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問題1

Which one of the following four statements describes the advantage of using delta-gamma method of mapping options positions over delta-normal method?
Delta-gamma method

A. Fully captures option price risk, particularly for extreme price movements.

B. Approximates more accurately the non-linear relationship of option values and risk.

C. Overstates the risk of long option positions, but understate the risk of short option positions.

D. Converts options into underlying factor risks according to their deltas and the gammas to those factors.

正確答案: B

問題2

The exercise for an American type option prior to expiration day is virtually certain in the following case:

A. In the event of a low dividend for an in-the-money put option

B. In the event of a low dividend for an in-the-money call option

C. In the event of a high dividend for an in-the-money put option

D. In the event of a high dividend for an in-the-money call option

正確答案: D

問題3

To estimate the required risk-adjusted rate of return on a highly volatile energy stock, a risk associate compiled the following statistics:
Risk-free rate = 5%
Beta = 2.5
Market Risk = 8%
Using the Capital Asset Pricing Model, she estimates the rate of return to be equal:

A. 25%

B. 40%

C. 15%

D. 10%

正確答案: A

問題4

What does correlation between two variables measure?

A. Symmetry of a joint distribution of the two variables.

B. Association between the two variables and the strength of a possible statistical relationship.

C. Extreme returns of both variables.

D. The proportion of variability in one of the variables that is explained by the other.

正確答案: B

問題5

Sam has hedged a portfolio of bonds against a small parallel shift in the yield curve using the duration measure. What should Sam do to ensure that the portfolio is hedged against larger parallel shifts in the yield curve?

A. Take positions to reduce the duration

B. Since the portfolio is duration hedged Sam does not need to take additional positions.

C. Take positions to increase the duration

D. Take positions to make the convexity zero

正確答案: D

問題6

The retail banking business of BankGamma has an expected P & L of $50 million and a VaR of $100 million. The bank seeks to diversify its revenue, and is considering the opportunity to acquire a credit card business with an expected P & L of $50 million and a VaR of $150 million. What will be the overall RAROC if the bank acquires the new business?

A. 58%.

B. 50%.

C. 33.3%.

D. 72%.

正確答案: A

問題7

Samuel Teng owns a portfolio of bonds and is trying to compute the convexity of his portfolio. Which of the following choices equals the convexity of Samuel's portfolio?

A. Maximum of the convexities of the component bonds

B. Value-weighted average convexity of the component bonds

C. Coupon-weighted average convexity of the component bonds

D. Minimum of the convexities of the component bonds

正確答案: B

問題8

What do option deltas measure?

A. The rate of change of the option value with respect to changes in volatility of the underlying instrument.

B. The sensitivity of the option value to changes risk free interest rate.

C. The rate of change of the option value with respect to changes in the price of the underlying instrument.

D. The sensitivity of the option value to the passage of time.

正確答案: C

問題9

BetaFin, a financial services firm, does not have retail branches, but has fixed income, equity, and asset management divisions. Which one of the four following risk and control self-assessment (RCSA) methods fits the firm's operational risk framework the best?

A. RCSA loss data approach

B. RCSA questionnaire approach

C. RCSA workshop approach

D. RCSA scenario analysis approach

正確答案: C

問題10

From the bank's point of view, repricing the retail debt portfolio will introduce risks of fluctuations in:
I. Duration
II. Loss given default
III. Interest rates
IV.
Bank spreads

A. I, II

B. I

C. III, IV

D. II

正確答案: C

問題11

A risk manager is considering how to best quantify option price dynamics using mathematical option pricing models. Which of the following variables would most likely serve as an input in these models?
I. Implicit parameter estimate based on observed market prices
II. Estimates of sensitivity of option prices to parameter changes
III.
Theoretical option determination based on assumptions

A. I, II, III

B. I, III

C. II

D. II, III

正確答案: A

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