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CFA Level II Vignettes Quantitative Finance Risk Models MCQs Test 1
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CFA Level II Vignettes Quantitative Finance Risk Models MCQs Test 1

Practice CFA 2026 Level II Vignettes Quantitative Finance MCQs from Risk Models. Get instant results with Explanation.
Practice Quiz 1 for "Risk Models" (Quantitative Finance). Total 30 MCQs available, split into 3 quizzes. Start with the fundamentals and build a strong base. Mastering these concepts is essential for securing a high percentile in CFA.
General10 MCQs
1. Vignette 1: Value at Risk (VaR) - Which VaR method assumes a normal distribution of returns?
2. How is historical simulation VaR computed?
3. Given a portfolio with daily mean return 0.1% and daily standard deviation 2%, what is the 95% daily parametric VaR? (Assume normal distribution, use 1.645)
4. What is a major criticism of VaR as a risk measure?
5. What is a key limitation of VaR?
General10 MCQs
6. Vignette 2: Expected Shortfall and Coherence - What is Expected Shortfall (ES)?
7. Why is Expected Shortfall considered a coherent risk measure, unlike VaR?
8. How is Expected Shortfall typically estimated from historical data?
9. How does ES compare to VaR at the same confidence level?
10. What is a common backtesting procedure for VaR?

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Frequency: 4 times a year (February, May, August, November) | Time: 70 Minutes
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⚡ Test Pattern (Total: 90 MCQs):

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