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题目 It is often possible to estimate the Value at Risk of a vanilla European options portfolio by using a delta-gamma methodology rather than exact valuation formulas because: 选项 A.Delta and [...]
题目 Fat-tailed asset return distributions are most likely the result of time-varying: 选项 A.Volatility for the unconditional distribution B.Means for the unconditional distribution C.Volatility [...]
题目 What is the appropriate interpretation of a 10 million overnight VaR figure, given a 95% confidence interval? 选项 A.The bank can be expected to incur a minimum loss of 10 million in 5 out [...]
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 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 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 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 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 [...]
题目 Consider the following about a European call option with one year maturity and strike price of $100.00 while the stock's volatility is 30.0% per annum and the risk-free rate is 2.0%: When the [...]