NACVA Exam CVA Topic 4 Question 111 Discussion

Actual exam question for NACVA's CVA exam

Question #: 111
Topic #: 4

[All CVA Questions]

The fundamental of CAPM is:

AThat the risk premium portion of the expected return on a security is a function of that security's systematic risk.

BThat the risk premium portion of the expected return on a security is a function of that security's unsystematic risk.

CThat the risk discount portion of the expected return on a security is a function of that security's systematic risk.

DThat the risk discount portion of the expected return on a security is a function of that security's unsystematic risk.

Show Suggested Answer

Suggested Answer: A

by Lauran at Jun 10, 2025, 08:33 PM

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Dick

2 days ago

I'm not sure, but I think it's between A and C.

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This is a classic CAPM question. The fundamental idea is that the market portfolio is the one with the highest Sharpe ratio, so the risk premium has to be a function of systematic risk. Option A is the correct answer.

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Marya

4 days ago

I agree with Margery, systematic risk is a key factor in CAPM.

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Rikki

6 days ago

CAPM definitely says that systematic risk is what determines the risk premium, not unsystematic risk. Option A is the way to go here.

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Margery

10 days ago

I think the answer is A.

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NACVA Exam CVA Topic 4 Question 111 Discussion

Contribute your Thoughts:

Dick

Cassi

Marya

Rikki

Margery