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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.- 224
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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…- 109
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Which of the following statements is least accurate regarding non-parametric density estimation?
A. Existing data points can be used to "smooth" the data points to allow for VAR calculation at all confidence levels. B. One of the advantages of non-parametric density estimation is that t…- 185
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Jack is evaluating the existing risk management system of ABC Asset Management. She is asked to match the following events to the corresponding type of risk. Identify each numbered event as a market risk, credit risk, operational risk, or legal risk event.
1. Insufficient training leads to misuse of order management system. 2. Credit spreads widen following recent bankruptcies. 3. Option writer with counterparty cannot be netted because they originated …- 176
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Which of the following statements regarding the responsibilities of the chief risk officer (CRO) is least accurate?
A. The CRO should provide the vision for the organization's risk management. B. In addition to providing overall leadership for risk, the CRO should communicate the organization's risk profi…- 461
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