[{"data":1,"prerenderedAt":43},["ShallowReactive",2],{"q-risk_mgmt-21-058":3},{"exam":4,"examName":5,"chapterSlug":6,"question":7,"related":21},"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":17,"explanation":19,"difficulty":20},"risk_mgmt-21-058","21",58,"已知債券市值為 10,000 元，PVBP (Present Value of One Basis Point)為 5。利率若上升 10 基點(basis point)，債券價格將成為下列何者？",[13,14,15,16],"9,995 元","9,950 元","10,005 元","10,050 元",1,"商業銀行的市場風險管理","PVBP 的意思是殖利率每變動 1 個基本點，債券現值會跟著變動的金額；此處 PVBP 為 5，代表每 1BP 對應 5 元的價格變動。債券價格與利率反向，利率上升 10 個基點，價格下跌 5 × 10 = 50 元，算式為 10,000 - 50 = 9,950 元，故選 (B)。(A) 9,995 元只扣了 5 元，是利率僅上升 1BP 的答案。(C) 10,005 元與 (D) 10,050 元都算成價格上漲，弄反了利率與債券價格的反向關係，利率上升時債券只會跌價。","medium",[22,26,30,34,37,40],{"id":23,"question":24,"qno":25},"risk_mgmt-20-008","有關市場風險的特性，下列敘述何者錯誤？",8,{"id":27,"question":28,"qno":29},"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":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":10},"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？",{"id":38,"question":39,"qno":29},"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":41,"question":42,"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？",1785146816374]