6. The Potential Future Exposure (PFE) model can be used to
i. calculate economic and regulatory capital.
ii. quantify credit risk.
iii. calculate market risk.
iv. determine the appropriate stochastic process of a credit portfolio.
a. iii and iv only
b. i and iii only
c. i, ii, and iii only
d. i, ii, and iv only
答案选 B ，我认为选C

12. A risk manager estimates daily variance()using a GARCH model on daily returns:
                                                            ht=0α+1αr^2+βht-1
Assume the model parameter values are 0α=0.005, 1α=0.04, β=0.94. The long-run annualized volatility is approximately
a. 13.54%
b. 7.94%
c. 72.72%
d. 25.00%
答案选 b？

14. To control risk-taking by traders, your bank links trader compensation with their compliance with imposed VaR limits on their trading book. Why should your bank be careful in tying compensation to the VaR of each trader?
a. It encourages trader to select positions with high estimated risks, which leads to an underestimation of the VaR limits.
b. It encourages trader to select positions with high estimated risks, which leads to an overestimation of the VaR limits.
c. It encourages trader to select positions with low estimated risks, which leads to an underestimation of the VaR limits.
d. It encourages trader to select positions with low estimated risks, which leads to an overestimation of the VaR limits.
选c，但 选项读起来好别扭，感觉 没一个选项到位。