[{"data":1,"prerenderedAt":45},["ShallowReactive",2],{"q-risk_mgmt-21-033":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-21-033","21",33,"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？",[13,14,15,16],"標準差","變異數","變異係數","信用風險",3,"商業銀行的市場風險管理",1,"價格波動衡量的是報酬率或價格圍繞平均值上下擺盪的幅度。(A) 標準差把波動大小換算成與價格同單位的數值，是最直觀的波動指標。(B) 變異數是標準差的平方，為波動衡量的原始形式，兩者只差開根號。(C) 變異係數以標準差除以平均數，剔除價格水準高低的影響，可在不同商品之間比較相對波動程度。(D) 信用風險衡量的是交易對手違約、無法履行契約而造成損失的可能性，來源是對方的償債能力而非市場報價起伏，屬於另一個風險類別，放進價格波動指標裡就錯了。","easy",[23,27,30,34,38,41],{"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":10},"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？",{"id":31,"question":32,"qno":33},"risk_mgmt-20-034","有關市場風險之管理指標，不包含下列何者？",34,{"id":35,"question":36,"qno":37},"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":39,"question":40,"qno":33},"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？",35,1785146816154]