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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

a. 
20% 

b. 
10% 

c. 
5% 

d. 
2% 
10 points
QUESTION 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. 
10 points
QUESTION 3

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

a. 
1.09% 

b. 
1.10% 

c. 
1.11% 

d. 
1.12% 
10 points
QUESTION 5

a. 
A parallel shift 

b. 
A slope change 

c. 
A bowing 

d. 
An increase in short rates 
10 points
QUESTION 6

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

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

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

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

d. 
1day VaR with a 99% confidence level 
10 points
QUESTION 8

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

b. 
The implied volatilities of longdated options tend to move by more than the implied volatilities of shortdated options. 

c. 
The implied volatilities of shortdated options tend to move by more than the implied volatilities of longdated options. 

d. 
Sometimes B is true and sometimes C is true. 
10 points
QUESTION 9

a. 
1 

b. 
2 

c. 
3 

d. 
4 
10 points
QUESTION 10

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. 
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