Fill This Form To Receive Instant Help

Help in Homework
trustpilot ratings
google ratings


Homework answers / question archive / Week 6 Quiz QUESTION 1 If the volatility for a portfolio is 20% per year, what is the volatility per quarter? a

Week 6 Quiz QUESTION 1 If the volatility for a portfolio is 20% per year, what is the volatility per quarter? a

Finance

Week 6 Quiz

QUESTION 1

  1. If the volatility for a portfolio is 20% per year, what is the volatility per quarter?

a.

20%

b.

10%

c.

5%

d.

2%

10 points   

QUESTION 2

  1. Which of the following is true of a positive semi-definite variance-covariance matrix?

a.

All elements of the matrix are positive.

b.

The determinant of the matrix is positive.

c.

The matrix has ones on the diagonal.

d.

The matrix is internally consistent.

10 points   

QUESTION 3

  1. Which of the following is true?

a.

Expected shortfall is always less than VaR.

b.

Expected shortfall is always greater than VaR.

c.

Expected shortfall is sometimes greater than VaR and sometimes less than VaR.

d.

Expected shortfall is a measure of liquidity risk whereas VaR is a measure of market risk.

10 points   

QUESTION 4

  1. The parameters in a GARCH (1,1) model are: omega = 0.000002, alpha = 0.04, and beta = 0.95. The current estimate of the volatility level is 1% per day. What is the expected volatility in 20 days?

a.

1.09%

b.

1.10%

c.

1.11%

d.

1.12%

10 points   

QUESTION 5

  1. In the case of interest rate movements, the most important factor corresponds to

a.

A parallel shift

b.

A slope change

c.

A bowing

d.

An increase in short rates

10 points   

QUESTION 6

  1. Which of the following is true?

a.

EWMA is a particular case of GARCH (1,1) where the reversion rate is zero.

b.

EWMA has a lower reversion rate than GARCH (1,1), but it is not zero.

c.

EWMA has a higher reversion rate than GARCH (1,1).

d.

Sometimes EWMA has a higher reversion rate than GARCH (1,1) and sometimes it has a lower reversion rate than GARCH (1,1).

10 points   

QUESTION 7

  1. Which was the minimum capital requirement for market risk in the 1996 BIS Amendment?

a.

At least 3 times the 10-day VaR with a 99% confidence level

b.

At least 3 times 7-day VaR with a 97% confidence level

c.

At least 2 times 5-day VaR with a 95% confidence level

d.

1-day VaR with a 99% confidence level

10 points   

QUESTION 8

  1. Which of the following is true?

a.

All option implied volatilities tend to move by the same amount from one day to the next.

b.

The implied volatilities of long-dated options tend to move by more than the implied volatilities of short-dated options.

c.

The implied volatilities of short-dated options tend to move by more than the implied volatilities of long-dated options.

d.

Sometimes B is true and sometimes C is true.

10 points   

QUESTION 9

  1. How many parameters are necessary to define a GARCH (1,1) model?

a.

1

b.

2

c.

3

d.

4

10 points   

QUESTION 10

  1. Which of the following is true when the parameter lambda equals 0.95?

a.

The weight given to the most recent observation is 0.95.

b.

The weight given to the observation one day ago is 95% of the weight given to the observation two days ago.

c.

The weights given to observations add up to 0.95.

d.

The weights given to the observation two days ago is 95% of the weight given to the observation one day ago.

 

Option 1

Low Cost Option
Download this past answer in few clicks

4.99 USD

PURCHASE SOLUTION

Already member?


Option 2

Custom new solution created by our subject matter experts

GET A QUOTE