Which of the following belong to the family of generalized extreme value distributions:
1. Frechet
2. Gumbel
3. Weibull
4. Exponential
Which of the following is not a measure of risk sensitivity of some kind?
Which of the following are true:
1. The total of the component VaRs for all components of a portfolio equals the portfolio VaR.
2. The total of the incremental VaRs for each position in a portfolio equals the portfolio VaR.
3. Marginal VaR and incremental VaR are identical for a $1 change in the portfolio.
4. The VaR for individual components of a portfolio is sub-additive, ie the portfolio VaR is less than (or in extreme cases equal to) the sum of the individual VaRs.
5. The component VaR for individual components of a portfolio is sub-additive, ie the portfolio VaR is less than the sum of the individual component VaRs.
Which of the formulae below describes incremental VaR where a new position 'm' is added to the portfolio? (where p is the portfolio, and V_i is the value of the i-th asset in the portfolio. All other notation and symbols have their usual meaning.)
A)
B)
C)
D)
Which of the following formulae describes Marginal VaR for a portfolio p, where V_i is the value of the i-th asset in the portfolio? (All other notation and symbols have their usual meaning.)
A)
B)
C)
D) All of the above