爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Why is the delta normal approach not suitable for measuring options portfolio risk? 选项 A.There is a lack of data to compute the variance\/covariance matrix. B.Options are generally [...]

题目 A company reports a one-week VaR of $1 million at the 95% confidence level. Which of the following statements is most likely to be true? 选项 A.The daily return on the company portfolio [...]

题目 The Basel Committee on Banking Supervision has written stress testing principles for banks related to supervision. How many of the following statements are most likely correct regarding [...]

题目 Delta-normal, historical simulation and Monte Carlo are various methods available to compute VaR. If underlying returns are normally distributed, then the 选项 A.Delta-normal method VaR will [...]

题目 Bank regulators are examining the loan portfolio of a large, diversified lender. The regulators' main concern is that the bank remains solvent during turbulent economic times. Which of the [...]

题目 Which of the following statements is incorrect, given the following one-year rating transition matrix?「huixue_img/importSubject/1564170388630540288.png」 选项 A.BBB loans have a 4.08% [...]

题目 Howard Freeman manages a portfolio of investment securities for a regional bank. The portfolio has a current market value equal to USD 6,247,000 with a daily variance of 0.0002. Assuming there [...]

题目 A Monte Carlo VaR model is preferred over the Delta-normal approach when: 选项 A.Volatilities change over time. B.The portfolio has linear exposures to many sources of risk. C.The risk [...]

题目 R1≥R2,then,ρ(R1)≤ρ(R2)，is the mathematical equation for which property of a coherent risk measure? 选项 A.Positive homogeneity B.Translation invariance C.Monotonicity D.Subadditivity [...]

题目 What is the correct interpretation of a $3 million overnight VaR figure with 99% confidence level? 选项 A.The institution can be expected to lose at most $3 million in 1 out of next 100 [...]