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Which of the following items is not one of the advantages of non-parametric simulation methods?

A) Data that requires adjustments is often readily available.

B) Intuitive and often computationally simple.

C) Not hindered by parametric violations of skewness.

D) Can accommodate more complex analysis.

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答案：A

解析：An advantage of non-parametric methods is that data is often readily available and does not require adjustments (e.g., financial statements adjustments).

The price value of a basis point (PVBP) of a bond portfolio is $45,000. Expected changes in interest rates over the next year are summarized below:

Change in Interest rates Probability

>+1.50% 1%

+1.00-1.49% 29%

0.00-0.99% 20%

-0.99-0.00% 45%

<-1.00% 5%

What is the value at risk (VaR) for the bond portfolio at a 99 percent confidence level?

A) $2,250,000.

B) $4,500,000.

C) $6,750,000.

D) $7,850,500.

答案：C

解析：At 1% probability level change in interest rates is 1.50% or higher. Change in Portfolio value for a 150 bps change in rates = 150*45000 = 6,750,000 VAR = 6,750,000.掃碼咨詢

All of the following approaches improve the traditional historical simulation approach for estimating VaR except the:

A) Volatility-weighted historical simulation.

B) Age-weighted historical simulation.

C) Market-weighted historical simulation.

D) Correlation-weighted historical simulation.

答案：C

解析：Age-weighted historical simulation weights observations higher when they appear closer to the event date. Volatility-weighted historical simulation adjusts for changing volatility levels in the data. Correlation-weighted historical simulation incorporates anticipated changes in correlation between assets in the portfolio.

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