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Which of the following non-parametric estimators combines the historical simulation model with conditional volatility models?
A. Filtered historical simulation. B. Volatility-weighted historic simulation. C. Correlation-weighted historic simulation. D. Age-weighted historic simulation.- 0
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下列关于可转债发行与承销的说法中，正确的是（ ）。
A. 网下和网上投资者缴款认购的可转债数量合计为本次公开发行的75%，可以中止发行 B. 上市公司发行可转债，主承销商可以对参与网下配售的机构投资者进行分类，对不同类别的机构投资者设定不同的配售比例 C. 可转债中止发行后，在核准文件有效期内，经证券交易所许可，可以重新启动发行 D. 某可转债在上交所发行，网上申购最小单位为10手（10000元），申购数量应当为10手或10手的整数倍 …- 0
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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.- 1
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Which of the following is TRUE comparing VAR and extreme value theory(EVT)?
A. The generalized Pareto distribution is fully parameterized by the mean and variance. B. VAR and EVT assume normality of the return distribution. C. Only EVT considers losses beyond a specified thre…- 0
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With of the following items is not one of the advantages of non-parametric simulation methods?
A. Intuitive and often computationally simple. B. Not hindered by parametric violations of skewness. C. Data is not often readily availabel. D. Can accommodate more complex analysis.- 0
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甲企业主营业收入金额为80000万元，流动资产平均余额为5000万元，固定资产平均余额为10000万元。假设无其他资产，则该企业的总资产周转率为（ ）。
A. 4 B. 3 C. 6 D. 5 【答案与解析】 5- 0
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Under which circumstance, setting an independent risk management department will increase a bank’s value?
A. When the risk taken by the bank increase, the corresponding cost produced by the risk is low. B. There are different business lines within lines within the bank, and each line manages its risk inde…- 0
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A board of directors is evaluating the implementation of a new ERM program at an asset management company. Which statement below is consistent across the various current definitions of an ERM program and most appropriate to be included in the company’s ERM definition and goals?
A. The ERM program should reduce costs by transferring or insuring most of the company's major risk exposures. B. The major goal of the new ERM program should be to reduce earnings volatility. C.…- 0
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Which of the following statements accurately describe filtered historical simulation? Filtered historical sumulation:
A. is only reasonable for small portfolios, and empirical evidence does not support its predictive ability. B. is not flexible enough to capture conditional volatility and volatility clustering. C. is…- 0
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Which of the following statements regarding generalized extreme value(GEV) and peakover-threshold(POT) is CORRECT?
A. POT requires the estimation of one more parameter than GEV. B. Both POT and GEV focus on the distribution of extreme values above a specified threshold. C. Only one of the approaches has a tail par…- 0
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根据《证券发行上市保荐业务管理办法》，保荐机构应当在推荐发行人证券上市的上市保荐书中包括的内容是（ ）。
A. 保荐机构内部审核程序简介及内核意见 B. 对发行人发展前景的评价 C. 保荐机构与发行人的关联关系 D. 逐项说明本次发行是否符合《中华人民共和国公司法》和《中华人民共和国证券法》规定的发行条件和程序 E. 发行人存在的主要风险 【答案与解析】- 0
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在假定市场因子的变化服从多元正态分布情形下，利用正态分布的统计特征简化计算VaR，该种方法是（ ）。
A. 方差-协方差法 B. 蒙特卡罗模拟法 C. 历史模拟法 D. 标准法 【答案与解析】- 0
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Tom is evaluating the existing risk management system of RR Asset Management and identified the following two risks.
1. RR Asset Management's derivative pricing model consistently undervalues call options. 2. Swaps with counterparties exceed counterparty credit limit. These two risks are most likely to be class…- 0
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对于拟首次公开发行股票并在上交所上市的公司，下列属于公司及其保荐人和律师主张多人共同拥有公司控制权须符合的条件是（ ）。
A. 最近3年内持有公司股份表决权比例最高的股东不能发生变化 B. 多人共同拥有公司控制权的情况，必须通过公司章程予以明确 C. 首发后的可预期期限内共同拥有公司控制权的多人不会发生变更 D. 可以通过间接支配公司股份表决权的方式拥有公司控制权，无需直接持有公司股份 【答案与解析】- 0
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下列不属于贷款发放审核担保落实情况内容的是（ ）。
A. 是否可以事后补办抵（质）押登记 B. 抵（质）押保险金额是否覆盖信贷业务金额 C. 担保人的担保资料是否完整、合规、有效 D. 是否已按要求进行核保 【答案与解析】- 0
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Which of the following statements regarding disadvantages of non-parametric methods is least accurate?
A. Volatile data periods lead to VAR and ES estimates that are too low. B. Cannot accommodate plausible large impact events outside of the sample period. C. Difficult to detect structural shifts/regim…- 0
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Which technique below does not contribute to credit risk mitigation?
A. Bond insurance B. Buy-and-hold C. Netting D. Collateralization- 0
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Which of the following statements regarding risk and risk management is correct?
A. Risk management is more concerned with unexpected losses versus expected losses. B. There is a relationship between the amount of risk taken and the size of the potential loss. C. The final s…- 0
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Which of the following statements regarding market, credit, and operational risk is correct?
A. People risk relates to the risk associated with incompetence and lack of suitable training of internal employees and/or external individuals. B. Between two counterparties, presettlement risk is al…- 0
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Under which circumstance, setting an independent risk management department will increase a bank’s value?
A. When the risk taken by the bank increases, the corresponding cost produced by the risk is low. B. There are different business lines within the bank, and each line manages its risk independently. C…- 0
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根据《发行监管问答——关于首次公开发行股票预先披露等问题》的规定，下列说法正确的是（ ）。
A. 发审会前，发行人及其保荐机构需根据发行监管部门的意见修改已提交的发审会材料和预先披露材料 B. 申请主板发行上市公司预先披露材料包括招股说明书（审报稿）、关于公司设立以来股东演变情况的说明及其董事、监事、高级管理人员的确认意见、承诺函 C. 发行监管部门在发行人预先披露更新前安排初审会 D. 保荐机构应在报送上会材料的同时报送预先披露更新材料 【答案与解析】- 0
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根据《上海证券交易所股票上市规则》，下列情形中，上市公司不需要在2018年1月31日前进行业绩预告的是（ ）。
A. 丁上市公司预计2017年度净利润为5000万元，较2016年度净利润下降2500万元 B. 甲上市公司预计2017年度净利润为-100万元 C. 丙上市公司预计2017年度净利润500万元，较2016年度净利润增加1000万元 D. 乙上市公司预计2017年度净利润为3000万元，较2016年度净利润增加2000万元 【答案与解析】- 0
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