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Which one of the four following statements about Basis point values is correct?
Which one of the four following statements about Basis point values is correct? Basis point value:A . Is a widely used statistical tool used to measure market risk.B . Refers to the change in the value of a fixed income position for a very small change yields.C . Is a...
Which one of the following four exercise features is typical for the most exchange-traded equity options?
Which one of the following four exercise features is typical for the most exchange-traded equity options?A . Asian exercise featureB . American exercise featureC . European exercise featureD . A shout option exercise featureView AnswerAnswer: B Explanation: Most exchange-traded equity options in the U.S. typically have the American exercise feature....
Which of the following statements are true?
A multinational bank just bought two bonds each worth $10,000. One of the bonds pays a fixed interest of 5% semi-annually and the other pays LIBOR semi-annually. The six month LIBOR is at 5% currently. The risk manager of the bank is concerned about the sensitivity to interest rates. Which...
Which one of the following characteristics of a bank with wide retail operations is INCORRECT?
Gamma Bank has a significant number of retail customers and finds its balance sheet shape and structure difficult to manage. Which one of the following characteristics of a bank with wide retail operations is INCORRECT?A . Banks with a wide retail base are typically driven by contractual obligations and not...
Which one of the four following positions would most likely be not included in that book?
The market risk manager of SigmaBank is concerned with the value of the assets in the bank's trading book. Which one of the four following positions would most likely be not included in that book?A . 10,000 shares of IBM worth $10,000,000.B . $10,000,000 loan to IBM worth $9,800,000.C ....
Which one of the following four statements about hedging is INCORRECT?
Which one of the following four statements about hedging is INCORRECT?A . Traders can hedge their risks by taking an appropriate position in the underlying instrument.B . Traders can hedge their portfolio risks by taking a position in a different instrument.C . For a fully hedged portfolio, any changes in...
Which of the following attributes are typical for early models of statistical credit analysis?
Which of the following attributes are typical for early models of statistical credit analysis?A . These models assumed the default of any obligor was independent of the default of any other.B . The underlying default assumptions were analytically inconvenient.C . The underlying default assumptions failed to develop relatively simple formulas...
A key function of treasuries in commercial/retail banks is:
A key function of treasuries in commercial/retail banks is: I. To manage the interest margin of the banks. II. To focus on underwriting risk. III. To ensure strong earnings. IV. To increase profit margins.A . IB . IIC . II, IIID . III, IVView AnswerAnswer: A Explanation: A key function...
Which of the following could be reasons to use the hybrid RCSA method?
BetaFin has decided to use the hybrid RCSA approach because it believes that it fits its operational framework. Which of the following could be reasons to use the hybrid RCSA method? I. BetaFin has previously created series of RCSA workshops, and the results of these workshops can be used to...
Which one of the following four metrics is typically used for this purpose?
A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this portfolio is to changes in interest rates. Which one of the following four metrics is typically used for this purpose?A . Modified durationB . Duration of defaultC . Effective durationD . Macaulay durationView...
