Free ICBRR Exam Braindumps (page: 46)

Which of the following statements describes correctly the objectives of position mapping ?

I) For VaR calculations, mapping converts positions based on their deltas to underlying factor risks.
II) Position mapping models risk factors affecting the value of a position as combination of core risk factors used in the VaR calculations.
III) Position mapping groups similar positions into one group based on the closeness of their respective VaR.
IV) Position mapping reduces the possible number of risk factors to a computationally manageable level.

Which one of the following four statements describes the advantage of using delta-gamma method of mapping options positions over delta-normal method?
Delta-gamma method

Which of the following statements about parametric and nonparametric methods for calculating Value-at-risk is correct?

Which of the following statements about the option gamma is correct? Gamma is the

I) Second derivative of the option value with respect to the volatility.
II) Percentage change in option value per percentage change in the price of the underlying instrument.
III) Second derivative of the value function with respect to the price of the underlying instrument.
IV) Rate of change of the option delta with respect to changes in the underlying price.