[{"data":1,"prerenderedAt":45},["ShallowReactive",2],{"q-risk_mgmt-20-058":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-20-058","20",58,"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？",[13,14,15,16],"VaR=0－1.96×1×0.005","VaR=0－1.96×1×0.025","VaR=0－1.645×1×0.005","VaR=0－2.325×1×0.005",0,"商業銀行的市場風險管理",1,"風險值的算法是「敏感性係數×風險因子標準差×常態分配下的臨界值」，再取負號代表損失方向。單尾容忍水準二點五％對應標準常態分配的臨界值 1.96，殖利率標準差零點五％換算成小數是 0.005，敏感性係數為 1，因此 VaR＝0－1.96×1×0.005，選(A)。(B)把容忍水準 2.5％直接當成標準差代進去，混淆了機率與波動度兩種完全不同的概念。(C)的 1.645 對應的是單尾五％，信賴水準只有九十五％，與題設的容忍水準不合。(D)的 2.325 對應單尾一％，估出來的損失會過度保守。","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-20-034","有關市場風險之管理指標，不包含下列何者？",34,{"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":34},"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？",35,1785146815831]