CFA考试资料参考R45 Measuring and Managing Market Risk.pdfVIP

Question #1 of 16 Question ID: 1210806 Delphia fund is a €100 million portfolio of euro zone equities. The expected daily return and standard deviation are 0.116% and 0.38% respectively. The 5% daily VaR is €511,000. Assuming 21 trading days per month, The 5% monthly VaR is closest to: A) €829,446 B) €3,801,000 C) €435,000 Question #2 of 16 Question ID: 1210812 Which of the following approaches to conducting scenario analysis on a portfolio of stock options is most accurate? A) Evaluate the impact on the portfolio owning to changes in volatility. B) Evaluate the impact on the portfolio owing to changes in delta. C) Value the portfolio based on the parameters identied in the scenario. Question #3 of 16 Question ID: 1210802 A portfolio has a 5% monthly VaR of $2.5 million dollar. Which of the following is most accurate? A) There is a 5% chance of loss in portfolio value of at least $2.5 million in a month. B) There is a 95% chance of losing $2.5 million in 5% of the months C) There is a 5% chance of losing $2.5 million every month. Question #4 of 16 Question ID: 1210808 Conditional VaR is most accurately measured as: A) Average VaR in the tails of the value distribution. B) Average VaR given that losses to the extent of VaR has occurred. CFA/FRM studyingmaterials,WeChat:musiq1237 C) Average VaR in the tails of the return distribution. Question #5 of 16 Question ID: 1210810 A xed income portfolio manager utilizes duration as a risk measure for the portfolio. The portfolio manager is most likely: A) using scenario analysis. B) using sensitivity analysis. C) using partial analysis. Question #6 of 16