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　　1.Asset liquidity risk is most pronounced for
　　A. A $10 million position in distressed securities
　　B. A $10 million position in Treasury bonds
　　C. A $100 million position in distressed securities
　　D. A $100 million position in Treasury bonds
　　2.A pension plan reports $12 billion in assets and $10 billion in present value of the benefit obligations. Future pension benefits are indexed to the rate of inf1ation. To immunize its liabilities, the plan should
　　A. Invest $12 billion of assets in fixed-coupon long-term bonds
　　B. Invest $10 billion of assets in fixed-coupon long-term bonds
　　C. Invest $10 billion ofassets in cash
　　D. lnvest $10 billion of assets in Treasury Inf1ation. Protected Securities
　　3.The market price deviations for puts and calls from Black-scholes-Merton prices indicate:
　　A. Equivalent put and call implied volatiliiy.
　　B. Equivalent put and call moneyness.
　　C. Unequal put and call implied volatility.
　　D. Unequal put and call moneyness.
　　Answer:
　　1.C
　　Asset liquidity risk is a function of the size of the position and the intrinsic liquidity of the instrument. Distressed securities trade much less than Treasury bonds, and so have more intrinsic Iiquidity. A $100 million position is more illiquid than a $10 miHion position in the same instrument.
　　2.D
　　lmmunization occurs when assets are invested so as to perfectly hedge changes in liabilities. So the amount to invest is $10 billion, which is the value of liabilities. In this case, we are told that the pension payments are indexed to the rate of inflation. Because the liabilities are tied to inflation, immunization requires that the assets should react in a simílar way to inflation. This can be achieved w?th Treasury Inflation-Protected Securities (TIPS).
　　3.A
　　Put-call parity indicates that the implied volatility of a call and put will be equal for the same strike price and time to expiration.