爱考云 - 搜题找答案神器_海量试题解析在线查

题目 The delta-normal method applied to a long call option position could be a reasonably accurate approach for calculating the VaR if the option is: 选项 A.at the money B.deep in the money [...]

题目 A portfolio manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return [...]

题目 Mixed Fund has a portfolio worth USD 12,428,000 that consists of 42% of fixed income investments and 58% of equity investments. The 95% annual VaR for the entire portfolio is USD 1,367,000 and [...]

题目 A small hedge fund is running a portfolio with a 5-day VaR of $3.1 million. Assuming normal conditions what is the best estimate for VaR over a 2-day horizon? 选项 A.$1.2 million B.$2.0 [...]

题目 A bank has calculated a Value at Risk (VaR) of $10 million on its portfolio on a 1-day 99% confidence interval. Assuming a normal distribution which of the following is true? 选项 A.The bank [...]

题目 The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR using a 10-day horizon is: 选项 A.USD 316 million if returns are not independently and identically distributed. B.USD [...]

题目 Under the Moody’s bond rating system, the threshold for non-investment grade debt is reached when a bond’s rating falls from: 选项 A.A to Baa B.Baa to Ba C.Ba to B D.Caa to D 答案 B [...]

题目 You are asked by your Chief Risk Officer to evaluate arguments he has heard to switch from VaR to conditional VaR as your firm's main risk measurement tool. Which of the following arguments is [...]

题目 The measurement error in VaR due to sampling variation should be greater with: 选项 A.More observations and a high confidence level (e.g. 99%) B.Fewer observations and a high confidence [...]

题目 Consider the following single stock portfolio: Stock ABC has a market position of $200,000 and an annualized volatility of 30%. Calculate the linear VaR with 99% confidence level for a 10 [...]