2020年CFA考試《CFA三級》考試共題，分為。小編為您整理Risk Management5道練習(xí)題，附答案解析，供您備考練習(xí)。

1、Are Pearson's statements regarding the disadvantages of the historical method for estimating VaR most likely correct?【單選題】

A.No, the second statement is not a disadvantage.

B.No, the first statement is not a disadvantage.

C.Yes.

正確答案:B

答案解析:The nonparametric feature of the historical method is an advantage, not a disadvantage. The historical method requires minimal probability-distribution assumptions compared with other methods.

2、【單選題】

A.Currency Forward 

B.Currency Forward Contract: No; Put Option on the DJ Euro STOXX Index: Yes.

C.Currency Forward Contract: Yes; Put Option on the DJ Euro STOXX Index: Yes.

正確答案:A

答案解析:A is correct. Kreuzer is wrong on both. For the currency forward contract, the London securities 

3、Given Reinfeldt's estimate of VaR for the fixed-income strategy, which of the following statements is most likely accurate? During a five-day period, there is a:【單選題】

A.5% probability the portfolio will lose at least SEK10 million.

B.95% probability the portfolio will lose at least SEK10 million.

C.5% probability the portfolio will lose no more than SEK10 million.

正確答案:A

答案解析:VaR is a minimum. That is, there is a 5% chance that the portfolio will lose SEK10 million or more.

4、Assuming normally distributed returns, the 5% yearly VaR for Alpha's portfolio is closest to:【單選題】

A.$8,052,000.

B.$5,892,000.

C.$2,980,000.

正確答案:B

答案解析:There is a 5% chance the portfolio will lose 29.46%:

5、Which of the following swap contracts likely has the highest credit risk?【單選題】

A.Contract A.

B.Contract B.

C.Contract C.

正確答案:C

答案解析:The swap with the highest credit risk is swap C. At the beginning of a swap's life, the parties would not enter into the contract