Tag - ICBRR exam

A credit rating analyst wants to determine the expected duration of the default time for a new three-year loan, which has a 2% likelihood of defaulting in the first year, a 3% likelihood of defaulting in the second year, and a 5% likelihood of defaulting the third year. What is...

Altman's Z-score incorporates all the following variables that are predictive of bankruptcy EXCEPT:A . Return on total assetsB . Sales to total assetsC . Equity to debtD . Return on equityView AnswerAnswer: D

Which one of the following four features is NOT a typical characteristic of futures contracts?A . Fixed notional amount per contractB . Fixed dates for deliveryC . Traded Over-the-counter onlyD . Daily margin callsView AnswerAnswer: C

Which one of the following four statements correctly describes an American call option?A . An American call option gives the buyer of that call option the right to buy the underlying instrument on any date up to and including the expiry date.B . An American call option gives the buyer...

Which one of the following four statements correctly defines a non-exotic call option?A . A call option gives the call option buyer the obligation, but not the right, to buy the underlying instrument at a known price in the future.B . A call option gives the call option buyer the...

A credit analyst wants to determine a good pricing strategy to compensate for credit decisions that might have been made incorrectly. When analyzing her credit portfolio, the analyst focuses on the spreads in each loan to determine if they are sufficient to compensate the bank for all of the following...

Which one of the following four metrics represents the difference between the expected loss and unexpected loss on a credit portfolio?A . Credit VaRB . Probability of defaultC . Loss given defaultD . Modified durationView AnswerAnswer: A

Which of the following statements about the interest rates and option prices is correct?A . If rho is positive, rising interest rates increase option prices.B . If rho is positive, rising interest rates decrease option prices.C . As interest rates rise, all options will rise in value.D . As interest...

Which one of the following four alternatives lists the three most widely traded currencies on the global foreign exchange market, as of April 2007, in the decreasing order of market share? EUR is the abbreviation of the European euro, JPY is for the Japanese yen, and USD is for the...

Of all the risk factors in loan pricing, which one of the following four choices is likely to be the least significant?A . Probability of defaultB . Duration of defaultC . Loss given defaultD . Exposure at defaultView AnswerAnswer: B