Worst Case Loss
Tolerance Level
Normality of returns
Liquidation period
None of the above
SMA VaR
EWMA VaR
Historical VaR
Incremental VaR
None of the above
True
False
True
False
True
False
The arithmetic difference between consecutive daily prices
The proportion of consecutive daily prices less 1
The natural logarithm of the daily price
The natural logarithm of the difference between consecutive daily prices
None of the above
STDEV (Daily Prices)
VAR (Daily Prices)
STDEV (% Change in Daily Returns)
VAR (% Change in Daily Returns)
STDEV (Daily Returns)
True
False
Monte Carlo Simulation Approach
Simple Moving Average Variance Covariance Approach
Exponentially Weighted Moving Average Variance Covariance Approach
Historical Simulation Approach
None of the Above
Variance Covariance, Monte Carlo Simulation, Historical Simulation
Monte Carlo Simulation and Historical Simulation
Monte Carlo Simulation
Variance Covariance
Historical Simulation
The underlying volatility of the equity portfolio
The maximum loss that can be experienced in the equity portfolio over a specified holding period
The worst case loss that can be experienced in the equity portfolio with a certain level of probability
The regulatory capital needed to cover the underlying risk in the equity portfolio
None of the above
Liquidity factor
Confidence Level
Normal Distribution
Ordered Distribution
Past Data
1.72%
2.34%
5.44%
6.03%
7.40%
Calculate the VaR for each instrument in the portfolio and then calculate a weighted average using these VAR figures and the instruments respective weight in the portfolio.
Calculate the volatility for each instrument in the portfolio and then calculate a weighted average volatility. Use the appropriate confidence level and holding period to determine the portfolio VaR from this average volatility.
Calculate a weighted average prices series for the portfolio. Calculate the returns of the resulting weighted average price series. Determine the standard deviation of this resulting return series. Use the appropriate confidence level and holding period to determine the portfolio VaR from this volatility.
Calculate a weighted average returns series for the portfolio. Determine the standard deviation of this resulting return series. Use the appropriate confidence level and holding period to determine the portfolio VaR from this volatility.
None of the above.
True
False
Duration
Convexity
Maturity
Price
Yield
True
False