Education
 Overview
 01 Introduction to ERM
 02 External risk frameworks
 03 The ERM process
 04 Risk classification
 05 Risk measurement
 06 Introduction to risk modelling
 07 Quantitative analysis of financial data
 08 Further risk modelling
 09 Analysis of different types of risk
 10 Risk optimisation and responses to risk
 11 Risk Mitigation
 12 Capital Management
Risk Measurement
These questions cover the definition and calculation of various risk measures
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Question 1 of 5
1. Question
Which one of the following is the correct definition of value at risk (VaR)?
Correct
The maximum amount that will be lost over a particular holding period with a particular degree of confidence
Incorrect

Question 2 of 5
2. Question
The 95% tenday value at risk for a particular portfolio is GBP 250,000. Which of the following could reasonably be the 95% tenday tail value at risk (tail VaR)?
Correct
The tail VaR must be greater than the VaR, as it is the average of the expected losses beyond the VaR
Incorrect

Question 3 of 5
3. Question
Which one of these is not needed for the calculation of the CAPM expected rate of return of an investment X?
Correct
The covariance of the return available from the riskfree investment and the universe of investment opportunities is always zero
Incorrect

Question 4 of 5
4. Question
Which one of these is the correct definition of the information ratio?
Correct
Incorrect

Question 5 of 5
5. Question
Which one of the following statements about the parametric value at risk (VaR) is correct?
Correct
Although historical returns may be used to parameterise the distribution used for parametric VaR, they are only needed for empirical VaR; a stochastic asset model is needed for stochastic VaR; whilst the normal distribution is often used, other distributions can be applied; and the calculation of parametric VaR is not computationally intense
Incorrect