a.

20%

b.

10%

c.

5%

d.

2%

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.

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.

a.

1.09%

b.

1.10%

c.

1.11%

d.

1.12%

a.

A parallel shift

b.

A slope change

c.

A bowing

d.

An increase in short rates

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).

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

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.

a.

1

b.

2

c.

3

d.

4

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.