4/16/25, 1:01 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Review Quiz 3 - Results X
Attempt 1 of 1
Written Feb 1, 2025 6:28 PM - Feb 1, 2025 6:51 PM
Attempt Score 68.75 %
Overall Grade (Highest Attempt) 68.75 %
Question 1 points
A bank computes the exponentially weighted return volatility for its
investment portfolio using 675 historic observations and A = 0.997. What
weight would be given to the 5'th last return observation (in chronological
time)?
Note: Your answer must be accurate to within 0.00001.
Answer:
0.00296 % (0.003413)
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, 4/16/25, 1:01 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Feedback
The appropriate calculation is:
w(T-t) = lambda”t x (1 - lambda) / (1 - lambdaT),
where t measures how far the return observation is from being last (e.g., the
second last observation is one from being last and thus t = 1 for this example)
Question 2 points
A bank computes the exponentially weighted return volatility for its
investment portfolio using A = 0.997. If the weight given to the 15'th last
return observation is 0.001965, then what is the weight given to the return
observation that immediately followed it in time (i.e., from the next day)?
Note: Your answer must be accurate to 0.000001.
Answer:
0.001971 v
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Feedback
The appropriate calculation is:
w(T-t) = w(T-t+1) x lambda => w(T-t+1) = w(T-t) / lambda
Question 3 0/ 2 points
Consider a trading portfolio that had a return of -2.20% today. Using an
EWMA model with A = 0.94 and a prior return volatility estimate of 2.50%,
what is the updated return volatility for this trading portfolio?
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441866&ai=10323269&isInPopup=0&cfql=0&fromQB=0&... 207
Review Quiz 3 - Results X
Attempt 1 of 1
Written Feb 1, 2025 6:28 PM - Feb 1, 2025 6:51 PM
Attempt Score 68.75 %
Overall Grade (Highest Attempt) 68.75 %
Question 1 points
A bank computes the exponentially weighted return volatility for its
investment portfolio using 675 historic observations and A = 0.997. What
weight would be given to the 5'th last return observation (in chronological
time)?
Note: Your answer must be accurate to within 0.00001.
Answer:
0.00296 % (0.003413)
w Hide question 1 feedback
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441866&ai=10323269&isInPopup=0&cfql=0&fromQB=0&... 1/7
, 4/16/25, 1:01 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Feedback
The appropriate calculation is:
w(T-t) = lambda”t x (1 - lambda) / (1 - lambdaT),
where t measures how far the return observation is from being last (e.g., the
second last observation is one from being last and thus t = 1 for this example)
Question 2 points
A bank computes the exponentially weighted return volatility for its
investment portfolio using A = 0.997. If the weight given to the 15'th last
return observation is 0.001965, then what is the weight given to the return
observation that immediately followed it in time (i.e., from the next day)?
Note: Your answer must be accurate to 0.000001.
Answer:
0.001971 v
w Hide question 2 feedback
Feedback
The appropriate calculation is:
w(T-t) = w(T-t+1) x lambda => w(T-t+1) = w(T-t) / lambda
Question 3 0/ 2 points
Consider a trading portfolio that had a return of -2.20% today. Using an
EWMA model with A = 0.94 and a prior return volatility estimate of 2.50%,
what is the updated return volatility for this trading portfolio?
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441866&ai=10323269&isInPopup=0&cfql=0&fromQB=0&... 207
