22.Based on a 95% confidence level, how many exceptions in backtesting a VaR (testing a VaR with historical data) would be expected over a 900-day trading year?

10

15

25

45

23.When the interest rate is 10%, what is the duration of a 10-year zero coupon bond?

0

5.0

9.09

10

24.You calculate a one-day 99% VaR ($8 million) using historical data on 1,000 days of profit/loss information. The losses beyond the VaR level are $9, $13, $15, $18, $21, $23, $26, $29, and $32 million, then what is the expected shortfall?

$9 million

$18 million

$21 million

$32 million