Portfolio Exposures, Stress Testing, and Limits

1.A portfolio is long $14 million of equities and short $9 million of other equities. What are its gross and net market values?

2.A portfolio is long $8 million of stock with market beta 1.25 and short $8 million of index exposure with beta 1. What is its estimated beta-adjusted exposure?

3.A corporate bond sleeve has signed DV01 of +$18,000 and a Treasury futures hedge contributes −$12,500. With positive DV01 defined as a gain per basis point fall in yield, what is net DV01?

4.A portfolio gains $4,000 per basis point fall at the two-year node and loses $4,000 per basis point fall at the ten-year node. What is its first-order P&L when two-year yields fall 8 bp and ten-year yields rise 5 bp?

5.A $30 million bond portfolio has modified duration 3.2. What is its approximate price loss for a 25 bp rise in yield, ignoring convexity and carry?

6.A desk is long credit with spread DV01 of $6,000 and signed benchmark DV01 of +$2,000. Spreads widen 20 bp and benchmark yields fall 15 bp. What is the first-order P&L?

7.An FX book is long €7 million in cash and short €4 million through a forward against dollars. Ignoring discounting and holding forward points fixed, what is the approximate dollar loss if the euro falls by $0.02 per euro?

8.A book is long 50 calls with 0.40 delta and a 100-share multiplier. It is short 1,600 underlying shares. What is its net delta in share equivalents?

9.A position has vega of −$8,000 per implied volatility point. Implied volatility rises from 17% to 19.5%. What is first-order P&L, all else equal?

10.A portfolio is delta neutral and its dollar gamma is +$500 per squared dollar of underlying price change. Using the second-order term ½ × gamma × move², what is estimated gamma P&L for a $4 drop?

11.A client options book has near-zero delta but large negative vega. Which move creates a first-order loss from that volatility exposure?

12.A desk receives a report with bond DV01 per $1 million face. An analyst adds those numbers across bonds with different face amounts. What correction is needed?

13.A rates dashboard compares a EUR book's €3,000 DV01 with a USD book's $4,000 DV01 for a group limit measured in dollars. What must the analyst do first?

14.The desk holds 40 futures, each with a $25 tick value. A long position moves down six ticks. What is the mark-to-market change?

15.An index hedge offsets a small-cap portfolio's market beta. Which exposure can remain large?

16.A long gold contract and a short silver contract have the same dollar notional. What would better measure sensitivity to a broad precious-metals factor?

17.Three funds owned by a firm each hold positions in the same issuer through cash bonds and credit derivatives. What view helps assess issuer concentration?

18.A desk has two large opposing positions, each under its desk-level net limit. What does a group gross limit capture?

19.A book's headline rate DV01 is unchanged, but it shifted exposure from five-year to thirty-year bonds. Which view makes the shift visible?

20.A risk report maps a bond from a corporate issuer to its Treasury benchmark only. Which sensitivity is likely missing?

21.A delta report shows options with the same underlying and opposing deltas. One matures this week and the other in six months. What should you examine before calling the exposure stable?

22.A portfolio has $500,000 of exposure to factor A and −$500,000 to factor B. Under what shock would the first-order P&L cancel, assuming sensitivities are to equal units?

23.A portfolio's FX exposure is calculated from the face value of foreign bonds instead of their current marked value. When is that difference most likely to matter?

24.The risk engine estimates sensitivity using a one-basis-point bump. Doubling the bump gives a materially different per-basis-point answer. What should the analyst investigate?

25.A volatility report nets exposure across all expiries. Short one-month vega offsets long one-year vega. Which move exposes the weakness of the net figure?

26.A portfolio has 40% of market value in one issuer, but that issuer accounts for 70% of loss in a credit stress. Which statement is best supported?

27.A fund has $80 million of NAV and $96 million in gross equity market value. What is gross exposure as a percentage of NAV?

28.A book is long an issuer's common stock and short its convertible bond, with equal dollar notionals. What should the analyst use to compare equity exposure?

29.A valuation report says a rate shock of +0.25 was applied to a decimal yield input of 0.0400. The intended shock was +25 bp. What input should the analyst expect after the shock?

30.Two desks report equity beta exposures of +$18 million and −$16 million, but each used a different local benchmark. What should you do before interpreting +$2 million as the group exposure?

31.A futures hedge was rolled to a later contract at the same notional. The measured rates exposure changed. What is a reasonable explanation?

32.An analyst reports $12 million of net exposure after subtracting an options book's premium value from the underlying equity position. What should replace the premium in a spot-sensitivity report?

33.A portfolio contains illiquid positions with marks unchanged for a week. Its measured daily volatility falls. What is a concern about the reported exposure?

34.A $1 million position in a product has a margin requirement of $70,000. Why report both values?

35.A risk report shows +$9,000 per basis point for a long position, but the desk's convention is signed P&L for a rate rise. Repricing for a +1 bp shock gives −$9,000. What should happen first?

36.A book has 85% of its equity exposure in assets quoted in dollars, but several issuers earn much of their revenue in yen. What does the reporting-currency breakdown miss?

37.A historical scenario replays the market moves from a past banking crisis. Which positions should it revalue to assess risk today?

38.A risk committee worries about inflation rising alongside falling equities. Historical samples contain few such days. Which method best addresses the concern?

39.A desk has a $4 million stress-loss threshold. The analyst starts there and searches for plausible combinations of shocks that could cause that loss. What is this approach?

40.A desk's DV01 is close to zero. It remains heavily long the front end and short the long end. Which rate stress is most informative for that mismatch?

41.An option book's delta estimate projects a $200,000 loss after a 20% market fall. Full repricing projects a $650,000 loss. Which figure should anchor that scenario if the full model is validated for the shocked inputs?

42.A portfolio's equity hedge tracks well in normal markets. In a stress run both the book and the hedge move as if their returns are perfectly correlated. What sensitivity would expose hedge fragility?

43.A bond strategy is shocked for both higher benchmark yields and wider spreads. The scenario also assumes an immediate exit at the new midprice. What additional assumption would make exit risk visible?

44.A rate shock costs one desk $1.2 million and gains another $0.4 million under the same scenario. What is the group P&L before other effects?

45.A risk report adds each desk's largest loss across ten scenarios. Why can that sum differ from the group's largest loss across the same scenarios?

46.A portfolio has a scenario loss of $900,000 at a 30 bp spread widening. A second run at 60 bp loses $2.3 million. What is the appropriate interpretation?

47.A risk team wants to assess how shocks propagate over five days with daily variation margin. Which design is most appropriate?

48.A scenario shocks a stock price but leaves the implied volatility surface unchanged. What can you conclude about an options loss in that run?

49.A stock option references a share class with no price history in the chosen scenario period. What is a defensible treatment?

50.A portfolio loses $750,000 when equities fall 10%, with all other factors fixed. What should be stated alongside this result?

51.A model estimates 99% one-day VaR at $1.5 million. What does the number represent for a continuous modeled loss distribution?

52.In 100 equally weighted simulations, the worst five losses are $5m, $7m, $8m, $10m, and $15m. If 95% expected shortfall is defined as their average, what is it?

53.Two books have identical 99% VaR, but Book B has much higher 99% expected shortfall. What does this indicate in the models?

54.A one-day 99% VaR model is compared with 250 realized daily P&Ls. Assuming a calibrated model and comparable P&L, how many exceedances are expected on average?

55.A VaR backtest shows several consecutive exceedances in a volatile week. What is the most informative follow-up?

56.A desk's daily actual P&L includes intraday trades and fees. Its VaR forecast assumes yesterday's closing positions are held fixed. Which P&L comparison best isolates market-move forecast performance?

57.A historical VaR estimate falls when a volatile month drops out of the lookback window, though positions are unchanged. What explains the drop?

58.An analyst scales one-day volatility by the square root of ten to estimate ten-day volatility. What assumption should be challenged under market stress?

59.In a three-day liquidation scenario, a position can be sold at most 200,000 shares per day at the assumed participation rate. The book owns 850,000 shares. How many are left at the end of day three?

60.A risk analyst compares two bonds under a 100 bp spread shock. One can be sold at a quoted bid in size and the other trades only in small clips. How should liquidation stress distinguish them?

61.A stress test assumes correlations based on calm markets. The portfolio relies on diversification between risk assets. Which change tests a plausible diversification failure?

62.A portfolio loses $1.1 million in a proposed scenario. An analyst divides the loss by 10 because they believe the event has a 10% chance. What should the scenario report show?

63.A desk proposes a hedge that cuts base stress loss by $400,000 but increases another severe scenario loss by $600,000. What should the risk review compare?

64.A model's worst loss is driven by an illiquid mark that moved 30% on a small trade. How should the analyst handle it?

65.A sudden devaluation affects local asset prices and the reporting-currency value of those holdings. Which approach captures both effects?

66.A $10 million foreign asset falls 15% locally and its currency loses 10% against the reporting currency. The starting value is already expressed in the reporting currency. What is the combined loss?

67.A portfolio has $2 million cash and a committed funding line with $1 million available immediately. A stress path requires $3.6 million in cash collateral today. What is the immediate shortfall if there are no other flows?

68.A nonlinear hedge is sized using an exact payoff at expiry. The stress scenario occurs three months before expiry. What should the analyst use for the scenario value?

69.A stress methodology uses a single wide spread shock for every issuer. Which risk could this conceal in a concentrated portfolio?

70.A desk asks whether stress loss measures how likely a shock is. Which reply is accurate?

71.A full repricing stress fails for 12 positions due to missing volatilities. The report shows a $2 million loss from the positions that priced. What should appear in the report?

72.A desk's new hedge reduces loss in a parallel rate shock, but its liquidity relies on a single venue. What additional stress is relevant?

73.A desk has an approved daily VaR limit of $2.5 million and current VaR of $2.8 million. What are utilization and the dollar excess?

74.A desk's five-year DV01 limit is $50,000 per bp in absolute terms. The position moves from −$44,000 to −$57,000. How far over the limit is it?

75.A desk's usage rises from $4.5 million to $5.3 million against a $5 million limit. The breach note says usage increased by $800,000. What additional figure should it state?

76.An FX exposure crosses a dollar-denominated limit overnight without trades. The foreign-currency position is unchanged. What cause should you test first?

77.A desk VaR breach follows both a large new trade and higher market volatility. What comparison helps attribute the change?

78.A new valuation model went live the same morning a vega limit was breached. Which comparison best isolates the model effect?

79.A desk is over its risk limit, and the report contains one unconfirmed trade allocation. What should the analyst communicate?

80.A breach appears after a futures trade was loaded twice. Reconciliation confirms there was only one fill. Which record should the analyst leave?

81.A dashboard shows a cap of $10 million but the approved limit was cut to $8 million effective this morning. Current usage is $8.5 million. What should the breach report use?

82.Two desks each sit below their individual equity beta limits, but their combined exposure exceeds the group limit. What should be escalated?

83.A desk is within its net exposure limit after adding a hedge, but gross exposure breaches its separate cap. What should the update say?

84.A trader proposes reducing a $120,000-per-bp absolute DV01 exposure below its $100,000 cap. A planned hedge would cut it by $25,000 per bp. What is expected headroom if the hedge executes and inputs stay fixed?

85.A desk requests a one-day limit exception while it unwinds an illiquid position. What should the analyst document if the authorized owner approves it?

86.Yesterday's temporary exception expires at noon. At 12:15, usage is still above the ordinary limit. What should the analyst do under a policy that requires approval for extensions?

87.A dealer plans a hedge and asks that the risk breach be marked resolved immediately. The hedge order has been sent but remains unfilled. What should be reported?

88.A hedging trade brings the latest risk calculation back under the limit. What supports closing the breach record?

89.A limit note says, “The model broke, so the desk breached.” What makes that explanation more precise?

90.An intraday warning is set at 90% of a $4 million hard limit. Current usage is $3.7 million. How should the status be described?

91.A stress loss exceeds its limit by $1.1 million after credit spreads widen in the scenario library. No trades occurred. Which explanation is accurate?

92.A desk reports daily actual losses of $1.7 million against a 99% one-day VaR forecast of $1.4 million. Its VaR limit is $2 million. What happened?

93.A daily stop-loss threshold is $750,000 and the policy measures cumulative realized and unrealized P&L. The book has −$520,000 realized and −$310,000 unrealized today. How far past the threshold is it?

94.A concentration limit is 12% of NAV. An issuer's exposure is unchanged at $11 million, but NAV falls from $100 million to $85 million. What best explains a breach?

95.A report shows the same $200,000 loss twice, once as a desk component and once in the total that includes that desk. An analyst adds both figures in the breach summary. What correction is needed?

96.A risk analyst receives two conflicting position snapshots around a limit event. Which timestamps should the report make explicit?

97.A desk is $200,000 above a stress limit. A proposed hedge reduces that scenario's loss by $350,000 but breaches a concentration limit elsewhere. What should the analyst recommend reviewing?

98.A risk committee asks why a desk breached a spread limit when its market value barely changed. What is the clearest answer?

99.An analyst finds a missing risk factor after a breach investigation. Correcting it increases yesterday's measured usage and reveals that the limit was also exceeded yesterday. What should the follow-up include?

100.A desk is over its limit with positions that cannot be unwound today at reasonable size. What should the escalation include?

101.A desk's breach falls from $600,000 to $100,000 during the day. What is the correct update?

102.The risk team suspects a price feed problem and recomputes usage with a validated alternate mark. Both the original and alternate runs breach, by different amounts. What should the summary say?

103.A rates book breaches an absolute DV01 limit after an offsetting futures contract expires. No new order was entered. What should the note emphasize?

104.A manager asks which of two breaches is larger. One is $200,000 above a $1 million stress-loss limit. The other is $300,000 above a $5 million VaR limit. Which statement is supported by the figures alone?

105.Group usage is $10.8 million against a $10 million limit. A new desk position accounts for $700,000 of the increase. The remaining $100,000 increase came from repricing since usage was exactly at the limit. Which note is clearest?

106.A risk committee wants to know whether a recurring breach is best addressed by better monitoring or a policy review. What evidence helps it decide?

107.A desk crosses a hard limit during a volatile session. Policy requires prompt notification and allows the designated risk officer to authorize temporary controls. Which first update follows that policy?

108.A hedge returns a book within its five-year bucket limit but leaves its ten-year bucket near the cap. What should the close-out note include?