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The minimum amount of money that one could expect to lose with a given

probability over a specific period of time is the definition of:

A) Value at risk (VAR).

B) Delta.

C) The hedge ratio.

D) The coefficient of variation.

答案：A

解析：This is an often-used definition of VAR.掃碼咨詢

Aportfolio has a current value of $40 million and its geometric returns are normally distributed with annual mean of 12.0% and annual volatility (standard deviation) of 40%. Because the geometric returns are normal, the future value of the portfolio has a lognormal distribution. If the returns are i.i.d., what is the 95% confident level, 10-day lognormal value at risk?

A) $2.91 million

B) $3.86 million【資料下載】FRM一級(jí)思維導(dǎo)圖PDF版

C) $4.77 million

D) $5.07 million

答案：C

解析：10-day mean = 12% * 10/250 = 0.48% 10-day volatility = 40% * sqrt(10/250) = 8%

lognormal VaR = 40 * (1 - exp(0.48% - 8% * 1.645)) =4.76

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