07真题 多题， 求解？

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6. The Potential Future Exposure (PFE) model can be used to
i. calculate economic and regulatory capital.
ii. quantify credit risk.
iii. calculate market risk.
iv. determine the appropriate stochastic process of a credit portfolio.
a. iii and iv only
b. i and iii only
c. i, ii, and iii only
d. i, ii, and iv only
答案选 B ，我认为选C

12. A risk manager estimates daily variance()using a GARCH model on daily returns:
                                                            ht=0α+1αr^2+βht-1
Assume the model parameter values are 0α=0.005, 1α=0.04, β=0.94. The long-run annualized volatility is approximately
a. 13.54%
b. 7.94%
c. 72.72%
d. 25.00%
答案选 b？

14. To control risk-taking by traders, your bank links trader compensation with their compliance with imposed VaR limits on their trading book. Why should your bank be careful in tying compensation to the VaR of each trader?
a. It encourages trader to select positions with high estimated risks, which leads to an underestimation of the VaR limits.
b. It encourages trader to select positions with high estimated risks, which leads to an overestimation of the VaR limits.
c. It encourages trader to select positions with low estimated risks, which leads to an underestimation of the VaR limits.
d. It encourages trader to select positions with low estimated risks, which leads to an overestimation of the VaR limits.
选c，但 选项读起来好别扭，感觉 没一个选项到位。

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关键词：Compensation market risk credit risk Approximate appropriate 求解

6 答案选a啊？我还想选b
12. 应该选d吧， 0.005/(1-0.04-0.94)=0.25
14, 应该选b吧

6. The Potential Future Exposure (PFE) model can be used to
i. calculate economic and regulatory capital.
ii. quantify credit risk.
iii. calculate market risk.
iv. determine the appropriate stochastic process of a credit portfolio.
a. iii and iv only
b. i and iii only
c. i, ii, and iii only
d. i, ii, and iv only
答案选 A ，我认为选C
----
不是选D吗？ 闹不太懂

12. A risk manager estimates daily variance()using a GARCH model on daily returns:
                                                            ht=0α+1αr^2+βht-1
Assume the model parameter values are 0α=0.005, 1α=0.04, β=0.94. The long-run annualized volatility is approximately
a. 13.54%
b. 7.94%
c. 72.72%
d. 25.00%
答案选 b？
----
[.005/（1-.04-.94)]^.5*(252^.5)=7.9373% 参见handbook 348

14. To control risk-taking by traders, your bank links trader compensation with their compliance with imposed VaR limits on their trading book. Why should your bank be careful in tying compensation to the VaR of each trader?
a. It encourages trader to select positions with high estimated risks, which leads to an underestimation of the VaR limits.
b. It encourages trader to select positions with high estimated risks, which leads to an overestimation of the VaR limits.
c. It encourages trader to select positions with low estimated risks, which leads to an underestimation of the VaR limits.
d. It encourages trader to select positions with low estimated risks, which leads to an overestimation of the VaR limits.
选c，但 选项读起来好别扭，感觉 没一个选项到位。
字面逻辑上是c比较讲的通，实际啥意思我也没看懂-_-

12题 先算daily Vol 为[0.005/（1-0.04-0.94）]^0.5=0.5%
然后annualized 0.5*（252）^0.5=7.94%

14题 选择C 答案没错
在风险约束的情况下 则都会选择VAR低的 这种低也许是那种低估的 因此总体也会低估。

都是牛人啊

这个解释说得通 5# silverbulletliu

第 6题的正确答案到底是什么？ 为什么大家的答案都不一样？

不好意思 6题目 选B，我打错了，可是为什么不选 C？

silverbulletliu 发表于 2009-11-10 00:05
14题 选择C 答案没错
在风险约束的情况下 则都会选择VAR低的 这种低也许是那种低估的 因此总体也会低估。

谢谢，题目读了几遍才明白，原先理解成 为什么银行要建立联系VAR的奖励措施？