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Which of the following statements about value at rish(VAR) is TRUE?

A. VAR is independent of probability level.

B. VAR is not dependent on the choice of holding period.

C. VAR decreases with longer holding periods.

D. VAR decreases with lower confidence level.

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  1. Hugo Nelson is preparing a presentation on the attributes of value at rish. Which of Nelson’s following statements is not correct?
  2. Tim Jones is evaluating two mutual funds for an investment of $100,000. Mutual fund A has $20,000,000 in assets, an annual expected return of 14 percent, and an annual standard deviation of 19 percent. Mutual fund B has $8,000,000 in assets, an annual expected return of 12 percent, and an annual standard deviation of 16.5 percent. What is the daily value at risk (VAR) of Jones’ portfolio at a 5 percent probability if he invests his money in mutual fund A?
  3. Which of the following statements is least accurate regarding non-parametric density estimation?
  4. Which of the following statements regarding disadvantages of non-parametric methods is least accurate?

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FRMFRM二级FRM练习题VAR
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2023-3-27 11:58:29

金融风险管理师

Hugo Nelson is preparing a presentation on the attributes of value at rish. Which of Nelson's following statements is not correct?

2020-12-25 14:49:18

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