A committee of risk management practitioners discusses the difference between pricing deep out-of-the-money call options on FBX stock and pr ...
2016-03-07 08:03There are two methods for forecasting factors for an APT model: statistical models and structural models. Regarding these two forecasting me ...
2016-03-07 08:03Given that there are 45,000 shares of Rockx Inc. (Rockx) in a portfolio, the manager has indicated the desired maximum daily trading volume ...
2016-03-04 09:03The implied volatility pattern exhibited when a large jump or drop in price is expected due to some imminent announcement is analogous to th ...
2016-03-04 09:03Which of the following increases the cost of rolling a long hedge (i.e., using long futures contracts to hedge a pre-existing short position ...
2016-03-04 09:03All of the following occurrences are examples of risk mismeasurement, except when risk managers: A. do not understand the distribution of re ...
2016-03-04 09:03A 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- ...
2016-03-04 09:03An at-the-money European call option on the DJ EURO STOXX 50 index with a strike of 2200 and maturing in 1 year is trading at EUR 350, where ...
2016-03-04 09:03The 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 ...
2016-03-03 08:03Regarding option Greeks, which of the following statements is (are) correct? I.Vega is highest when options are at-the-money. II.Rho is high ...
2016-03-03 08:03Assume a firm issues only three capital claims: zero-coupon senior debt with face value of $300 million; zero-coupon junior debt with face v ...
2016-03-02 09:03The 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 ...
2016-03-02 09:03The following statements compare a highly liquid asset against an (otherwise similar) illiquid asset. Which statement is most likely to be f ...
2016-03-01 09:03Half of the mortgages in a portfolio are considered subprime. The principal balance of half of the subprime mortgages and one-quarter of the ...
2016-03-01 09:03A risk manager wants to study the behavior of a portfolio that depends on only 2 economic variables, X and Y ,X is uniformly distributed bet ...
2016-02-29 09:02Dai works as an investment advisor for a firm whose client base is composed of high net worth individuals. In her personal portfolio, Dai ha ...
2016-02-29 08:02The difference between a Monte Carlo simulation and a historical simulation is that a historical simulation uses randomly selected variables ...
2016-02-26 09:02Portfolio A has total assets of $14 million and an expected return of 12.50 percent. Historical VAR of the portfolio at 5 percent probabilit ...
2016-02-26 09:02All portfolios on the capital market line are: A. distinct from each other. B. unrelated except that they all contain the risk-free asset. C ...
2016-02-26 09:02The capital market line results from combining the efficient frontier with a risk-free asset. Given the availability of risky assets and a r ...
2016-02-26 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- ...
2016-02-26 09:02An analyst at CAPM Research Inc. is projecting a return of 21% on Portfolio A. The market risk premium is 11%，the volatility of the market ...
2016-02-26 09:02Every year Business Week reports the performance of a group of existing equity mutual funds, selected for their popularity. Taking the avera ...
2016-02-25 08:02Which position is most risky? A. Gamma-negative, delta-neutral B. Gamma-positive, delta-positive C. Gamma-negative, delta-positive D. Gamma- ...
2016-02-25 08:02
Two portfolios that have the same expected return are benchmarked to the same market index. In comparing these two portfolios, which of the ...
2016-02-24 08:02Which of the following statements best characterizes the differences between the Ho-Lee model with drift and the lognormal model with drift? ...
2016-02-24 08:02Based 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 ...
2016-02-23 09:02Dai works as an investment advisor for a firm whose client base is composed of high net worth individuals. In her personal portfolio, Dai ha ...
2016-02-23 09:02Which ofthe following statements regarding counterparty credit risk are correct? 1. Expected positive exposure is the highest expected expos ...
2016-02-22 08:02Which of the following is TRUE about the call feature of a bond? It: A. stipulates whether and under what circumstances the issuer can redee ...
2016-02-22 08:02
