The buyer of a credit-default swap (CDS): A. Has no risk exposure to the combined holdings of the CDS and reference obligation. B. Is subjec ...
2016-01-29 08:01All of the following describe limitations of using option-adjusted spreads (OASs) for valuing mortgage-backed securities (MBSs) except: A. m ...
2016-01-29 08:01The demarcation between investment and speculative grade investments made by Moodys can be found between which of the following ratings? A. ...
2016-01-29 08:01The longer the time horizon, the higher the incidence of default for a given rating. This effect: A. is stronger for high-rated bonds than f ...
2016-01-29 08:01A risk manager is advising the trading desk about entering into a digital credit default swap as a way to obtain credit protection. Which ca ...
2016-01-28 09:01An exposure has a default probability (PD) of 4.0% and loss given default of 50.0%. The standard deviation of the LGD is 25.0%. What is the ...
2016-01-28 09:01Which of the following statements about a cash collateralized debt obligations (CDO) special-purpose vehicle (SPV) is true? A. In a cash CDO ...
2016-01-27 08:01An analyst gathered the following information about the return distributions for two portfolios during the same time period: Portfolio Skewn ...
2016-01-27 08:01Based on Basel II rules for backtesting, a penalty is given to banks that have more than four exceptions their 1-day 99% VaR over the course ...
2016-01-26 08:01The collapse of LTCM is a famous case of risk management. Which of the following statements is true? A. LTCM had no active risk reporting. B ...
2016-01-26 08:01A risk manager is pricing a 10-year call option on 10-year Treasuries using a successfully tested pricing model. Current interest rate volat ...
2016-01-25 09:01John is asked to *uate the existing risk management system of a bank. She is asked to match the following events to the corresponding type o ...
2016-01-25 09:01For a given loan portfolio, which of the following will NOT increase expected loss? A. Decrease recovery rate and decrease probability of de ...
2016-01-22 09:01Ideally, liquid assets should be central bank eligible. There are two categories of assets: (1) Level 1 assets, which can be included withou ...
2016-01-22 09:01Each of the following is true except? A. At any point in time, effective EE cannot be less than EE B. (effective) EPE is average (effective) ...
2016-01-22 09:01Which of the following choices is an example of operational risk in the collapse of Barings? A. The Nikkei collapsed due to an earthquake. B ...
2016-01-22 09:01Thomas Baynes has applied to both Harvard and Yale. Baynes has determined that the probability of getting into Harvard is 25% and the probab ...
2016-01-22 09:01Which of the following is NOT an example of event risk? A. An interim South American government imposes restrictions on the outflow of capit ...
2016-01-22 09:01When selecting between credit models, which ofthe following factors is least important? A. That the models parameter estimates are linear. B ...
2016-01-21 11:01Dividends on a stock can be incorporated into the valuation model of an option on the stock by: A. subtracting the present value of the divi ...
2016-01-21 11:01Computing VaR on a portfolio containing a very large number of positions can be simplified by mapping these positions to a smaller number of ...
2016-01-20 09:01Convolution means: A. projecting frequency and severity probability distributions into independent losses over a time period. B. analyzing f ...
2016-01-20 09:01The RAROC is 15%, the risk-free rate is 3%, the market return is 16%, and the equity beta is 1.50. What is the adjusted RAROC (A R.tAROC)， ...
2016-01-19 10:01Unidimensional scenario analysis: A. creates an array of portfolio gains/losses for all possible scenarios. B. incorporates the correlation ...
2016-01-19 10:01A moral hazard problem associated with Federal Deposit Insurance Corporation (FDIC) deposit guarantees is that such insurance is likely to: ...
2016-01-18 08:01In the SP credit rating scheme, the least risky speculative investment rating is: A. BB. B. Ba. C. AAA. D. Aaa. Answer:A Any investment rate ...
2016-01-18 08:01One can draw conclusions about typical private equity exits from the data on those deals that have ended. Which of the following private equ ...
2016-01-15 09:01Regarding financial engineering, private equity firms influence portfolio companies in three key ways. Which of the following statements inc ...
2016-01-15 09:01When choosing a hedging approach, you expect operational risks to be higher for: A. A product traded on an organized exchange. B. Dynamic re ...
2016-01-15 09:01When an options gamma is higher: A. delta will be lower. B. delta will be higher. C. a delta hedge will be more effective. D. a delta hedge ...
2016-01-15 09:01
