第二章单元测试
- VaR measures the worst loss. （ ）
- The confident level is a percentage number, which measures the likelihood of acceptable loss. （ ）
Stress tests are designed to test the stability of financial institutions in the face of ordinary, routinely occurring, non-disruptive events.（ ）
- VaR satisfies sub-additivity, which means that the VaR of two risk assets/portfolios is lower than the sum of the two VaRs.（ ）
- Which of the following is correct about VaR? （ ）
A:错 B:对
答案:错
A:错 B:对
答案:错
A:对 B:错
答案:错
A:对 B:错
答案:对
A:VaR measures downside risks. B:VaR has a fixed time horizon of one year. C:VaR is a percentage number. D:VaR is the threshold between acceptable and unacceptable risks.
答案:VaR measures downside risks.###VaR is the threshold between acceptable and unacceptable risks.
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