Multiple Choice
The mean change in the value of a portfolio of trading assets has been estimated to be 0 with a standard deviation of 20 percent.Yield changes are assumed to be normally distributed. What is the maximum yield change expected if a 90 percent confidence (one-tailed) limit is used?
A) 3.30%.
B) 20.0%.
C) 33.0%.
D) 39.2%.
E) 46.6%.
Correct Answer:
Verified
Correct Answer:
Verified
Q56: The mean change in the value of
Q57: How can market risk be defined in
Q58: In the BIS framework, vertical offsets are
Q59: Market risk is the uncertainty of an
Q60: Monte-Carlo simulation is a process of creating
Q62: The N-day Market value at risk (VAR)
Q63: The DEAR of a portfolio of assets
Q64: The back simulation approach to estimating market
Q65: The use of expected shortfall (ES) is
Q66: The Sensitivities-Based Method (SBM) suggests that banks