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- UID
- 222268
- 帖子
- 265
- 主题
- 64
- 注册时间
- 2011-7-2
- 最后登录
- 2014-6-29
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1. Are the following statements correct? Discuss with reasons.
A. DB plans can use Surplus at Risk (SAR) as a risk measure to indicate whether and how much contribution the sponsor might have to make
B. A fully funded plan has a surplus at risk of ￡9m/year at 5%. I interpret it as a 5% chance of a maximum pension deficit of ￡9m over the next year
C. Bond portfolios X and Y have same market value and durations. They will have similar VaR numbers.
2. Describe the following risk management technique.
i. Performance stopout
ii. Liquidity limits
iii. Risk factor limits
iv. working capital allocations
v. scenario analysis limits
vi. position concentration limits
vii. leverage limits |
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发表于 2011-7-11 20:00
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