爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Which of the following is a disadvantage of the historical simulation method over the Risk Metrics model? The historical method requires: I. A worst-case scenario as an input. II. The future [...]

题目 A single stock has a price of USD 10 and a current daily volatility of 2%. Using the delta-normal method, the VaR at the 95% confidence level of a long at-the-money call on this stock over a [...]

题目 A risk manager would like to measure VaR for a bond. He notices that the bond has a puttable feature. What effect on the VaR will this puttable feature have? 选项 A.The VaR will increase. [...]

题目 Borough Corporation has selected a single risk metric to target in its risk management process. Steve Roland, FRM, and Bill Pound, FRM, are discussing the implications of the choice. Roland [...]

题目 If you use Delta VaR for a portfolio of options, which of the following statements is always correct? 选项 A.It necessarily understates the VaR because it uses a linear approximation. B.It [...]

题目 A risk manager states that the VaR of the portfolio at 95% confidence interval and 1-day holding period is $1 million. Which of the following statement is TRUE? 选项 A.The daily loss on the [...]

题目 Rational Investment Inc. is estimating a daily VaR for its fixed income portfolio currently valued at USD 800 million. Using returns for the last 400 days. (ordered in decreasing order, from [...]

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 [...]

题目 We assume a lambda parameter of 0.850 under an exponential smoothing (i.e., EWMA) approach to the estimation of today's (t) daily volatility. Yesterday (t-1) is the most recent daily return in [...]

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 [...]