标题: Reading 37: Risk Management －LOS e [打印本页]
作者: cfaedu 时间: 2008-9-17 17:16 标题: [2008] Session 12－Reading 37: Risk Management －LOS e
CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 12: Risk Management
Reading 37: Risk Management
LOS e: Interpret and compute value at risk (VAR) and explain its role in measuring overall and individual position market risk.
作者: cfaedu 时间: 2008-9-17 17:16
The minimum amount of money that one could expect to lose with a given probability over a specific period of time is the definition of:
|
|
|
| D) | the coefficient of variation. |
|
Answer and Explanation
This is an often-used definition of VAR.
作者: cfaedu 时间: 2008-9-17 17:17
Value at risk (VAR) is a benchmark associated with a given probability. The actual loss:
| A) | cannot exceed this amount. |
|
| B) | is expected to be the average of the expected return of the portfolio and VAR. |
|
|
| D) | will have an inverse relationship with VAR. |
|
Answer and Explanation
VAR is a benchmark that gives an estimate of what magnitude of loss would not be unusual. The actual loss for any given time period can be much greater.
作者: cfaedu 时间: 2008-9-17 17:17
If the one-day value at risk of a portfolio is $50,000 at a 95 percent probability level, this means that we should expect that in one day out of:
A) | 20 days, the portfolio will decline by $50,000 or more. |
|
| B) | 20 days, the portfolio will decline by $50,000 or less. |
|
| C) | 95 days, the portfolio will lose $50,000. |
|
| D) | 95 days, the portfolio will increase by $50,000 or more. |
|
Answer and Explanation
This means that 5 out of 100 (or one out of 20) days, the value of the portfolio will experience a loss of $50,000 or more.
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |