2022年CFA考試《CFA三級(jí)》共240道單選題。幫考網(wǎng)為大家?guī)鞷isk Management5道練習(xí)題，附答案解析，供大家備考練習(xí)，做自我提升測試：

1、Which of the limitations of VaR analysis given by Reinfeldt is most likely correct?【單選題】

A.Limitation 1

B.Limitation 3

C.Limitation 2

正確答案:C

答案解析:VaR fails to incorporate positive results into its risk profile and, therefore, may provide an incomplete picture of overall exposures

2、The current amount of potential credit risk in the forward contract position is closest to:【單選題】

A.$0.

B.$1.53.

C.$12.28.

正確答案:A

答案解析:The value of the long position is $207 – $200/(1.055) = $12.28. This result means that the short (the bank) owes the long, so the bank would suffer no loss if the long went bankrupt.

3、Hackett////\\'s description of Beta////\\'s current approach to VaR estimation would most likely mention that it:【單選題】

A.produces a wide range of randomly generated potential outcomes.

B.often assumes a daily portfolio expected return of zero.

C.is a nonparametric method of estimating VaR.

正確答案:C

答案解析:The historical simulation approach to VaR measurement calculates what the change in the current portfolio////\\'s value would have been had it been held in the past, without making any assumptions about the distribution of asｓｅｔreturns.

4、Which of the following is closest to the monthly VaR Fluellen will calculate fｏｒthe large cap growth portfolio?【單選題】

A.$4 million.

B.$7 million.

C.$17 million.

正確答案:B

答案解析:

5、An advantage of the bank////\\'s method fｏｒestimating VaR is the:【單選題】

A.simplicity of the method.

B.assumption that returns are normally distributed.

C.ability to incorporate optionality into the analysis.

正確答案:A

答案解析:The analytical model uses readily available data ａｎｄ simple calculations.

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