A portfolio manager plans to add a new position of USD 100,000 to current portfolio of USD 10 million.
Which ofthe following statements would be considered a drawback of Basel III?
Which ofthe following statements about credit risk models is correct?
Assume that a hedge fund provides a large positive alpha. The fund can takeleveraged long and short positions in stocks.
An analyst has gathered the following information about ABC Inc. a.'1d DEF Inc.The respective credit ratings are AA and BBB with l-year CDS spreads of200 and 300 basis points each.
The capital conservation buffer:
The marginal probability of default for years one and two is 0.5% and1.1 %,respectively.
With regard to the factors that determine recovery rates of traded bonds, which of the following statements is false?
FRM二级易错题精选：The geometic average return（计算题）丨Matt James is assessing the performance of his portflio over the last four years.In computing the average return,he decides to use the geometric average retum since it provides a
FRM二级易错题精选：Autocorrelation丨Arisk analyst in a fund of funds is gauging the liquidity risk exposure of a hedge fund by examining the autocorrelation in the fund's returns.If found,a significant first-order autocorrelation coefficient