[{"data":1,"prerenderedAt":44},["ShallowReactive",2],{"q-risk_mgmt-22-041":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-22-041","22",41,"假設小王購買一張期別 2 年、AA 等級、平價發行的本國債券，該債券的票面價值$100,000 且票面利率為每年 4%。經過一年以後，該債券被信用評等機構調降評等，導致該債券的市場殖利率從原本的 4%上升至5%，請問該債券遭調降評等，導致市場價值變動多少？",[13,14,15,16],"減少$962","減少$952","增加$952","增加$962",1,"商業銀行的市場風險管理","平價發行代表當初的殖利率等於票面利率 4%，價格就是面額 100,000 元。過了一年只剩一年到期，屆時可收回本金 100,000 元加當年利息 4,000 元共 104,000 元；評等被調降後市場要求的殖利率升到 5%，價格＝104,000÷1.05＝99,047.62 元，相較原本的 100,000 元減少 952 元，故選 (B)。這正是信用風險透過評等變動推高殖利率、再反映到市價的過程。(A) 962 元對不上算式；(C)(D) 方向也錯，殖利率上升價格必跌，選「增加」的可先刪掉。","hard",[22,26,30,34,38,41],{"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":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":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":42,"question":43,"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？",1785146816742]