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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…- 97
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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…- 121
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Which of the following statements is incorrect regarding bootstrap historical simulation? The bootstrapping technique:
A. draws a sample from the original data set, records the VAR from that particular sample and "returns" the data. B. can be performed to estimate the expected shortfall(ES). C. is a simple a…- 193
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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…- 129
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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.- 151
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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.- 112
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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…- 123
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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…- 181
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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…- 105
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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?
A. $38,480. B. $13,344. C. $1,668. D. $1,924.- 270
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Hugo Nelson is preparing a presentation on the attributes of value at rish. Which of Nelson’s following statements is not correct?
A. VAR can account for the diversified holdings of a financial institution, reducing capital requirements. B. VAR(1%) can be interpreted as the number of days that a loss in portfolio value will excee…- 359
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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.- 212
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