What are the benefits of novation? A. Both parties are allowed to walk away from the contract in the event of default. B. In a bilateral con ...
2015-12-14 16:12A $1,000 par corporate bond carries a coupon rate of 6%, pays coupons semiannually, and has ten coupon payments remaining to maturity. Marke ...
2015-12-14 16:12A company anticipates the purchase British pounds in 6 months. The standard deviation ofthe change in British pounds over a 6-month period i ...
2015-12-11 10:12Which of the following factors will always result in a mortgage prepayment? I. Default II. Stable interest rates III. Refinancing bumout IV. ...
2015-12-11 09:12The Z-spread (aka, zero-volatility OAS) for a mortgage-backed security (MBS) is 190 basis points. The option-adjusted spread (OAS) is 80 bas ...
2015-12-11 09:12Peter Stone is considering buying a $100 face value, semi-annual coupon bond with a quoted price of 105.19. His colleague points out that th ...
2015-12-11 09:12Which of the following statements regarding the measurement of risk for non-linear derivatives is (are) true? I.A disadvantage of the delta- ...
2015-12-11 09:12Unidimensional scenario analysis: A. creates an array of portfolio gains/losses for all possible scenarios. B. incorporates the correlation ...
2015-12-11 09:12Cloudesdale Corporation is considering a project that has an estimated risk-adjusted return on capital (RAROC) of 13%. Suppose that the risk ...
2015-12-10 09:12Stock UGT is trading at USD 100. A 1-year European call option on UGT with a strike price of USD 80 is trading at USD 30. No dividends are b ...
2015-12-10 09:12Banks have limits on how much Tier 2 and Tier 3 capital they can use to meet capital requirements. Assuming that capita1 is 8% of total risk ...
2015-12-09 08:12A risk manager oversees the risk measurement of two portfolios. Portfolio A has a VaR of USD 5 million and an ES of USD 10 million. Portfoli ...
2015-12-09 08:12The Basel II Accord recommends basic methods for assessing operational risk that estimate the risk by: A. Applying a floating percentage to ...
2015-12-08 09:12Unlike the coefficient of determination, the coefficient of correlation: A. measures the strength of association between the two variables m ...
2015-12-08 09:12As a result of the new Basel standards, every bank must now calculate explicit capital charges to cover operational risk using one of three ...
2015-12-07 09:12Assume that the value of a call option with a strike price of $100 and six months remaining to maturity is $5. For a stock price of $100 and ...
2015-12-07 09:12Regarding the pricing of fixed-income investments with binominal trees, a risk-neutral approach assumes that the value ofthe asset: A. Does ...
2015-12-04 09:12Which of the following is a property ofa retums-based style analysis that differentiates a retums-based from aportfolio-based approach? The ...
2015-12-04 09:12A portfolio manager has a $15 million mid-cap portfolio that has a beta of 1.3 relative to the SP 400. SP 500 futures are trading at 1,150 a ...
2015-12-04 09:12Which of the following is not an assumption underlying the BSM options pricing model? A. The underlying asset does not generate cash flows. ...
2015-12-04 09:12A portfolio manager currently holds 20,000 shares of Costiuk Inc. in a particular portfolio. The daily volume of Costiuk shares traded on th ...
2015-12-04 08:12An investor owns a stock and is bullish over the short term. Which of the following strategies will be the most appropriate one for this inv ...
2015-12-04 08:12How many of the following statements concerning the capital structure in a securitization are most likely correct? I. The mezzanine tranche ...
2015-12-03 10:1263 monthly stock returns for a fund between 1997 and 2002 are regressed against the market return, measured by the Wilshire 5000, and two du ...
2015-12-03 10:12The capital conservation buffer: A. Will provide an extra 2.5% Common Equity Tier 1 capital buffer in times of stress. B.will be used exclus ...
2015-12-02 15:12Suppose an analyst examines expected return for the Broad Band Company (BBC) base on a 2-factor model. Initially, the expected return for BB ...
2015-12-02 15:12The single-factor model is used to examine the impact of varying default correlations based on a credit positions beta. Each individual firm ...
2015-12-01 09:12Use a stated rate of 9% compounded periodically to answer the following three questions. Select the choice that is the closest to the correc ...
2015-12-01 08:12A pension fund invests in a variety of asset classes including bonds, equities, commodities and currencies. To meet growing pension liabilit ...
2015-11-30 09:11Which of the following statements regarding exchange-traded and over-the-counter (OTC) financial instruments is correct? A. There is greater ...
2015-11-30 09:11
