1、22.2 Qualitative Characteristics of financial reporting
●Relevance: Information that has the ability to influence decisions.
- To the needs of users to assist in evaluating performance
●Reliability: Information that is complete and faithful
- Can be relied upon
- Free from material error
- Neutral (without bias when making judgment)
- Complete
- Prudent
●Understandability:
- The significance of the information can be perceived.
- Understandable to users.
●Comparability: Similarities and differences can be discerned and evaluated.
- With other business
- With the previous periods’ results
2、 A risk manager is evaluating a pairs trading strategy recently initiated by one of the firm’s traders. The strategy involves establishing a long position in Stock A and a short position in Stock B. The following information is also provided:
1-day 99% VaR of Stock A is USD 100 million
1-day 99% VaR of Stock B is USD 125 million
The estimated correlation between long positions in Stock A and Stock B is 0.8
Assuming that the returns of Stock A and Stock B are jointly normally distributed, the 1-day 99% VaR of the combined positions is closest to?
A. USD 0 million
B. USD 75 million
C. USD 160 million
D. USD 225 million
金程FRM解析: B
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