Which of the following statements comparing VaR with expected shortfall is true...
备考FRM二级
【FRM每日一题】二级:信用风险测量与管理(7)
The risk-free rate on a 1-year Treasury bill (T-bill) is 3% and the implied probability of default on a 1-year zero-coupon corporate note is 3%, the promised rate of return on the corporate note is closest to...
备考FRM二级
【FRM每日一题】二级:信用&市场强化(5)
Which of the following statements regarding verification of a VaR model by examining its failure rates is false...
备考FRM二级
【FRM每日一题】二级:信用风险测量与管理(6)
A company has a constant 7% per year probability of default. What is the probability the company will be in default in three years...
备考FRM二级
【FRM每日一题】二级:信用风险测量与管理(5)
A portfolio consists of 17 uncorrelated bonds, each rated B. The 1-year marginal default probability of each bond is 5.93%. Assuming an even spread of default probability over the year for each of the bonds, what is the probability of exactly 2 bonds defaulting in the first month...
备考FRM二级
【FRM每日一题】二级:风险管理与投资管理(2)
For s portfolio of illiquid assets, hedge fund managers often have considerable discretion in portfolio valuation at the end of each month and may have incentives to smooth returns by marking values below actual in high-return months...
备考FRM二级
【FRM每日一题】二级:案例强化(4)
Saugatuck National Bank uses the internal model-based approach to set market risk capital as prescribed by the 1996 Amendment to the 1988 Basel Accord. The bank has backtested its 99%, one-day VaRs against the actual losses over the last 250 trading days. Based on the results of the backtesting...
A firm’s financial planning department reports that a project’s proposed risk-adjusted return on capital (RAROC) is 13 percent, the risk-free rate is 3 percent, the market return is 11 percent and the firm’s equity beta is 1.3...
备考FRM二级
【FRM每日一题】二级:信用风险测量与管理(3)
In pricing a first-to-default credit basket swap, which of the following is true, all else being equal...
备考FRM二级
【FRM每日一题】二级:案例强化(3)
A portfolio consists of two positions. The VaR of the two positions are $100 million and $20 million. If the returns of the two positions are not correlated, the VaR of the portfolio would be closest to...
备考FRM二级
【FRM每日一题】二级:信用风险测量与管理(2)
Suppose there is a $1,000,000 portfolio with n = 50 credits that each has a default probability of π =0.02 percent and a zero recovery rate, the default correlation is 0. In addition, each credit is equally weighted and has a...