1、 1Financial Markets and Products the other position is short $50M of a five year bond priced at 99 with a duration of 4.1. What is the duration of the portfolio? A. 0.68 B. 0.61 C. -0.68 D. -0.61 12. A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. What is the clo
2、sest value for its modified duration? A. 9 B. 10 C. 100 D. Insufficient Information 13. A portfolio manager has a bond position worth USD 100 million. The position has a modified duration of eight years and a convexity of 150 years. Assume that the term structure is flat. By how much does the value
3、of the position change if interest rates increase by 25 basis points? A. USD -2,046,875 B. USD -2,187,500 4C. USD -1,953,125 D. USD -1,906,250 14. An investment in a callable bond can be analytically decomposed into a: A. Long position in a non-callable bond and a short position in a put option B. S
4、hort position in a non-callable bond and a long position in a call option C. Long position in a non-callable bond and a long position in a call option D. Long position in a non-callable and a short position in a call option 15. A European bank exchanges euros for USD, lends them at the U.S. risk-fre
5、e rate, and simultaneously enters into a forward contract to sell the loan proceeds for euros at loan maturity. If the net effect of these transactions is to earn the risk-free euro rate, it is an example of: A. Arbitrage B. Spot-forward equality C. Interest rate parity D. The law of one price 16. A
6、t the inception of a six-month forward contract on a stock index, the value of the index was $1,150, the interest rate was 4.4%, and the continuous dividend was 1.8%. Three months later, the value of the index is $1,075. Which of the following statement is True? The value of the: A. long position is
7、 $82.41. B. long position is $47.56. C. short position is $47.56. D. long position is -$82.41. 17. Assuming the 92-day and 274 day interest rate is 8% (act/360, money market yield) compute the 182-day forward rate starting in 92 days (act/360, money market yield). A. 7.8% B. 8.0% C. 8.2% D. 8.4% 18.
8、 The 1-year US dollar interest rate is 3% and the 1-year Canadian dollar interest rate is 4.5%. The current USD/CAD spot exchange rate is 1.5000. Calculate the 1-year forward rate. A. 1.5225 B. 1.5218 C. 1.5207 D. 1.5199 19. The price of a three-year zero coupon government bond is 85.16. The price o
9、f a 5similar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4? A. 5.4% B. 5.5% C. 5.8% D. 6.7% 20. The clearinghouse in a futures contract performs all but which of the following roles? The clearing house: A. guarantees traders against default from another par
10、ty. B. splits each trade and acts as a buyer to futures sellers and as a seller to futures buyers. C. allows traders to reverse their position without having to contract the other side of the position. D. guarantees the physical delivery of the underlying asset to the buyer of future contracts. 21.
11、A weakening of the basis is a consequence of the: A. Spot price increasing faster than the futures price over time. B. Spot price moving according to hyper-arithmetic Brownian motion. C. Futures price increasing faster than the spot price over time. D. Futures price moving according to hyper-arithme
12、tic Brownian motion. 22. Which of the following statements best describes marking-to-market of a futures contract? At the: A. End of the day, the maintenance margin is increased for traders who lost and decreased for traders who gained. B. Conclusion of each trade, the gains or losses from all previ
13、ous trades in the futures contract are tallied. C. Maturity of the futures contract, the gains or losses are tallied to the traders account. D. End of the day, the gains or losses are tallied to the traders account. 23. A trader buys one wheat contract (underlying = 5,000 bushels) at a price of $3.0
14、5 per bushel. The initial margin on the contract is $4,500 and the maintenance margin is $3,750. At what price will the trader receive a maintenance margin call? A. $2.30 B. $2.90 C. $3.20 D. $3.80 24. The S the VaR of another asset is 150. If their combined VaR is 220, what is their correlation? A.
15、 0.92 B. 0.53 C. 0.53 D. 0.92 72. A portfolio is composed of two securities and has the following characteristics: * Investment in security A USD 1,500,000 * Investment in security B USD 3,000,000 16* Volatility of security A 7% * Volatility of security B 3% * Correlation between security A and B 10
16、% What is the closest answer for the portfolio diversified VaR at 95% confident level? A. USD 7,351 B. USD 212,920 C. USD 365,715 D. USD 234,630 73. Delta-normal, historical simulation and Monte Carlo are various methods available to compute VaR. If underlying returns are normally distributed, then
17、the A. Delta-normal method VaR will be identical to the historical-simulation VaR. B. Delta-normal method VaR will be identical to the Monte-Carlo VaR. C. Monte-Carlo VaR will approach the delta-normal VaR as the number of replications (“draws”) increases. D. Monte-Carlo VaR will be identical to the
18、 historical-simulation VaR. 74. Which of the following is a disadvantage of the historical simulation method over the RiskMetricsmodel? The historical method requires: I. A worst-case scenario as an input. II. The future is determined by the past. III. Standard deviations and correlations. IV. The a
19、ssumption of normal distributions for asset returns. A. I and III only B. II only C. II and IV only D. III only 75. Revaluing a participants portfolio to market value at the end of each trading day describes which mechanism for reducing counterparty risk? A. Downgrade triggers. B. Marketing to marke
20、t. C. Netting. D. Contract standardization. 76. In the S&P credit rating scheme, the least risky speculative investment rating is: A. Ba. B. AAA. C. BB. D. Aaa. 77. Determine the percentage of the following portfolio that is investment grade: 17Moodys Rating Percentage of PortfolioAa2 25% A3 10% Caa
21、1 2% Baa3 10% Ba1 5% D 3% Aaa 10% A1 15% Baa1 10% Aa3 10% A. 70% B. 80% C. 90% D. 95% 78. Given the following ratings transition matrix, calculate the two-period cumulative probability of default for a B credit. Rating at beginning of period Rating at End of period A B C D A 0.95 0.05 0.00 0.00 B 0.
22、03 0.90 0.05 0.02 C 0.01 0.10 0.75 0.14 Default 0.00 0.00 0.00 1.00 A. 2.0% B. 2.5% C. 4.0% D. 4.5% 79. Consider the following one-period transition matrix: Next Period State A B Default Initial Period State A 95% 5% 0% B 10% 80% 10% Default 0% 0% 100% If a company is originally in State A, what is
23、the probability that the company will have defaulted strictly before the fourth transition period from now? A. 0.500% B. 1.875% 18C. 1.375% D. 0.875% 80. Which of the following is TRUE concerning expected loss and unexpected loss from a bank loan portfolio? A. Indeterminate B. Expected lossunexpecte
24、d loss. C. Expected lossunexpected loss. D. Expected loss=unexpected loss. 81. If the adjusted exposure for Bank X is $15 million, the probability of default is 2%, and the recovery rate is 20%, what is the expected loss for Bank X? A. $60,000. B. $240,000. C. $300,000. D. $3,000,000. 82. For a give
25、n loan portfolio, which of the following will unambiguously increase expected loss? A. Increase recovery rate and increase probability of default. B. Decrease recovery rate and decrease probability of default. C. Increase recovery rate and decrease probability of default. D. Decrease recovery rate a
26、nd increase probability of default. 83. Which of the following is NOT a drawback to stress testing? A. The number of scenarios increases greatly with additional risk factors. B. It identifies important factors not observed in historical data. C. Historical correlations mix normal and hectic periods.
27、 D. Calculated losses may be extremely high relative to the 99% VAR significance level. 84. Sovereign risk describes a situation where a: I. foreign debtor has insufficient funds to make debt payments. II. foreign debtor files bankruptcy and the court sets aside the debt obligation. III. foreign cre
28、ditor accelerates the payment schedule due to violations of the covenants. IV. sovereign authority prohibits domestic firms from making payments to foreign creditors. A. I,II, and IV. B. II and III. C. IV only. D. I only. 85. Which of the following characterize extreme value theory (EVT)? 19I. Focus
29、es on catastrophic losses that are more likely than standard distributions suggest. II. Uses a different distribution to describe losses in the right tail. III. Most commonly uses a lognormal distribution in the tails. IV. Estimates expected losses beyond an established confidence interval. A. and only. B. , and only. C. and only. D. and only.
