[{"data":1,"prerenderedAt":67},["ShallowReactive",2],{"chapter-risk_mgmt-c7":3},{"examName":4,"chapter":5,"questions":10},"風險管理基本能力測驗——風險管理制度與實務",{"name":6,"sort":7,"count":8,"slug":9},"商業銀行的市場風險管理",7,15,"c7",[11,16,20,24,28,32,35,39,42,47,50,53,56,60,64],{"id":12,"qno":13,"question":14,"session":15},"risk_mgmt-20-008",8,"有關市場風險的特性，下列敘述何者錯誤？","20",{"id":17,"qno":18,"question":19,"session":15},"risk_mgmt-20-033",33,"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":21,"qno":22,"question":23,"session":15},"risk_mgmt-20-034",34,"有關市場風險之管理指標，不包含下列何者？",{"id":25,"qno":26,"question":27,"session":15},"risk_mgmt-20-058",58,"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":29,"qno":18,"question":30,"session":31},"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？","21",{"id":33,"qno":22,"question":34,"session":31},"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":36,"qno":37,"question":38,"session":31},"risk_mgmt-21-035",35,"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？",{"id":40,"qno":26,"question":41,"session":31},"risk_mgmt-21-058","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？",{"id":43,"qno":44,"question":45,"session":46},"risk_mgmt-22-004",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？","22",{"id":48,"qno":18,"question":49,"session":46},"risk_mgmt-22-033","全行的「市場風險」，依據巴賽爾委員會與金管會規範，係指資產負債表的表內及表外部位，因市場價格變動，而可能產生的已實現和未實現的損失。所稱市場價格之變動，下列敘述何者錯誤？",{"id":51,"qno":22,"question":52,"session":46},"risk_mgmt-22-034","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？",{"id":54,"qno":37,"question":55,"session":46},"risk_mgmt-22-035","針對金融商品部位之價格風險，有關市場風險的敘述，下列何者正確？",{"id":57,"qno":58,"question":59,"session":46},"risk_mgmt-22-041",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？",{"id":61,"qno":62,"question":63,"session":46},"risk_mgmt-22-042",42,"大衛是美國的投資者，購買一張德國債券 1,000 歐元，購買當時的即期匯率為 1 歐元兌換 1.25 美元，經過了一年，歐元升值至 1 歐元兌換 1.5385 美元，請問此投資者來自匯率變動的損益如何？",{"id":65,"qno":26,"question":66,"session":46},"risk_mgmt-22-058","假設英國政府發行 5 年期純折扣債券，到期一次還本、面額 1 百萬英鎊，市場顯示相同風險等級之 5 年期殖利率為 6%。假設英鎊對美元為 1:1.3 時，英國公債之美元現值為下列何者（取最接近值）？",1785146815277]