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FRM二级
包含FRM二级传统在线课程、通关课程及试题相关提问答疑;
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Which of the following statements is not correct regarding total return swaps (TRS)? A A TRS is designed to mirror the return on an underlying asset like a loan, stock, or even a portfolio of assets. B The payer pays any depreciation in the underlying asset to the receiver C The payer pays any dividends or interest received to the receiver. D The receiver is creating a synthetic long position in the underlying 请问老师选项a. TRS和CLN的difference之一是CLN可以是一篮子资产但TRS总收益互换不可以,所以请问老师a提到了很多资产的portfolio,我觉得感觉a也是不对的,TRS只能针对一个asset不是吗?
查看试题 已回答I have below questions that I don't understand. It is hoped that you can help solve these questions Thanks. Assume a bank’s 10-day 99% confidence level var is 1 million. The HO is var model is accurate. 25 exceptions are observed out of 1000 samples. a. var model is accurate but risk type 1 error b. var model is accurate but risk type 2 error c. var model is bad but risk type 1 error d. var model is bad but risk type 2 error A portfolio alpha is 1.24% and the standard error of alpha is 0.1278%. the probability of observing such a large alpha is only 1%. Now calculate t-statistic, a. t = 9.7, accept b. t = 0.7, reject besides, for revision, historical var is n+1 ? the 6th worst outcome of 100 sample? and expected shortfall is var eg 95% of 100 samples = worst 5 outcomes / 5 ?
查看试题 已回答D选项的PFE横轴是point time上的gain/loss,所以PFE只是一个时点上的值吧,并不是一段时间的potential loss,不应该随着时间而变化吗,感觉这题ABCD都对呀
查看试题 已回答请问老师The approximation of credit spread = (1 – RR) × PD. This implies ●ABC: 200 bps = (1- RR)/(10%), so RR=80% ●DEF: 300 bps =(1 - RR)/(20%), so RR=85% 答案的公式到底是乘以PD 还是除以PD没看懂。 而且视频讲解完全看不了,请问网校目前是否存在系统故障问题? 好多题的答疑目前都看不了
查看试题 已回答精品问答
- 请问selection bias 与 self-selection bias 有什么区别?我看到一个老师回复的是:不同个体选择样本不同,这就是自选择偏差,是不同个体本身固有的差异。请问这里的不同个体是指不同的人吗?
- 请问,求组合标准差需要乘以权重,但是组合var,不需要权重,想不明白?麻烦仔细讲下
- 这里的cash 中性是只需要CAPM中的benchmark=0?还是这个benchmark怎么样?什么叫阿尔法不会产生active cash position?CAPM中阿尔法并不在基准中啊?
- 老师,这里benchmark的中性化,三个回归是什么逻辑?
- 最后一行的对比是啥意思,老师展开解释一下。增量收费和FRTB定义差异
- 老师,收益率的波动率(yield volatility)和基点波动率(basic volatility)能给讲一下么?尤其是前面的,后面的基点波动率我记得是公式dw前面的
- 能解释一下这道题吗?
- 这里severity modeling,对应GEV的fattail分布不是Frechet么,这里写的Weibull是瘦尾吧。