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文章用户商铺快讯星球问答

Which of the following items accurately describe a disadvantage of non-parametric methods?

A. Difficult to estimate losses significantly larger than the maximum loss within the data set.

B. Analysis depends critically on forecasted data.

C. Volatile data periods lead to VAR and ES estimates that are too low.

D. Quiet data periods lead to VAR and ES estimates that are too high.

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  1. Which of the following statements about value at rish(VAR) is TRUE?
  2. Hugo Nelson is preparing a presentation on the attributes of value at rish. Which of Nelson’s following statements is not correct?
  3. Which of the following statements is least accurate regarding non-parametric density estimation?
  4. Which of the following statements is incorrect regarding bootstrap historical simulation? The bootstrapping technique:

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ESFRM二级FRM练习题VAR
金融风险管理师

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?

2020-12-25 15:03:12

金融风险管理师

Which of the following statements is least accurate regarding non-parametric density estimation?

2020-12-30 13:41:12

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