Hull_OFOD9e_MultipleChoice_Questions_Only_Ch22

# Hull_OFOD9e_MultipleChoice_Questions_Only_Ch22 - Hull...

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Hull: Options, Futures, and Other Derivatives, Ninth Edition Chapter 22: Value at Risk Multiple Choice Test Bank: Questions 1. Which of the following is true of the 99.9% value at risk? A. There is 1 chance in 10 that the loss will be greater than the value of risk B. There is 1 chance in 100 that the loss will be greater than the value of risk C. There is 1 chance in 1000 that the loss will be greater than the value of risk D. None of the above 2. The gain from a project is equally likely to have any value between -\$0.15 million and +\$0.85 million. What is the 99% value at risk? 3. The gain from a project is equally likely to have any value between −\$0.15 million and +\$0.85 million. What is the 99% expected shortfall? 4. Which of the following is true of the historical simulation method for calculating VaR?

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