CFA CFA Risk Management & Analysis

Question 1

Which risk measure expresses the minimum loss expected over a given time period at a specified confidence level?

Accepted Answer

Value at Risk (VaR)

Answer

Standard Deviation

Answer

Beta

Answer

Tracking Error

Question 2

Credit risk refers to the possibility that a counterparty will:

Accepted Answer

Fail to fulfill its financial obligations

Answer

Experience excessive market volatility

Answer

Lose liquidity in secondary markets

Answer

Breach regulatory capital requirements

Question 3

Which of the following best describes liquidity risk in financial markets?

Accepted Answer

The risk that an asset cannot be sold quickly without a significant price concession

Answer

The risk of interest rate changes affecting bond prices

Answer

The risk that a firm's earnings are volatile

Answer

The risk of currency fluctuation in international portfolios

Question 4

Conditional Value at Risk (CVaR) is also known as:

Accepted Answer

Expected Shortfall

Answer

Sharpe Ratio

Answer

Maximum Drawdown

Answer

Beta-adjusted VaR

Question 5

Operational risk is best defined as the risk arising from:

Accepted Answer

Failures in internal processes, people, systems, or external events

Answer

Changes in market interest rates

Answer

Deterioration in issuer creditworthiness

Answer

Currency depreciation in foreign investments

Question 6

Which concept measures the sensitivity of a portfolio's value to a one-basis-point change in interest rates?

Accepted Answer

DV01 (Dollar Value of 01)

Answer

Sharpe Ratio

Answer

Jensen's Alpha

Answer

Treynor Ratio