ICBRR 무료 덤프문제 온라인 액세스

A portfolio manager is interested in computing risk measures for his bond investment portfolio. Which of the following measures the sensitivity of duration to interest rates?

• A.Convexity.
• B.Yield curve
• C.Credit spread.
• D.Modified duration.

An options trader is assessing the aggregate risk of her currency options exposures. As an options buyer, she can potentially ___ lose more than the premium originally paid. As an option seller, however, she has a ___ risk on the contract and always receives a premium.

• A.Never, limited
• B.Never, unlimited
• C.Sometimes, limited
• D.Sometimes, unlimited

A large multinational bank is concerned that their duration measures may not be accurate since the yield curve shifts are not parallel. Which of the following statements would be typically observed regarding variability of interest rates?

• A.Short-term rates are less variable than long-term rates.
• B.Short-term rates are more variable than long-term rates.
• C.Short-term rates and long-term rates always move in opposite directions.
• D.Short-term rates are equally variable as long-term rates.

Over a long period of time DeltaBank has amassed a large equity option position. Which of the following risks should be considered in this transaction?
I. Counterparty risk on long OTC option positions
II. Counterparty risk on short OTC option positions
III. Counterparty risk on long exchange-traded option positions
IV.
Counterparty risk on short exchange-traded option positions

• A.II, III, IV
• B.I
• C.II, III
• D.I, II

Which of the following are the most common methods to increase liquidity in stressed conditions?
I. Selling or securitizing assets.
II. Obtaining additional credit lines.
III.
Securing a better credit rating.

• A.I
• B.I, II, III
• C.II, III
• D.I, II