Which ofthe following is NOT an attribute of a good hedge fund index? A. Based on reliable, verifiable information. B. Transparent methodolo ...
2016-02-19 09:02What critical shift occurred in the hedge fund industry following the collapse of Long-Term Capital Management (LTCM) in 1998 and the dot-co ...
2016-02-19 09:02An implementation principle recommended by the Basel Committee to banks for the governance of sound stress testing practices is that stress ...
2016-02-19 09:02Which of the following statements regarding the trustee named in a corporate bond indenture is correct? A. The trustee has the authority to ...
2016-02-19 09:02A diversified portfolio of OTC derivatives with a single counterparty currently has a net mark-to-market of USD 20,000,000 and a gross mark- ...
2016-02-19 08:02Nick Leesons now infamous trading strategies in 1994 and 1995 at Barings Bank focused on calculated bets on the Nikkei 225. Which of the fol ...
2016-02-19 08:02Rarecom is a specialist company that only trades derivatives on rare commodities. Rarecom and a handful of other firms, all of whom have lar ...
2016-02-18 08:02Which of the following assumptions are made when using DV01 as a measure of interest rate risk? i. Changes in the interest rates are small. ...
2016-02-18 08:02A six-year CDS on an AA-rated issuer is offered at 150bp with semiannual payments while the yield on a six-year annual coupon bond of this i ...
2016-02-17 08:02In comparison to the bottom-up approach to measuring operational risk exposure, the top down approach would be most appropriate for which of ...
2016-02-17 08:02Assume a firm issues only three capital claims: zero-coupon senior debt with face value of $300 million; zero-coupon junior debt with face v ...
2016-02-16 09:02Georgeis forecasting a stocks performance. He based his forecast on the state of the economy and divides the economys performance into three ...
2016-02-16 09:02If volatility (0) is the current (todays) volatility estimate and volatility (t) is the volatility estimate on a previous day (t), which bes ...
2016-02-15 09:02Bond A and Bond B have the same rating and the same probability of default. It is also estimated that: The probability that both Bond A and ...
2016-02-15 09:02Suppose a firm has two debt issues outstanding. One is a senior debt issue that matures in three years with a principal amount of $100 milli ...
2016-02-14 09:02For conducting the hypothesis test given below, which of the following test statistics is most appropriate? H0: variance A = variance B. Whe ...
2016-02-14 09:02Based on Basel II rules for backtesting, a penalty is given to banks that have more than four exceptions to their 1-day 99%VaR over the cour ...
2016-02-04 09:02Which of the following statements best characterizes the differences between the Ho-Lee model with drift and the lognormal model with drift? ...
2016-02-04 09:02Which of the following is an internal enhancements A. Overcollateralization B. CDS C. Put options on assets D. Letters of credit Answer:A In ...
2016-02-04 09:02An open outcry system of trading: A. involves a physical exchange location. B. primarily involves computer based trading. C. is considered a ...
2016-02-04 09:02Bonds rated B have a 25% chance of default in five years. Bonds rated CCC have a 40% chance of default in five years. A portfolio consists o ...
2016-02-04 09:02An operational risk analyst is attempting to analyze a banks loss severity distribution. However, historical data on operational risk losses ...
2016-02-04 09:02Which one of the following deals would have the greatest credit exposure for a $1,000,000 deal size (assume the counterparty in each deal is ...
2016-02-03 08:02Monte Carlo simulation is not suitable for pricing options in which of the following situations? A. Cash-or-nothing call option (i.e., binar ...
2016-02-03 08:02How many of the following statements concerning the capital structure in a securitization are most likely correct? I. The mezzanine tranche ...
2016-02-02 13:02A hedge fund manager wants to change her interest rate exposure by investing in fixed-income securities with negative duration. Which of the ...
2016-02-02 13:02Each of the following is true about termination and walkaway features in credit contracts except? A. Termination events give an institution ...
2016-02-01 08:02Bonds issued by the XYZ Corp. are currently callable at par value and trade close to par. The bonds mature in 8 years and have a coupon of 8 ...
2016-02-01 08:02Matt James is assessing the performance of his portflio over the last four years.In computing the average return, he decides to use the geom ...
2016-01-29 08:01The annual retums on a portfolio over each ofthe last four years were 50%, 30%,-25%, and -15%. The average log retum is closest to: A. 5.44% ...
2016-01-29 08:01
