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1.Which of the following is not a step in the reverse stress testing methodology?
A. cause.
B. hedging.
C. events.
D. outcome.
2.All of the following are appropriate methods for addressing return aggregation in volatility forecasting methods EXCEPT:
A. the historical standard deviation approach creates a variance-covariance matrix that is estimated under the assumption that all asset returns are normally distributed.
B. the historical simulation approach weights returns based on market values today, regardless of the actual allocation of positions K days ago.
C. the RiskMetricsTM approach creates a variance-covariance matrix that is estimated under the assumption that volatility is constant over time.
D. for well-diversified portfolios, the strong law of large numbers is required to estimate the volatility of the vector of aggregated returns.
3.Use the following joint probability distribution to answer the questions below.
The expected value of Y is closest to:
A. 0.2.
B. 1.0.
C. 2.2.
D. 2.3.
Answer:
1.A
The three phases of reverse stress testing are: outcome, events and hedging.
2.C
Both the RiskMetricsTM and the historical standard deviation approach create variance-covariance matrices that are estimated under the assumption that all asset returns are normally distributed. A major disadvantage of this approach is the number of calculations required to estimate VAR.
3.C
p(Y=1)=0.05+0.05+0.15=0.25, p(Y=2)=0.05+0.10+0.15=0.30, and p(Y=3)=0.10+0.15+0.20=0.45, so E(Y)=0.25(1)+0.30(2)+0.45(3)=2.20.
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