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2022年CFA考试《CFA三级》共240道单选题。帮考网为大家带来Risk Management5道练习题,附答案解析,供大家备考练习,做自我提升测试:
1、Which of the limitations of VaR analysis given by Reinfeldt is most likely correct?【单选题】
A.Limitation 1
B.Limitation 3
C.Limitation 2
正确答案:C
答案解析:VaR fails to incorporate positive results into its risk profile and, therefore, may provide an incomplete picture of overall exposures
2、The current amount of potential credit risk in the forward contract position is closest to:【单选题】
A.$0.
B.$1.53.
C.$12.28.
正确答案:A
答案解析:The value of the long position is $207 – $200/(1.055) = $12.28. This result means that the short (the bank) owes the long, so the bank would suffer no loss if the long went bankrupt.
3、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 assetreturns.
4、Which of the following is closest to the monthly VaR Fluellen will calculate forthe large cap growth portfolio?【单选题】
A.$4 million.
B.$7 million.
C.$17 million.
正确答案:B
答案解析:
5、An advantage of the bank////\\'s method forestimating VaR is the:【单选题】
A.simplicity of the method.
B.assumption that returns are normally distributed.
C.ability to incorporate optionality into the analysis.
正确答案:A
答案解析:The analytical model uses readily available data and simple calculations.
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