2020年CFA考试《CFA三级》章节练习题精选
2020年CFA考试《CFA三级》考试共题，分为。小编为您整理Risk Management5道练习题，附答案解析，供您备考练习。
1、Pearson's clarification of the meaning of the VaR measure in Varnet's monthly report is most likely:【单选题】
A.correct.
B.incorrect because over a full year, the VaR will be exceeded on five or fewer days.
C.incorrect because VaR represents a maximum loss that will not be exceeded.
正确答案:A
答案解析:Assuming 250 trading days per year, if daily VaR at 95% confidence level (violated 5% of the time) is $1 million, over one year, a daily loss exceeding $1 million should occur approximately 5% of 250 days, or 12.5 days.
2、Hackett's description of Beta's current approach to VaR estimation would most likely mention that it:【单选题】
A.produces a wide range of randomly generated potential outcomes.
B.often assumes a daily portfolio expected return of zero.
C.is a nonparametric method of estimating VaR.
正确答案:C
答案解析:The historical simulation approach to VaR measurement calculates what the change in the current portfolio's value would have been had it been held in the past, without making any assumptions about the distribution of asset returns.
3、Given Reinfeldt's estimate of VaR for the fixed-income strategy, which of the following statements is most likely accurate? During a five-day period, there is a:【单选题】
A.5% probability the portfolio will lose at least SEK10 million.
B.95% probability the portfolio will lose at least SEK10 million.
C.5% probability the portfolio will lose no more than SEK10 million.
正确答案:A
答案解析:VaR is a minimum. That is, there is a 5% chance that the portfolio will lose SEK10 million or more.
4、Evaluate Nicholson's comments regarding Thomasville's compensation contract with Boston Advisors. Nicholson is:【单选题】
A.correct.
B.
C.
正确答案:C
答案解析:The first part of Nicholson's comment is correct. Thomasville's contract with Boston Advisors is asymmetric because
5、If the security held by Sigma trades at $70, the credit risk is closest to:【单选题】
A.$5.00.
B.$3.35.
C.$8.50.
正确答案:C
答案解析:The amount at risk is the current value of the option, $8.50. Once the seller has sold the option, all the credit risk falls on the buyer. In this instance, the amount of credit risk is the value of the option because this amount is what the buyer stands to lose if the seller were to default immediately.