CFA考試《CFA三級(jí)》歷年真題精選及詳細(xì)解析1007-21

1、CFA考試CFA三級(jí)歷年真題精選及詳細(xì)解析 1007-211 Which of the limitations of VaR analysis given by Reinfeldt is most likely correct?【單選題】A. Limitation 1B. Limitation 3C Limita廿on 2正確答案:c答案解析:VaR fails to incorporate positive results into its risk profile and, therefore, may provide an in complete picture of overall e

2、xposures2、The current amount of potential credit risk in the forward contract position is closest to:【單選題】A- $0-B. $1.53.C. $12.28正確答案:A答案解析:The value of the long position is $207 $200/(1.055)=$12.28 This result means that the short (the bank) owes thelong, so the bank would suffer no loss if the lo

3、ng went ban krupt3、Hackett's description of Beta's current approach to VaR estimation would most likely mention that it:【單選題】A. produces a wide range of randomly generated potential outcomes.B. often assumes a daily portfolio expected return of zero.C. is a non parametric method of estimati

4、ng VaR正確答案：c答案角軍析:The historical simulation approach to VaR measurement calculates what the change in the current portfolio's value would have been had it been held in the past, without making any assumptions about the distribution of asset returns4、Which of the following is closest to the month

5、ly VaR Fluelien will calculate for the large cap growth portfolio?【單選題】A. $4 million.B. $7 million.C. $17 million.正確答案:B答案解析：5、An advantage of the bank's method for estimating VaR isthe:單選題A. simplicity of the methodB. assumption that returns are normally distributedC ability to in corporate opti on ality into the an alysis.正確