1.Assumethatabinomialinterest-ratetreeindicatesa6-monassociatedwithadeclineandincreaseinratesifthemarketpricRationale:{[p×98.45]+[(1-p)×96.00]}/[1+(0.025/2)]=97.00p2.Ifthedaily,90%confidencelevel,value-at-risk(VaR)oRationale:Ifthedaily,90%confidencequivalently,10%ofthetime(1outof103.Allotherthingsbeingequal,whichofthefollowingwouldyouexpe全球財經(jīng)教育領(lǐng)導(dǎo)品牌5.AssumethatportfoliodailyreturnsareindependentlyandidenticallynormallydistributVAR(10-day)=316*VAR(1-day)=316/sqrt(10全球財經(jīng)教育領(lǐng)導(dǎo)品牌VAR(15-day)=465*VAR(I-day)=465/sqrt(15VAR(20-day)=537*VAR(l-day)=537/sqrt(20VAR(25-day)=600*VAR(1-day)=600/sqrt(25yearyieldhasincreasedby10basispointsandthatA.Increaseof0basispointsB.increaseof4basispointsC.increaseof6basispforthe20yearyield,T7.Incomparisontothebottom-upappwouldbemostappropriateforwhichofthefollowing:B.DesigningriskreductiontechniqRationale:Top-downoperationalriskmeasurementtechniquesmaybeappropriateforthedoveralleconomiclevelsforthefirm,However,todesigningprocedurestoreduceoperationalriskimanagementaboutspecificweakpointsintheproduandproceduresandarethincorporatechangesintheriskenvironmentthatmightaffecttheoper全球財經(jīng)教育領(lǐng)導(dǎo)品牌singtheBlack-Schold0.29928N(d2)=0.20333.Iftherisk-freerateis3%peryear,whatisthenewBSMcallprice?Rationale:ThevalueofaEuropeancallisequaltoS*N(Furthermore,theannouncPreviousS*N(d1)=40*NewS*N(d1)=(40-(0.5*exp(-3%/12))*0.29928=11.8219Change=11.8219-11.6499.Inbuildingaportfoliooffixedincomesecuritiesforoneofyourclients,youdeterminethattheuseofSTRIPS(separatetradingofregisteredinterestandprincipalsec高頓財經(jīng)高頓財經(jīng)全球財經(jīng)教育領(lǐng)導(dǎo)品牌A.ThehistoricalappB.TheprospectiveapproachignorescorrelationsbetweenrC.ThefactorpushmethodofhistoricalscenarioanalysisusesaconstantmultipleofhistoricrC.0.9655.2principalplusthesemiannualcouponofS6.00.102.341=6.00x0.9823+106.00xd(1.0)d(1.0)=0.9099rA.S9,320.B.$9,828.C.$9,830.D.S9,832.Assumingaconstantquarterlydefaultra14.WhichofthefollowingisnotanA.ThepriceoftheunderlyiC.TheinstantaneousvarianceofthereturnoftheundeD.Marketsareperfect,全球財經(jīng)教育領(lǐng)導(dǎo)品牌全球財經(jīng)教育領(lǐng)導(dǎo)品牌全球財經(jīng)教育領(lǐng)導(dǎo)晶牌全球財經(jīng)教育領(lǐng)導(dǎo)晶牌17.YouareaskedbyyourChiefRiskOfficertoevaluatconditionalVaRasyourfirm'mainriskmeasurementtool.Whichofthefollowingargumentsisnot全球財經(jīng)教育領(lǐng)導(dǎo)品牌全球財經(jīng)教育領(lǐng)導(dǎo)品牌Theriskneutralprobabilityofanupmoveis57.61%(calculatedFBCAcalculatedasmax(0,K-S).NodeB:(0.5761*0+0.4239*4)*exp(-0.12*3/12)=1.65,whichisgreaterthantheintrinsicvalueoftheoptionatthisnodeequaltomax(0,52-6NodeC:(0.5761*4+0.4239*20)*exp(-0.12*3/12)=10.46,whichislowerthantheintrinsicvalueoftheoptionatthisnodeequaltomax(0,52-40)=12,sotheoptiNodeA:(0.5761*1.65+0.4239*12)*exp(-0.12*3/12)=5.86,whichisgreaterthantheintrinsicvalueoftheoptionatthisnodeequaltomax(0,52-50)=2,sotheopti22.WhichofthefollowingactionsismostlikelyiA.Depositinsurerschargerisk-basedpreC.GovernmentsdemandbankstobuydeposiD.BanksmakemoreloanstoRationale:Chargingrisk-basedpremiumsisameasureintendwhichexistswheninsuredpartiestakegreaterris23.WhichofthefollowingproblemsareNOTinherentdisadvantagesofti.Itgiii.Forlong-onlyportfolios,itislike全球財經(jīng)教育領(lǐng)導(dǎo)品牌全球財經(jīng)教育領(lǐng)導(dǎo)品牌全球財經(jīng)教育領(lǐng)導(dǎo)晶牌全球財經(jīng)教育領(lǐng)導(dǎo)晶牌commercialbanking,andinvestcontinuousrisk-freerate=4%;continuousdividendyield=1%;N(d1)=28.Aportfolioconsistsoftwozerocouponbonds,eachwithacurrenmodifieddurationofoneyearandthesecondhasamodifieddurationofnineyears.Theyieldcurvolatilityoftheyieldis1%,whichofthefollowingisthebestestimateoftheportfoliodailyVARatRationale:Thedollarduration29.ConsiderthefollowinglevelsofsophisticatioWhichofthefollowingliststhesemodelsinorderofincreasingsophistication?Rationale:Themostbasitheoreticallyclean.SimulationVaRandteatstheassumptionsofVaR.30.ItisoftenpossibletoestimatetheValueatRiskofavanillaEuropeanoptionsgammamethodologyratherthchangeinanoptionpriceastheremainingtermsareofteninsignRationale:Delta-gammamethodologycapturesthefirstandsecondorderchangesinthepriceinrelachangesinthevalueoftheunderlying.ForplainvanillaoptiondD.I,II,andI32.Considera$1,000-facevalue,12-year,8%,semiannualcouponboB.decreaseof$22.76.Rationale:WithYTMYTM=10.07%(I/Y=5.035),PV=S857.67,anincreaseo33.AninvestorhasashortposititomaturityYTM)of6%andparvalueof$1全球財經(jīng)教育領(lǐng)導(dǎo)晶牌全球財經(jīng)教育領(lǐng)導(dǎo)晶牌the6%bond,N=20x2=40;I/Y=6/2=3;PMT=5/2=2.5;FV88.4426.Forthe6.01%bond,N=20x2=40;I/Y=6.01/2=3.005;PMT=5/2=2.5;FV=100;CPT·PV=88.3365.P0-P1=88.4426-88.3365=0.1061.Note:Thisexplanationusedanincreaseinyield.TheRationale:TheVaRwouldbeunderestimatedbecauseofthegreaterfrequencyoflossesinthetailsofwithadifferentmethodology.WithallfourmethodoloRationale:Delta-normalisappro38.ThehistoricalsimulA.AsmallnumberofemergingmarB.AsmallnumberofbroadmarC.AlargenumberofemergingD.AlargenumberofboardmarRationale:TheRiskMetricsapproachisadelta-normalmodelthatrequiresthereturnstobeapproximatelynormallydistributed,wThereturnsonaportfoliowithsmallnumberofsecuritiesislesslikelytoportfolioandanemergingmarketsindexislesslikelytobenormamarketindex.ThereforethehistoricalRiskMetricsforaportfoliowithasmallnumberofemergingmarketsecuri39.ThereexisttwoportfoliportfolioC,whichofthefollowi全球財經(jīng)教育領(lǐng)導(dǎo)品牌全球財經(jīng)教育領(lǐng)導(dǎo)品牌D.Noneoftheabovebond.全球財經(jīng)教育領(lǐng)導(dǎo)品牌全球財經(jīng)教育領(lǐng)導(dǎo)品牌Rationale:Samplingvariability(orimpre45%anda45%probabilityoflosing55%?A.5.71%.B.6.12%.C.6.28%.D.6.73%.A.Zerocouponbond,parbonds,prB.premiumbonds,parbonds,ZerocC.premiumbonds,ZerocoupD.Zerocouponbond,premiumbo全球財經(jīng)教育領(lǐng)導(dǎo)晶牌全球財經(jīng)教育領(lǐng)導(dǎo)晶牌WhichofthefollowingamountsisclosesttothecumulativeexpectedloRationale:Theexpectedvalueoftheportfolioaftertwoyearsis:(10)(1-0.03)(1-0.03)($1,000,000)=$9,409,000.Therefore,theexpectedcumulativelossis:$10,000,000-$9,409,000=$591,storeandinsurecottonis$0.002p$0.3368perpound.Isthereanarbitrageoadvantageofit?D.Yes;theinvestorshRationale:Tofindthecorrecthigherthanthecorrectprice,thereisanarbitrageopportunicontract.Theinvestorwoasset.Theinvestorwouldpayofftheloaninthreemonthswiththeproceedsfromdeliveringthecot48.Abankhas$500millionimodifieddurationof5.Accountingonlyfordurationeffects,upwardshiftintheyieldcurveonthebanRationale:Thechangeinassetvaluewouldbeadecreaseof[(S500,000,whereasthechangeinliabilityvaluewouldbeadecreaseof[(S400全球財經(jīng)教育領(lǐng)導(dǎo)品牌全球財經(jīng)教育領(lǐng)導(dǎo)品牌A.IncreaseIncreaseRationale:ExpectedlossiscIncreasebyUSD0.89IncreasebyUSD0.89Rationale:Thecalloptionisdeeout-ofthe-moneyandwillhaveadeltaclosetozero.ThdecreasebyclosetoUSD1,andthevalueoftheout-of-the-m52.ConsideringthefoNextPeriodStateABABIfacompanyisoriginallyinstate000.Theexchangerate(dollarspereuro)is0.90.Aftera0.93.Whatisthenewdelta,andwhattthebankdidsetupadelta-neutralpositionorigA.27,600,short27600dollarsD.33,000,long33000d全球財經(jīng)教育領(lǐng)導(dǎo)品牌全球財經(jīng)教育領(lǐng)導(dǎo)品牌ofthebank'spositionincreasesby0.01x30,000=S300.Thegammaindicatesthatexchangerateincreasesby$0.01thedeltaoftheporoftheportfoliotodecreaseby(0.93--0.90)x80,000=2,400sothatitbefollowingformula:Delta=N(d1)*e^-qT,whereqisthecontinuousdivitimetomaturity.So,Delta=0.64*e-0.01*2=0.63.N(d1).D.Incorrect.Thedeltaofacallwithdividendunderlyingasset:γ(t)=drift*?t+vol*V0t*c(t),ande(t)isdistributed-N(0,I),wheredriftandvolareknownparametersando'tisthestepsiznumberofsteps.WhichofthefollowingdescribesthecorrectprA.GeneratearandomnumberfroB.GeneratearandomnumberfruntilyougetthefulldesirsameprocedureuntilyougetthefulldesiD.GeneratearandomRationale:Thisquestionwantstotestifthecandidateknowsthebasicstepstogenerateaverysimplepath:answeringthisquestionmeansthatthecandidat56.A5-yearcorporatebo6%peryear.OneyearpassesholdingallotherfactorsconA.IncreasedRationale:Sinceyield-to-maturity<movetowardspar.Hencethe57.Yoursupervisorisanexpertinmarketandcreditrisk.Hdepartment.HewouldliketouseVaRtomeasurethef