爱考云 - 搜题找答案神器_海量试题解析在线查

题目 The following joint probability matrix captures the relationship between Inflation (which can be either Down, Steady or Up) and the Market (which can be either Bear, Range-bound, or [...]

题目 Your staff has determined that your 95% daily VaR model is perfectly accurate: on any given day, the probability that the loss exceeds VaR is 5%. What is the probability that next month, which [...]

题目 Assume the annual returns of Fund A are normally distributed with a mean and standard deviation of 10%. The annual returns of Fund B are also normally distributed, but with a mean and standard [...]

题目 Monte Carlo simulation is not suitable for pricing options in which of the following cases? 选项 A.An Asian option on a stock market index (payoff based on average stock price). B.A lookback [...]

题目 For two random variables (possibly dependent), X and Y, an upper bound on the covariance of X and Y is: 选项 A.σ_X σ_Y B.0 C.1 D.there is no upper bound unless the variables are [...]

题目 Which type of distribution produces the lowest probability for a variable that have a specified extreme value assuming the distributions have the same mean and variance? 选项 A.A leptokurtic [...]

题目 Given that x and y are random variables, and a, b, c and d are constant, which one of the following definitions is wrong? 选项 A.E(ax+by +c) = aE(x) + bE(y) + c, if x and y are correlated. [...]

题目 Roy Thomson, a global investment risk manager of FBN Bank, is assessing markets A and B using a two-factor model. In order to determine the covariance between markets A and B, Thomson [...]

题目 The return on a portfolio is normally distributed with an expected rate of return of 10%, and a standard deviation of 20%. What is the probability that the return will be between 0% and 5%? [...]

题目 A distribution of asset returns that has a significantly higher probability of obtaining large losses is described as: 选项 A.Thin tailed B.Asymmetrical C.Fat tailed D.Symmetrical 答案 C [...]