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FRM一级
包含FRM一级传统在线课程、通关课程及试题相关提问答疑;
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老师您好,题中说“stock returns …… the annual volatility is 30%”,答案解析中用30%乘以根号下1/252,是默认每年的股票交易天数为252天吗?
查看试题 已回答从题目内容的哪里能看出ωA和ωB都是50%? Assume the following information for stocks A and B. Expected return on Stock A = 18% Expected return on Stock B = 23% Correlation between returns of Stock A and Stock B = 0.10 Standard deviation of returns on Stock A = 40% Standard deviation of returns on Stock B = 50% The expected return and standard deviation of an equally weighted portfolio of stocks A and B are closest to:
查看试题 已解决老师, 好悲伤,,我觉得这道题我完全不会。Which of the following statements related to conducting stress tests is (are) correct?我觉得123都是错的。我是这样的想法: Ⅰ.Results of stress testing should be used for strategic business planning purposes.这里用的是should be used for 所以是需要被用于。而我记得在讲董事会BOD的时候讲过说,对于压力测试是需要怀疑的 有个skepticism这个词。所以 就不应该说需要被用于呀 Ⅱ.Stress testing can use sensitivity analysis to assess risk. 我记得之前学敏感性分析的时候老师讲到敏感性分析是有input 和output双向的,而压力测试是只有input这样。所以压力测试怎么能使用敏感性分析呢? 感觉要use也是:敏感性分析use压力测试才对 Ⅲ.Stress testing should be used to identify risk concentrations. 我的想法是,压力测试是VaR的补充,所以压力测试放大了尾部风险去测量,那么不应该是集中呀,感觉是分散;) 我太凌乱了 请求老师指教 ~~
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