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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;
专场人数:1637提问数量:31893
An investor has 60 percent of his $500,000 portfolio in Value fund and the remaining in Growth fund. The correlation of returns of the two funds is –0.20. Based on the information below, what is the portfolio’s VAR at a 5 percent probability level? Fund E(R) σ Value 12% 14.0% Growth 16% 20.0% 老师您好!为什么不能分别求VaR1和VaR2再用dollar形式求VaRp?我算完了与B选项相近,但不太一样?这个与解析中的方法相差很大。
查看试题 已回答An investor holds a portfolio of two long assets X and Y, valued recently at USD 85 million and USD 112 million, respectively. The 1-year probability of default for assets X and Y is 12% and 14%, and the joint probability of default is 4.5%. The loss given default for both assets is 45%.Calculate the estimated expected loss on the investor’s portfolio due to credit defaults over the next year. 老师您好!为什么第一种方法ELp=EL1+EL2不需要减去交叉部分?我认为还是有重复的部分啊,就比如1,2两个组合都买了同一只债券,那这只债券的损失就算了两次。
查看试题 已回答精品问答
- 不理解这里为什么Risk Chaampions & Business-Line Managers 负责monitor Operational Risk Function Operational Risk Committee 负责act 难道不应该是一线业务人员负责act,然后上一级负责monitor更贴切嘛
- 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?
- 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?
- 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
- 能解释一下这道题吗?
- 老师,请问计算式中,组合的Delta是怎么计算出来了的呢?
- 麻烦老师解释一下IRC和SRC,不太理解
- 可以帮我罗列一下二级case 常考的时间和原因结果m
