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题目 Tip-Top, Inc., (Tip-Top) has a commitment with Super Size Bank for $10 million. The terms of the loan are fixed and cannot be changed over its life. Tip-Top experiences an unexpected change in [...]

题目 Which of the following are valid uses of Value at Risk? I Setting risk limits II Maximizing returns III Comparing risk across asset classes IV Identifying key risk factors in a portfolio [...]

题目 Which of the following is most accurate with respect to Delta-normal VaR? 选项 A.The delta-normal method provides accurate estimates of VaR for assets that can be expressed as a linear or [...]

题目 You are analyzing the risk management system of an asset manager. The asset manager's objective is to follow S&P 500. The portfolio does not have any options. Which of the following is [...]

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 The following table from Fitch Ratings shows the number of rated issuers migrating between two ratings categories during one year.「huixue_img/importSubject/1564170388919947264.jpeg」Based [...]

题目 What is the lowest tier of an investment grade credit rating by Moody's? 选项 A.Baa1 B.Ba1 C.Baa3 D.Ba3 答案 C 解析 Investment grade debt is debt rated BBB- rated or better by Standard's [...]

题目 In designing its sovereign bond investment evaluation methodology, the Investment Committee at your firm is deciding whether to incorporate sovereign credit ratings by major firms (namely [...]

题目 If stock returns are independently, identically, normally distribution and the annual volatility is 30%, then the daily VaR at the 99% confidence level of a stock market portfolio is [...]

题目 Hugo Nelson is preparing a presentation on the attributes of value at risk. Which of Nelson's following statements is not correct? 选项 A.VaR can account for the diversified holdings of a [...]