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1、u 单选题1. On a multiple choice exam with four choices for each of six questions, what is the probability that a student gets less than two questions correct simply by guessing? (D)A. 0.46%B. 23.73%C. 35.60%D 53.39%2. A portfolio manager enters into a total rate of return swap as the total return recei
2、ver. Under which of the following situations would the portfolio manager be required to make a net outlay to the counterparty? (C)A. If the transaction was initiated as a hedge, then no outlay was required.B There was a capital gain on the reference asset.C. The market value of the reference asset d
3、ecreased significantly.D. The spread between the reference asset and the benchmark asset changed.3. Which type of distribution produces the lowest probability for a variable to exceed a specified extreme value X which is greater than the mean assuming the distributions all have the same mean and var
4、iance? (D)A. A leptokurtic distribution with a kurtosis of 4.B. A leptokurtic distribution with a kurtosis of 8.C. A normal distribution.D. A platykurtic distribution4. Given two random variables X and Y, what is the Variance of X given VarianceY = 100,Variance 4X - 3Y = 2,700 and the correlation be
5、tween X and Y is 0.5? (D)A. 56.3B. 113.3C. 159.9D 225.05. Which of the following reduce a credit exposure by shortening the effective maturity of a position? (A)I. Liquidity putII. Credit triggerA. Both I and IIB. I but not IIC. II but not ID. Neither of I or II6. In a securitized transaction, over-
6、collateralization results when (D)A. The originator puts aside some cash in a reserve account to absorb credit losses.B. A securitization transaction carves up the cash flows generated from the asset pool into various pieces.C. The interest payments and other fees received on the assets in the pool
7、exceed the interest payment made on the ABS plus the fee paid to service the assets along with miscellaneous expenses.D. The value of the assets in the pool exceeds the amount of Asset Backed Security (ABS) involved.7. The payoff of some hedge fund strategies is commonly identified with the payoff o
8、f option strategies.The payoff of a long look-back straddle correspond best to the payoff of (C)A. A trend following strategy.B. A fixed-income arbitrage strategy.C. A fixed-income convergence strategy.D. A spread trading strategy.8. Suppose the rate on 1-year zero-coupon corporate bonds is 13.5% an
9、d the implied probability of default is 3.96%. Assume LGD is 100%. Based on the given information, the 1-year T-bill rate is closest to: (B)A. 4.49%B. 9.00%C. 6.74%D. 6.00%9. A portfolio manager wants to hedge his bond portfolio against changes in interest rates. He intends to buy a put option with
10、a strike price below the portfolios current price in order to protect against rising interest rates. He also wants to sell a call option with a strike price above the portfolios current price in order to reduce the cost of buying the put option. What strategy is the manager using? (C)A. Bear spreadB
11、. StrangleC. CollarD. Straddle10. Paul Graham, FRM is analyzing the sales growth of a baby product launched three years ago by a regional company. He assesses that three factors contribute heavily towards the growth and comes up with the following results:Y = b + 1.5 X1 + 1.2X2 + 3X3Sum of Squared R
12、egression SSR = 869.76Sum of Squared Errors SEE = 22.12Determine what proportion of sales growth is explained by the regression results. (C)A. 0.36B. 0.98C. 0.64D. 0.5511. Which of the following is not a limitation of using the Capital Asset Pricing Model to measure equity requirements for operation
13、al risk? (D)A. Measurement error in separately measuring levered and un-levered beta.B. Time lags in variables like tax and regulation being reflected in historical beta estimates.C. Requires detailed knowledge of profit and loss accounting to go from beta to a specific measure of operational risk.D
14、. All of the above.12. Bank Omegas foreign currency trading desk is composed of 2 dealers; dealer A, who holds a long position of 10 million CHF against the USD, and dealer B, who holds a long position of 10 million SGD against the USD. The current spot rates for USD/CHF and USD/SGD are 1.2350 and 1
15、.5905 respectively.Using the variance/covariance approach, you worked out the 1 day, 95%VAR of dealer A to be USD77,632 and that of dealer B to be USD27,911. If the correlation coefficient between the SGD and CHF is +0.602 and assuming that these are the only trading exposures for dealer A and deale
16、r B, what would you report as the 1 day, 95%VAR of Bank Omegas foreign currency trading desk using the variance/covariance approach? (A)A. USD 97,027B. USD 105,543C. USD 113,932D. Cannot be determined due to insufficient data13. All else being equal, which of the following options would cost more than plain vanilla options? (B)I. lookback opti
