爱考云 - 搜题找答案神器_海量试题解析在线查

题目 The VaR of a portfolio at 95% confidence level is 15.2. If the confidence level is raised to 99% (assuming a one-tailed normal distribution), the new value of VaR will be closest to: 选项 [...]

题目 Which of the following statement（　） about VaR is TRUE? I Value at risk is useful for examining a firm's day-to-day market risk exposure, but it may not accurately reflect the effects of [...]

题目 A financial institution created a model to measure interest rate volatility. The historical distribution of interest rate volatility did not appear to be normally distributed due to the [...]

题目 An at-the money European call on the DJ EURO STOXX 50 index a strike of 2200 and maturing in 1 year is trading at EUR 350, where contract value is determined by EUR 10 per index point. The [...]

题目 Consider the following single bond position of $10 million, a modified duration of 3.6 years, an annualized yield volatility of 2%. Using the duration method and assuming that the daily return [...]

题目 Consider two portfolios. One with USD 100 million credit exposure to a single B- rated counterparty. The second with USD 100 million on credit exposure split evenly between 50 B- rated [...]

题目 Which of the following statements is correct? I The rho of a call option changes with the passage of time and tends to approach zero as expiration approaches, but this is not true for the rho [...]

题目 Which of the following choices will effectively hedge a short call option position that exhibits a delta of 0.5? 选项 A.Sell two shares of the underlying for each option sold. B.Buy two [...]

题目 An at-the-money call option has a (percentage) delta of 0.600 and gamma of 0.030. A market maker writes (sells) 100 call options, but only after the stock price unexpectedly jumps $2.00, so [...]

题目 Which of the following Greeks contributes most to the risk of an option that is close to expiration and deep in the money? 选项 A.Vega B.Rho C.Gamma D.Delta 答案 D 解析 Delta measures [...]