[{"data":1,"prerenderedAt":45},["ShallowReactive",2],{"q-risk_mgmt-22-004":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-22-004","22",4,"有關外幣資產的組合管理，當投資標的報酬率間之相關係數為多少時，可使投資組合的風險分散至最低？",[13,14,15,16],"1","0.5","0","-1",3,"商業銀行的市場風險管理",1,"投資組合的風險由個別標的的變異數與彼此的共變數共同決定，相關係數越低，兩者漲跌越容易互相抵銷。當相關係數等於－1，兩標的完全反向連動，只要把權重調對，組合的標準差理論上可壓到零，分散效果達到極致。(A)係數為 1 代表完全同向，等於把資金押在同一種風險上，毫無分散可言。(B)0.5 屬正相關，只能抵銷一部分波動。(C)0 表示兩者互不相關，雖已有相當的分散效果，但仍不如負向連動徹底，故正解是(D)。","easy",[23,27,31,35,39,42],{"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":38},"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":40,"question":41,"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":43,"question":44,"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？",1785146816441]