16.Based on historical data from SP， BBB-rated firms were 22 times as likely to default over a 1- year period than an AA-rated firm. What i ...
2015-03-18 10:0311.B-rated firms have been observed to have probability of default of 1.9， 3.4 and 5.8 percent during years 1， 2， and 3 from present. The ...
2015-03-18 10:03You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-03-17 17:03If all spot interest rates are increased by one basis point, a value of a portfolio of swaps will increase by $1000. For hedging the portfol ...
2015-03-10 14:03You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-03-10 14:03
An option trader constructs the following position: buys 1 call with a strike price at X1, buys 1 call with a strike price at X3 and sells 2 ...
2015-03-10 14:03Regarding the effects of interest rate shift on fixed-income portfolios with similar durations，which of the following statements is not wro ...
2015-03-10 13:03You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-03-10 13:03A $1,000 par bond with 22 years to maturity and a 4% semiannual coupon has a yield to maturity of 5%. Assuming a 5 basis point change in yie ...
2015-02-26 16:02Find the statement that interpretes a $10 million overnight VaR figure with 99% confidence level most correctly. A. The institution can be e ...
2015-02-26 16:02The measurement error in VaR due to sampling variation should be greater with which of the following statements： A. More observations and a ...
2015-02-26 16:02You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-02-26 15:02You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-02-26 15:02You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-02-26 15:02You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-02-26 15:02You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-02-26 15:02You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-02-26 15:02You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-02-26 15:02You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-02-26 15:02You are asked by your CRO to *uate arguments he has heard to switch from VaR to conditional VaR as your firms main risk measurement tool. Wh ...
2015-02-26 15:02A $1,000 par bond with 22 years to maturity and a 4% semiannual coupon has a yield to maturity of 5%. Assuming a 5 basis point change in yie ...
2015-02-05 11:021. In the approaches for weight data points in LDA model which one is incorrect？ A.Split loss is the loss affects more than one business li ...
2014-12-22 13:12ABC Bank believes that the underlying distribution of its loan returns should follow a normal distribution with a mean of 10 and a standard ...
2014-12-12 09:12ABC Bank believes that the underlying distribution of its loan returns should follow a normal distribution with a mean of 10 and a standard ...
2014-11-10 17:11We are doing a backtest of VaR model according to Basel II. Assume the banks 10-day 99% VaR is $1 million. The null hypothesis is: the VaR m ...
2014-11-10 17:11In backtesting a value at risk (VaR) model that was constructed using a 90% confidence level over a 250-day period, how many exceptions are ...
2014-11-10 17:11
A portfolio has a current value of $20 million and its geometric returns are normally distributed with mean of 12.0% and volatility (standar ...
2014-11-10 17:11The VaR at a 99% confidence level is estimated to be 2.56 from a historical simulation of 1,000 observations. Which of the following stateme ...
2014-11-10 17:11Creating Value with Risk Management 1 Basic Viewpoint Hedging Irrelevance Proposition says that, in a perfect market, the firm cannot create ...
2014-11-05 15:11
1 Par Yield Curve Yield Curve Yield to maturity is the single discount rate that equates the present value of a bonds cash flows to its mark ...
2014-11-05 15:11
