[{"data":1,"prerenderedAt":45},["ShallowReactive",2],{"q-risk_mgmt-20-034":3},{"exam":4,"examName":5,"chapterSlug":6,"question":7,"related":22},"risk_mgmt","風險管理基本能力測驗——風險管理制度與實務","c7",{"id":8,"exam":4,"session":9,"qno":10,"question":11,"options":12,"answer":17,"chapter":18,"freq":19,"explanation":20,"difficulty":21},"risk_mgmt-20-034","20",34,"有關市場風險之管理指標，不包含下列何者？",[13,14,15,16],"市場風險的部位概況","市場風險之評價損益概況","市場走勢","敏感性風險因子及權益證券之市場風險值",2,"商業銀行的市場風險管理",1,"管理指標必須是銀行自己能衡量、能設限、能追蹤的內部數字。(C)市場走勢屬於外部環境的客觀變化，銀行只能觀察與預測，無法拿它設定限額或當作管控門檻，因此不列為市場風險的管理指標，故選(C)。(A)部位概況呈現各類商品的曝險金額與分布，是設定部位限額的基礎。(B)評價損益概況把已實現與未實現損益攤開，可以對照停損限額檢視是否踩線。(D)敏感性風險因子與權益證券的市場風險值，把利率、匯率、股價的波動換算成可互相比較的風險數字，正是市場風險量化管理的核心。三者都是銀行掌握得住的內部指標。","medium",[23,27,31,35,38,41],{"id":24,"question":25,"qno":26},"risk_mgmt-20-008","有關市場風險的特性，下列敘述何者錯誤？",8,{"id":28,"question":29,"qno":30},"risk_mgmt-20-033","銀行通常從業務管理與風險管理兩方向訂定所需指標，以管理與監督市場風險之變化，下列敘述何者錯誤？",33,{"id":32,"question":33,"qno":34},"risk_mgmt-20-058","假設債券部位的投資損失符合常態分配，單尾的容忍水準 2.5%當作損失門檻，殖利率的標準差為 0.5%，敏感性係數為 1 時，下列市場風險值(VaR)的敘述何者正確？",58,{"id":36,"question":37,"qno":30},"risk_mgmt-21-033","衡量市場風險時，主要部位或個別金融商品的「價格波動」，下列哪項指標是錯誤？",{"id":39,"question":40,"qno":10},"risk_mgmt-21-034","原來為 10,000 元的債券，敏感性係數為 5 時，殖利率上升 1 個基本點(Basis Point)，請問此時的債券價格應為多少元？",{"id":42,"question":43,"qno":44},"risk_mgmt-21-035","評估債券之「利率敏感性係數」，是以「Present Value of Basis Point；PVBP」指標為代表，請問實務上所稱 1 BP 為下列何者？",35,1785146815635]