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LOS j: Demonstrate the use of risk budgeting, position limits, and other methods for managing market risk.
Q1. Using the following information from a firm that uses enterprise risk management, which portfolio manager has superior performance and why?
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Manager A |
Manager B |
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Capital |
$150,000,000 |
$590,000,000 |
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VAR |
$7,500,000 |
$21,000,000 |
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Profit |
$2,000,000 |
$7,000,000 |
A) Manager B because their return is higher in a risk budgeting context.
B) Manager A because they had a higher return on capital.
C) Manager A because they used less VAR.
Q2. Which of the following is the most widely accepted definition of market risk?
A) Duration.
B) The potential loss from investing in stocks and bonds.
C) The potential change of value in an asset or derivative in response to a change in some basic source of uncertainty.
Q3. Which of the following is a type of market risk?
A) Operations risk.
B) Accounting risk.
C) Interest rate risk.
Q4. For a firm that uses enterprise risk management, what type of limit should be used to ensure firm diversification?
A) Risk factor limit.
B) Position limit.
C) Liquidity limit.
Q5. For a firm that uses enterprise risk management, how should a deviation from a risk budget be dealt with?
A) The deviation should be reported immediately to upper management.
B) Each portfolio manager should have the discretion to determine the correct response.
C) The manager should take steps to hedge the position that caused the violation of the risk budget.
Q6. Which of the following is a source of market risk?
A) Equity prices.
B) Taxes.
C) Operations. | 
发表于 2009-4-7 18:52
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