Multiple Choice
Which of the following statements is true?
A) The major models used by banks in calculating market risk exposures are RiskMetrics, Monaco simulation and historic (back) calculation.
B) The major models used by banks in calculating market risk exposures are CreditMetrics, Monte Carlo simulation and historic (back) calculation.
C) The major models used by banks in calculating market risk exposures are RiskMetrics, Monte Carlo simulation and historic (back) calculation.
D) The major models used by banks in calculating market risk exposures are CreditMetrics, Monte Carlo simulation and forward calculation.
Correct Answer:
Verified
Correct Answer:
Verified
Q51: Assume an FI holds three different positions.The
Q52: RiskMetrics weights more recent observations more highly
Q53: Specific risk charge is a charge reflecting
Q54: Which of the following are problems associated
Q55: Monte Carlo simulations address the problems imposed
Q57: Expected shortfall (also referred to as conditional
Q58: Assume the dollar market value of an
Q59: Which of the following statements is
Q60: Market risk is defined as the risk
Q61: Which of the following statements is true?<br>A)VaR