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anges.theacmrenteof血on,istheupdated195%ESusithehistoricalapproach?ESAUSD3.2815B.USD4.7012.1554.Oneoftheriskmanagementbuildingisneedtoriskrew皿GARPsays,"Economiccapitalprovideswithaconcept25-46Add/上市松花讓路253?復(fù)旦料1支園1號(hào)樓(200437)Tel/400-700-9596WebIWWW.GFEDU.NET金程教育WWW.GFEDU.NET專業(yè)·創(chuàng)新·增值A(chǔ)mutt1:al和nds扣ehigh,becauseesmallandmedium皿estors.B.Hedge?mdsprovidetheredemptionateaNedisclosmeiandinvestments訂ateg比s,rueedanaiemaiw01thii57.eight-monthdateeightTcon訂actonastockwithaof$102/shaie.Theisexpe:cteda.20/share4months4%,8months4.5%.Thetheoretical打dprice(tocent)is58.IfD/USDis6650=0.6650USD)and小erisk-丘eerateswithannualcompOlmdingtheUSDa皿1.and4.5%whatisbow1dofa5-monthE-opeanputapriceof59.AcommodityriskinterestedacommodityaG1)modeland薩0.91.Thecunentis27-46Add/上市松花讓路253?復(fù)旦料1支園1號(hào)樓(200437)Tel/400-700-9596WebIWWW.GFEDU.NET64.A1iskanalystthegacopulamodelonacopula:twoloansapo1tbyt血es.usedva1iables,訂e65.Apo1ttheGARCH(l,1)basedontheresofastock0.000175+Oi.025μ;_+ofofthestock1andannualee5%.aie250訂daysinathelong-te1mtheGARCH(l,1)modeLtheA皿ek0.1long-te1mualized3.36%.C.long-te1mdailyvariance3.36%.nofstockO.19.66.Afaboutincreasesfederalfrateandthe江血pactontForaforecastpe1iod,面steam????A60%thatFederalRes<!1venotfederalA32%thaton500be-10%and+10%.A38%chancethatrenontheS&P500bethan-10%.血1andthatBasedonestiiatesabove,thattheFederalRese1vethefederalrate,30-46dd/上市松花讓路253?復(fù)旦料1支園1號(hào)樓(27)Tel/Web/WWW.GFEDU.NET專業(yè)·創(chuàng)新·增值testsaieD.(e.g.,base,adverse,severelyECNaRgenerate77.Dma36-monththeeeratewasacompa1themarketpo1tandfmanagers.BettydPeter.sre血nwasaof24.0%cpa:xuebaju叨was+avolat山tywas+1aIftheedporrepresentsaoftl1eagoodmeasmePeter'sTbetterth皿Betty'sC.Betty'spo1tah'eadyonthatdonotexpectheragoodmeasmeandnsen's)alphathanPeter's78.Management,amoneym,打allocatedmeasmetanceofthebased杠softIorderthepo1to1manceof%的投入!dd/上市松花讓路?復(fù)旦料1號(hào)樓()Web/WWW.GFEDU.NET專業(yè)·創(chuàng)新·增值industly,product,oramongB.stagesreducetheleveragee?ect1e.Po1tgpenntheessamoreaccurateinc01poratestheallocationofoverhead.D.kgdamongandbetter、andingofsworsenente184.theofstockbelow,gthesanddyStockXdStockY.Alythenethecludes55dgThecomputedthet1,dthelambdaparameterareStockXStockYt-10%t6.1528%4.3667%10.1%s-ll0%StockXdamodest2%11totbyStockY.aientheupdatedthetwas0.7032?39-46IOI%的投入!令業(yè)Add/上海市松花讓路253?復(fù)旦抖忮園1號(hào)樓(200437)Tel/400Web/WWW.GFEDU.NET專業(yè)·創(chuàng)新·增值2.20%?·3.40%m1.5sclosestto:91.95%$122.97)meancapitalamountof$120tofgiscalculatedto($117.03,improveaccmacyofcon?dencenasimulationofWhatisthenewcon?denceialwithasimlationofscenaiiosthesameA92.AaI-dayVaRatthe95%con?dencethenewaB.2.202.94D.3.1793.regrudpolicies,liskgoverancerequirestappetiteandlinlitsspecificbusipractices.ate血itsAdd/上市松花讓?復(fù)旦料1支園1號(hào)樓(27)Tel/400-700-9596WebIWWW.GFEDU.NET專業(yè)·創(chuàng)新·增值eachbusinessasspecificrisksassociatedportfoliooftheente1prise)."Mostsetttypesoflinlits,tierl(one)tier皿its.Aboutits,thea:xuebaun888sFilmsandeitheradopttier1tier2itsbutbothsimultaneouslyB.口l(tierone)limitexceedancesmustbecler·ed皿mediately,letier2afewaC.Tier2(tieritsai·especificandianoverall血itbyassetclass,anT四l(tierone)l血r·emgener汕zedrelatetor·easactivityexposmescategorizedbyrating,maand94.Montesimulationsai·etherearesmallsampleWewanttoincreasetheaccmacyofsimulationreducingthedenorestimate.Therearemanyvriancereductiontechniquesavailabletochoose.tstatementsisnotconectaboutvai·iancereductiontecniques?morecomplexmulti-periodsimulations.simulationusingacomplementsetoforiginalsetofvriables.C.Avai·iateinvolvesreplacingavprope1tiesai佃variableythatD.Reusingsetsofnumber扛MonteCaioexperimentsdecreasestheestimatev狟abilityacrossexperimentsusingtheesetofrandomnumberssimulation.95.Convexityagoodyinxed-incomesecurityti·ading.PositiveconvexityenhancesninterestratesmThethemoveineitdirection,thethe%的投入!dd/上市松花讓路?復(fù)旦料1號(hào)/2樓2007)Web/WWW.GFEDU.NET金程教育WWW.GFEDU.NET專業(yè)·創(chuàng)新·增值oms)ns(includithisGMembers'professionalactivitiesandpa1加pateorassistanyviolationofsuch2haveresponsibilitiesandotout-somce小oseresponsibilitiesothers.3understandtcomplexityoftl比f(wàn)employerorprovideappropriateandsuitableriskmanagementservicesand4beoverstatingtheaccmacyofresultsexpertise扣attunet2.ratebonowifor?vemonthsandreitiefThe扛=n*p*(p)打d=case,ddeviation=WZ=(30-60*==Pr(Z<-2.0)=2.2750%9.Answer:D10.Answer:AComputationalDNmneiicalFixedrate6%,x10m詛ion=USD300,000.atof5%+%=2-20寺業(yè)來(lái)伺IOI%的投入fAdd/上湖rb松化讓送239號(hào)復(fù)旦科技園1號(hào)樓2(200)rel/ebWWW勸印U.N日專業(yè)·創(chuàng)新·增值(0.055/2)x10million=USD275,000.1.Theratesrueperfectlyconelatedandspreadsmayvruyt血e,wltichresult血ee-montheasuriesiinperfectlyhedgedagainsttluee-montheurodollru·depositsisanexruofmruketsk.cpa:Xuebajun888stheprevailingmruketceIfthe6%X100X100+100—=G103.7722m(1+4%)25%x175+175(1+?!%)2=USO18932mValue(USD)=18932-103.7722x1=USO29.5349m13.Answer:APortfolioAisealisticbecauseitis"moree?cient"po面olio:ithasaShruperatioof1.0stmarketolio'sSharpeof(13%-Id(B),(C)and(D),eachisplausible打PortfolioB15.0%0.40witl1aCAPMrettun,=C'sJensen'salpha20.0%-3.0%-1.I0.2=D'sJensen'salpha-*2=%的投入!dd/上誨巾松比讓路2號(hào)復(fù)旦科號(hào)樓()rel;eb/WWW勸印U.N日金程教育WWW.GFEDU.NET專業(yè)·創(chuàng)新·增值wi由nodividend.ThusAisthe26.Answer:Dprocesseswhetherautomatedmanualothe1wise)Documentationanexplanationofapprop1iatenessofanymanual打andproposedactionsreducethe27.Answer:DC=SN(d)-Ke-rtN(d)=100x0.57-100xe-.12鈕sX0.48=9.95P=Ke-rtN(-d)-SN(-d)=100Xe-X(1-0.48)-100X(1-0.57)=7.972128.Answer:C10%X60%=18%10%X60%+90%X30%29.:DTheisto1year8%bondothertwonbonds.PriceCashF。(t=0.5)CashF(t=1)ReplicatingWeightBond196.1254Therefore,thep1iceofthe8%bondbe0.2x2+0.8x106.20=104.18430.:C7-20Add/上誨巾松比讓39號(hào)復(fù)旦科技園1樓號(hào)樓(2Tel/Web/WWW釭印U.Ntl;l1;PRN==:B:C.R2/0;in===r===TisileTttetertifainol.aditv:BffiRit-Rf=]+?iMLt+10-20Add/上誨巾松比讓39號(hào)復(fù)旦科技園1樓2號(hào)樓(2Tel/Web/WWW釭印U.Ntl金程教育WWW.GFEDU.NET專業(yè)·創(chuàng)新·增值interceptterm位)tl1eabnonnalofcontrollingitsexpoSu-esthe6%-2%=u+0.5(0.06)+0.25(0.04)+0.3(0.04)u=l.2%size,and==2.21359%andscaledvolatilityals2.21359%*sq1t(250)=35.00%Pleasenotethat,altercalculatethemlikel山oodestimated(MLE)V虹ncebyuaof(n)of(n-1);thiscase,thev0.00441010=0.000441,isthevolatilityestimatealssqrt(0.000441)=2.100%volatilityals2.1sqit(250)=33.20%,incasechoice(D)isstilltheNEWhyeither?Becauseisasampleestiandmorethanpossible.Theisdesirableprope1tiesoftheestivide:xuebajun888s扛ianceisV扛53.Answer:B11%的投入!dd/上誨巾松比讓路2號(hào)復(fù)旦科1/2號(hào)樓2)rel;eb/WWW勸印U.N日金程教育WWW.GFEDU.NET專業(yè)·創(chuàng)新·增值()-P(aboveln
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