1、You are asked by your CRO to evaluate arguments he has heard to switch from VaR to conditional VaR as your firm’s main risk measurement tool. Which of the choices below is wrong?
A. Conditional VaR is greater than VaR for the same confidence level,.
B. Conditional VaR is a coherent risk measure in contrast to VaR.
C. A low VaR does not mean that the firm will make small losses when VaR is exceeded, but a low conditional VaR means that the firm will make small losses when VaR is exceeded.
D. Conditional VaR estimated for a confidence level corresponding to one minus the probability of default for the firm’s target rating provides an unbiased measure of the amount of the economic capital required above the firm’s bankruptcy threshold point to achieve the probability of default associated with the firm’s target rating.
2、1.According to put-call parity, which one of the choices below is equivalent to writing a put?
A. Buying a call, buying stock, and lending.
B. Writing a call, buying stock, and lending.
C. Writing a call, buying stock, and borrowing.
D. Writing a call, selling stock, and borrowing.
3、Harold Newman manages a portfolio of investment securities for acommercial bank. The portfolio has a current market value equal to $5,334,500with a daily variance of 0.0002. Over the years, the portfolio has increasedits proportionate holdings of equity securities, and Newman is concerned thatthe portfolio may be riskier than the bank's internal regulations allow.Calculate the annual VAR (5%) assuming there are 250 trading days in a year.
a. 2.33%.
b. 2.76%.
c. 36.89%.
d. 43.70%.
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4、Bank regulators are examining the loan portfolio of a large, diversified lender. The regulators main concern is that the bank remains solvent during turbulent economic times. Which of the following is most likely the area that the regulator will want to focus on?
a. Expected loss, since each asset can expect, on average, to decline in value from a positive probability of default.
b. Expected loss, given the increase in underwriting standards of new loans.
c. Unexpected loss, since the bank will need to set aside additional capital for the unlikely event that recovery rates are larger than expected.
d. Unexpected loss, since the bank will need to set aside additional capital for the unlikely event that default losses are larger than expected.
答案解析：選D
Unexpected loss is a measure of the variation in expected loss. As a precaution, the bank needs to set aside sufficient capital in the event that actual losses exceed expected losses with a reasonable likelihood. (Sec Book 2, Topic 53)
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