距离下一次FRM考试还有
000

FRM一级易错题精选:Delta-normal and full-revaluation

发表时间:2017-11-06 13:39
作者:FRM考试网
告诉小伙伴
Consider the delta-normal and full-revaluation approaches to estimatingthe VAR of non-linear derivative instruments.Which of the following is NOT a requirement for either the delta-normal or full-revaluation approach?
 
A.The VAR(1%)of the underlying asset is adjusted by a factor reflecting the price sensitivity of the derivative price to changes in the underlying asset price.
 
B.A second order adjustment is made to the underlying asset VAR(1%)to account for the non-linear relationship between the derivative and the underlying asset.
 
C.The VAR(1%)of the derivative is calculated by revaluing the derivative at the price corresponding to a VAR(1%)decline in the value of the underlying asset.
 
D.The VAR(1%)of the asset underlying the derivative is based on an assumed normal distribution.
 
FRM一级
 
Answer:D
 
The delta-normal approach to estimating the VAR of a non-linear derivative adjusts the VAR of the underlying asset for the delta(slope)and gamma(curvature)of the relationship between the derivative and the underlying.The VAR of the underlying asset can be calculated using parametric methods(assuming a normal distribution)or using historical methods(which does not assume a normal distribution).

声明丨本文由FRM考试网(frm.gaodun.cn)精编整理,未经许可不得随意转载或引用。
 

报名、考试时间

2017年11月2018年05月
报名时间 第一阶段:2017.05.01~06.30
第二阶段:2017.08.01~08.31
第三阶段:2017.09.01~10.15
考试时间 2017年11月18日(周六)
成绩查询 2018年01月03日(周三)
报名时间2 第一阶段:2017.12.1~18.1.31
第二阶段:2018.02.01~02.28
第三阶段:2018.03.01~04.15
考试时间 2018年05月19日(周六)
成绩查询 2018年07月04日(周三)
  • 2017年FRM考试
  • FRM考试网