2016-FRR 무료 덤프문제 온라인 액세스

John owns a bond portfolio worth $2 million with duration of 10. What positions must he take to hedge this portfolio against a small parallel shifts in the term structure.

• A.Long position worth $20 million with duration of 1.
• B.Long position worth $2 million with duration of 10.
• C.Short position worth $20 million with duration of 1.
• D.Short position worth $2 million with duration of 10.

Which one of the following four statements about the relationship between exchange rates and option values is correct?

• A.As the dollar depreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate increases.
• B.As the dollar appreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate decreases.
• C.As the dollar appreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate increases.
• D.As the dollar appreciates relative to the pound, the right to sell dollars at a fixed pound exchange rate increases.

Alpha Bank determined that Delta Industrial Machinery Corporation has 2% change of default on a one-year no-payment of USD $1 million, including interest and principal repayment. The bank charges 3% interest rate spread to firms in the machinery industry, and the risk-free interest rate is 6%. Alpha Bank receives both interest and principal payments once at the end the year. Delta can only default at the end of the year. If Delta defaults, the bank expects to lose 50% of its promised payment. What interest rate should Alpha Bank charge on the no-payment loan to Delta Industrial Machinery Corporation?

• A.9%
• B.8%
• C.10%
• D.12%

Which one of the four following aspects of legal risk is NOT included in the Basel II Accord?

• A.Negative publicity resulting from reputational damages
• B.Private settlements
• C.Punitive damages resulting from supervisory actions
• D.Exposure to fines

A bank customer expecting to pay its Brazilian supplier BRL 100 million asks Alpha Bank to buy Australian dollars and sell Brazilian reals. Alpha bank does not hold reals so it asks for a quote to buy Brazilian reals in the market. The market rate is 100. The bank quotes a selling rate of 101 to its customer and sells the reals at this quoted price. Then the bank immediately buys the real at the market rate and completes foreign exchange matched transaction. What is the financial impact of this transaction for Alpha bank?

• A.This transaction leaves the bank a profit of AUD 10,101.
• B.This transaction leaves the bank a loss of BRL 10,101.
• C.This transaction leaves the bank a profit of BRL 10,101.
• D.This transaction leaves the bank a loss of AUD 10,101.