[2008]Topic 74: Portfolio Risk: Analytical Methods 相关习题 individual, following, position, entire, return

wanganjie

 

AIM 1: Define individual VAR, marginal VAR, incremental VAR and diversified portfolio VAR.

1、After regressing the return of a position in the portfolio on the return of the entire portfolio, the slope coefficient (beta) can be used in the marginal VAR formula. Which of the following is the best representation of that formula? Marginal VAR equals:

A)  [attach]13943[/attach]

 

 

B)  [attach]13944[/attach]

 

 

C)  [attach]13945[/attach]

 

 

D)  [attach]13946[/attach]

 

[此贴子已经被作者于2009-7-2 10:16:09编辑过]

wanganjie

 

The correct answer is D

This is the correct formula.

 

wanganjie

 

2、Marginal VaR is best described as the change in VaR that results from:

A) subtracting idiosyncratic VaR from total VaR.

B) changing the weight on an existing position by one unit.

C) removing an existing asset from a fund. 

D) adding a new asset to a fund.

wanganjie

 

The correct answer is B

Marginal VaR or MVaRi, is the change in the portfolio VaR per unit change in the weight in Fund i. The following is an expression that represents the marginal VaR of a portfolio:

 

 

[attach]13947[/attach]

wanganjie

 

3、With respect to marginal VaR (MVaR), which of the following is FALSE?

A) MVaR is the amount of risk a fund contributes to a portfolio. 

B) MVaR is an approximation based upon a small change in a fund’s portfolio weight.

C) MVaR can be positive or negative.

D) MVaR is a rate of change measure.

wanganjie

 

The correct answer is A

MVaR is defined as the change in the portfolio VaR per unit change in the weight in a fund. The amount of risk a fund contributes to a portfolio is the definition of component VaR (CVaR).

wanganjie

 

4、Which of the following is the best interpretation of incremental VaR?

A) It is marginal VaR where the initial weight is zero.

B) It is the VaR for the first step into the tail beyond the VaR level.

C) It is the VaR for liquidating a position in increments. 

D) It is the amount of risk a particular fund contributes to a portfolio of funds.

wanganjie

 

The correct answer is A

Incremental VaR (IVaRi) is an estimate of the amount of risk a proposed new position in Fund i will add to the total VaR of an existing portfolio.

 

 

[attach]13948[/attach]

wanganjie

 

AIM 5: Compute the variance minimizing allocation or best hedge when adding a single risk factor to a portfolio.

When considering increasing the dollar exposure to a given position with a single risk exposure, the best hedge or minimum-variance allocation is represented by:

A) 

 

 [attach]13949[/attach]

B) 

 

 [attach]13950[/attach]

C) 

 

 [attach]13951[/attach]

D) 

[attach]13952[/attach]

wanganjie

 

The correct answer is C

In symbols, the representation is either of the following:

 

 

[attach]13953[/attach]