问题 单项选择题

计量市场风险时,计量VaR值时通常需要采用压力测试进行补充,因为()。

A.VaR值只在99%的置信区间内有效

B.压力测试提供一般市场情形下精确的损失水平

C.压力测试通常计量正常市场情况下所能承受的风险损失

D.VaR值反映一定置信区间内的最大损失,但没有说明极端损失

答案

参考答案:D

解析:

市场风险压力测试主要目标在于弥补VaR模型缺陷和强化风险管理。VaR模型缺陷主要表现在两方面:

①VaR不能反映极端情况下非正常市场中的损害程度,需要通过压力测试方法弥补VaR方法的缺陷;

②在压力情况下,风险因子的相关性可能发生改变。压力测试能捕捉压力状态下风险因子相关性发生改变的现象,反映极端事件的风险暴露。

阅读理解

Reading comprehension.

     Just the mention of the TOEFL, GRE and GAMT exams brings a thought of long hours of dull paper work.

But that idea is becoming increasingly out of date. As planned, computerized tests will begin next year which

will bring a series of changes from test psychology to scoring techniques.

     From computer-equipped rooms, examinees will answer the questions on a computer. If they are sure about

their choices, they can pass to the next question by pressing the entry (条目) "next". Then another question

will be randomly (任意地) selected from a vast test item bank and appear on the screen. After answering all the

questions, examinees can choose the entry "quit" if they are not satisfied with their performance or "score" if

they want to see the result. Scores will be calculated immediately and appear on the screen. By that point,

student's marks are official-there is no going back.

     Since they greatly shorten the painful waiting process-which used to be two or three months, computerized

tests have won worldwide popularity. Besides, there will be no rushing to the registration offices (登记处) for

these exams. Computerized tests will be given every workday in an exam center with all three kinds of tests

being held in the same room. All test takers need to do is to call the exam center and book their seats for a

particular day.

     In addition it will become technically possible to apply new testing procedures. In the past, each examinee

had the same set of test items despite differences in their ability. Under a computerized system, however, if the

computer judges an answer is right, a question of a relatively difficult nature will follow. But if an examinee

continues to give wrong answers and is judged as un-qualified by the computer system, he will be automatically

denied the chance to go further in the test.

1. Computerized tests allow the examinee to know their scores ______. [ ]

A. immediately on a central computer for scoring test papers

B. a few minutes after the exam with the help of a test center worker

C. on the next day after they have taken the exam

D. immediately after the exam by means of the same computer

2. If an examinee is not satisfied with his performance ______. [ ]

A. he can admit defeat and give it up

B. he can ask the computer to give some advice

C. he can ask another chance within a few days

D. he is allowed to do it once again

3. Under a computerized system, all of the following would be possible except that ______. [ ]

A. different exams can be taken in the same room

B. one doesn't need to rush to the registration officer for taking an exam

C. it will be much easier to pass an examination

D. one can take an exam almost at any time of the year

4. The word denied in the last sentence most probably means ______. [ ]

A. refused

B. allowed

C. lost

D. passed

单项选择题