题目内容
（请给出正确答案）
[主观题]
VaR，是Value at Risk的简写，字面解释是指“处于风险中的价值”，其含义是指在市场正常波
动下，某一金融资产或证券组合的最大可能损失。（）
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VaR方法(Value at Risk，简称VaR)适合对风险进行量化分析。( )
更多“VaR，是Value at Risk的简写，字面解释是指“处…”相关的问题
第2题
VaR是风险管理中常用的风险度量方法，它的全称是（）
A.Value at Risk
B.Vector Auto-regression
C.Variable
D.Video Assistant Referee
第5题
17、经历金融危机之后，提出来以下哪些衡量风险的新指标？
A.Value at risk（简称VaR）
B.压力测试（Stress Tests ）
C.用方差（Variance）或标准差（SD）衡量风险
D.系统性风险（systematic risks）
第6题
A relative value hedge fund manager holds a long position in Asset A and a short position in asset B of roughly equal principal amounts. Asset A currently has a correlation with asset B of 0.97. The risk manager decides to overwrite this correlation assumption in the variance covariance based VAR model to a level of 0.30. What effect will this change have on the resulting VAR measure?()
A.It increases VAR.
B.It decreases VAR.
C.It has no effect on VAR, but changes profit or loss of strategy.
D.Do not have enough information to answer.
第7题
6、通过下面的代码片段来回答问题。 ____________ Money { var type: String! var value:Double } 下划线处应该填写的是？
A.protocol
B.class
C.struct
D.enum
第8题
Consider a bank that wants to have an amount of capital so that it can absorb unexpected losses corresponding to a firm-wide VAR at the 1% level. It measures firm-wide VAR by adding up the VARs for market risk, operational risk, and credit risk. There is a risk that the bank has too little capital because ().
A.It does not take into account the correlations among risks.
B.It ignores risks that are not market, operational, or credit risks.
C.It mistakenly uses VAR to measure operational risk because operational risks that matter are rare events.
D.It is meaningless to add VARs.
第9题
What would be the market risk capital requirement for a bank with an average oneday VAR of $100 and a specific risk surcharge of $30, based on the current BIS minimum capital requirements?()
A.$300
B.$316
C.$949
D.$979
