Multiple Choice
Which of the following are included in the methodological approach to calculate the VAR?
A) measure exposures
B) measure sensitivity
C) measure risk
D) rank days by risk from worst to best
E) all of the above are included in the methodological approach
Correct Answer:
Verified
Correct Answer:
Verified
Q101: Nonstatistical risk measures provide granular information on
Q102: A disadvantage of the back simulation approach
Q103: The JPM RiskMetrics model is based on
Q104: The Expected Shortfall (ES) is a measure
Q105: When using the RiskMetrics model, price volatility
Q106: Sumitomo Bank's risk manager has estimated that
Q107: City bank has six-year zero coupon bonds
Q108: Which of the following is a method
Q110: MMC Bank has an equity trading portfolio
Q111: The portfolio of a bank that contains