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Free ICBRR Exam Braindumps (page: 48)

Page 48 of 87
PDF with 342 Questions

In analyzing the historical performance of a financial product, you are concerned about "fat tails", the probability of extreme returns compared to realized returns.
Which of the following measures should you use to determine if the product return distribution of the product has "fat tails"?

  1. Mean
  2. Standard deviation
  3. Skewness
  4. Kurtosis

Answer(s): D



Jack Richardson wants to compute the 1-month VaR of a portfolio with a market value of USD 10 million, with an average monthly return of 1% and average monthly standard deviation of 1.5%.
What is the portfolio VaR at 99% confidence level?
Probability Cumulative Normal distribution

0.90 1.282
0.91 1.341
0.92 1.405
0.93 1.476
0.94 1.555
0.95 1.645
0.96 1.751
0.97 1.881
0.98 2.054
0.99 2.326

  1. 164,500
  2. 232,600
  3. 246,750
  4. 348,900

Answer(s): D



What do option deltas measure?

  1. The rate of change of the option value with respect to changes in volatility of the underlying instrument.
  2. The sensitivity of the option value to changes risk free interest rate.
  3. The rate of change of the option value with respect to changes in the price of the underlying instrument.
  4. The sensitivity of the option value to the passage of time.

Answer(s): C



AlphaBank estimates its 1-month, 95% VaR is 30 million EUR. This means that in the next month, there is a

  1. 95% chance that AlphaBank can lose more than 30 million EUR.
  2. 95% chance that AlphaBank will lose exactly 30 million EUR.
  3. 95% chance that AlphaBank can lose at most 30 million EUR.
  4. 95% chance that AlphaBank will at least lose 30 million EUR.

Answer(s): C



Page 48 of 87



Post your Comments and Discuss GARP ICBRR exam with other Community members:

Vey commented on May 27, 2023
highly appreciate for your sharing.
CAMBODIA
upvote

Vey commented on May 27, 2023
Highly appreciate for your sharing.
CAMBODIA
upvote