题目内容

The gain from a project is equally likely to have any value between -$0.15 million and +$0.85 million. What is the 99% expected shortfall? ( )

A. $0.145 million
B. $0.14 million
C. $0.13 million
D. $0.10 million

查看答案

搜索结果不匹配？点我反馈

更多问题

Which of the following is true of the historical simulation method for calculating VaR? ( )

A. It fits historical data on the behavior of variables to a normal distribution
B. It fits historical data on the behavior of variables to a lognormal distribution
C. It assumes that what will happen in the future is a random sample from what has happened in the past
D. It uses Monte Carlo simulation to create random future scenarios

查看答案

In a floor with semiannual reset dates, the floor rate is 3.5% per annum and the notional principal is $1 million. Suppose that the LIBOR rate is 3% per annum for a particular 6-month period. What is the approximate payoff at the end of the 6 months? ( )

A. $10,000
B. $5,000
C. $2,500
D. $1,250

查看答案

In a shout call option the strike price is $30. The holder shouts when the asset price is $40. What is the payoff from the option if the final asset price is $35? ( )

A. $0
B. $5
C. $10
D. $15

查看答案

A floating lookback call option pays off which of the following ( )

A. The amount by which the final stock price exceeds the minimum stock price
B. The amount by which the maximum stock price exceeds the final stock price
C. The amount by which the strike price exceeds the minimum stock price
D. The amount by which the maximum stock price exceeds the strike price

查看答案

The gain from a project is equally likely to have any value between -$0.15 million and +$0.85 million. What is the 99% expected shortfall? ( )

A. $0.145 million B. $0.14 million C. $0.13 million D. $0.10 million

Which of the following is true of the historical simulation method for calculating VaR? ( )

In a floor with semiannual reset dates, the floor rate is 3.5% per annum and the notional principal is $1 million. Suppose that the LIBOR rate is 3% per annum for a particular 6-month period. What is the approximate payoff at the end of the 6 months? ( )

In a shout call option the strike price is $30. The holder shouts when the asset price is $40. What is the payoff from the option if the final asset price is $35? ( )

A floating lookback call option pays off which of the following ( )

A. $0.145 million
B. $0.14 million
C. $0.13 million
D. $0.10 million