $1 million. The VaR of the underlying asset is 7.8%. If the option is a short-term at-the-money option, the VaR of the [...]

题目 With regard to a bond credit rating change, which of the following statements is most correct? 选项 A.A ratings downgrade is likely to lead to a stock price decrease and a bond price [...]

题目 A large bank currently has a security portfolio with a market value of $145 million. The daily returns on the bank's portfolio are normally distributed with 80% of the distribution lying [...]

题目 Which of the following is NOT an approach to estimate the VaR? 选项 A.GARCH B.Parametric C.Simulation D.Delta-normal 答案 A 解析 GARCH is a method to predict [...]

题目 The historical simulation approach is more likely to provide an accurate estimate of the VaR than the Risk Metrics approach for a portfolio that consists of: 选项 A.a small number of [...]

题目 Which VaR methodology is least effective for measuring options risk? 选项 A.Variance\/covariance approach B.Delta\/gamma C.Historical simulation approach D.Monte Carlo approach 答案 A [...]

题目 An analyst at Bergman International Bank has been asked to explain the calculation of VaR for linear derivatives to the newly hired junior analysts. Which of the following statements best [...]