[{"data":1,"prerenderedAt":43},["ShallowReactive",2],{"q-risk_mgmt-22-034":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-22-034","22",34,"銀行藉由金融商品的「損失波動幅度」與「波動倍數」的相乘，估算哪種風險部位的限額門檻？",[13,14,15,16],"信用風險值或限額","市場風險值或限額","作業風險值或限額","信用損失的期望值與標準差",1,"商業銀行的市場風險管理","金融商品的損失波動幅度來自價格的標準差，再乘上依信賴水準決定的波動倍數，得到的就是統計上一定信心水準下的最大可能損失，這正是市場風險值的算法，銀行據以設定各交易台與各商品的風險限額，故選 (B)。(A) 信用風險值靠違約機率、違約損失率與信用暴險額推算，不是用價格波動倍數。(C) 作業風險的資本計提多採基本指標法或標準法，以營業毛利乘 β 值求得，與價格波動無關。(D) 信用損失的期望值與標準差是信用組合模型的中間產物，描述的是違約損失分配，不是這個公式的產出。","medium",[22,26,30,33,37,40],{"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":10},"risk_mgmt-20-034","有關市場風險之管理指標，不包含下列何者？",{"id":34,"question":35,"qno":36},"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":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":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？",1785146816695]