Test your knowledge: Risk – Advanced level

Test your knowledge about risk management
Knowledge related Middle Office activities, models & processes is not only relevant for Risk Managers & Analysts, but supporting staff must also understand this in order to excel.
At this advanced level you are tested with respect to your skills, the application of knowledge and therefore practice

A receivers swaption gives


Asset-backed trading involves:

What is referred to when 'worst case peformance' is mentioned?

What assumptions are relevant for correlation coefficients?

What is a dirty hedge?

Vega describes the sensitivity of an option with respect to a change in:

How many standard deviations is a confidence level of 97.5% away from the mean?

What VaR methodology is preferred for a portfolio which contains options?

Delta hedging requires: