The gain from a project is equally likely to have any value between -$0.15 million and +$0.

85
million. What is the 99% value at risk?

A. $0.145 million

B. $0.14 million

C. $0.13 million

D. $0.10 million

答案: B

分数:

分类:

标签:

解析: The gain is uniformly distributed between −0.15 and +0.85 million dollars. The
probability that it will be between −0.15 and −0.14 million dollars is therefore 1%. This
means that there is a 99% chance that the loss will not be greater than $0.14 million. This is
the 99% VaR.

Which of the following is true of the historical simulation method for calculating VaR?

A. It fits historical data on the behavior of variables to a normal distribution

B. It fits historical data on the behavior of variables to a lognormal distribution

C. It assumes that what will happen in the future is a random sample from what has happened
in the past

D. It uses Monte Carlo simulation to create random future scenarios

答案: C

分数:

分类:

标签:

解析: The historical simulation method assumes that the percentage changes in all market
variables during the next day is a random sample from the percentage changes in a certain
number of past days.
An investor has $2,000 invested in stock A and $5,000 in stock B. The daily volatilities of A
and B are 1.5% and 1% respectively and the coefficient of correlation is 0.8. What is the one
day 99% VaR? Assume that returns are multivariate normal (Note that N(-2.326)=0.01)

A. $177

B. $135

C. $215

D. $331

答案: A

分数:

分类:

标签:

解析: The standard deviation of the change in the stock A position in one day is
2,000×0.015= $30. The standard deviation of the change in the value of the stock B position
in one day is 5,000×0.01 = $50. The variance of the combined position is
302+502+2×0.8×30×50 = 5,800. The standard deviation is the square root of this or 76.16 and
the 99% VaR is therefore 2.33 times 76.17 this or about $177.

Which of the following describes stressed VaR?

A. It is based on movements in market variables in stressed market conditions

B. It is VaR with a very high confidence level

C. It is VaR multiplied by a factor of 3

D. None of the above

答案: A

分数:

分类:

标签:

解析: Stressed VaR was introduced in Basel II.5. It calculates VaR based on movements in
market variables in stressed market conditions.
Consider a position in options on a particular stock. The position has a delta of 12 and the
stock price is 10. Which of the following is the approximate relation between the change in
the portfolio value in one day, dP, and the return on the stock during the day, dx

A. dP=12dx

B. dP=1.2dx

C. dP=120dx

D. dP=22dx

答案: C

分数:

分类:

标签:

解析: If S is the stock price and the change in the stock price is dS, from the definition of
delta we know that dP=12dS. This means that dP=12S(dS/S). dS/S is dx. In this case S=10 so
that C is correct.

A position in options on a particular stock has a delta of zero and a gamma of 4. The stock
price is 10. Which of the following is the approximate relation between the change in the
portfolio value in one day, dP, and the return on the stock, dx

A. dP = 4 times the square of dx

B. dP = 2 times the square of dx

C. dP = 20 times the square of dx

D. dP = 200 times the square of dx

答案: D

分数:

分类:

标签:
解析: If S is the stock price and the change in the stock price is dS, the change in the portfolio
value is 0.5×4×(dS)2. This is 2S2(dS/S)2. dS/S is dx. In this case S=10 so that D is correct.

Which of the following is true

A. Expected shortfall is always less than VaR

B. Expected shortfall is always greater than VaR

C. Expected shortfall is sometimes greater than VaR and sometimes less than VaR

D. Expected shortfall is a measure of liquidity risk wheras VaR is a measure of market risk

答案: B

分数:

分类:

标签:

解析: Expected shortfall and VaR can both measure market risk. Expected shortfall is the
expected loss level conditional on the loss level being greater than VaR. By definition
expected shortfall must be greater than VaR.