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题目 Which of the following VaR methodologies most closely resembles the approach followed by Risk Metrics? 选项 A.Structured Monte Carlo B.Stress testing C.Delta-normal method D.Historical [...]

题目 After evaluating the results of a firm’s stress tests, an analyst is recommending that the firm allocate additional economic capital and purchase selective insurance protection to guard [...]

题目 Analyst Sue observes that equity returns exhibit leptokurtosis but are symmetrical; i.e., skew is zero. Her value at risk (VaR) model assumes returns are normal. Which of the following errors [...]

题目 Consider a stock portfolio consisting of two stocks with normally distributed returns. The joint distribution of daily returns is constant over time and there is no serial correlation. Stock [...]

题目 Given the 1 year transition matrix below, what is the probability that a company that is currently B rated will default over a given two year [...]

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 Which of the following statements about stress testing are true? I. Stress testing can complement VaR estimation in helping risk managers identify crucial vulnerabilities in a portfolio. II. [...]

题目 A European put option on a non-dividend paying stock has a remaining life of 6 months with a strike of USD 50 and the risk-free rate of 1%, after 3 months which of the following stock prices [...]

题目 An options dealer sells equity call options. When sold, the options are at-the-money and the firm will be delta-neutral hedged. Which of the following statements is correct?I The options [...]

题目 The current price of a stock is $25. A call option is available with a $20 strike price that expires in three months. If the underlying stock exhibits an annual standard deviation of 25%, the [...]