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81. A bank is considering buying (i.e., selling protection on) a AAA-rated super senior tranche [10%-11%] of a synthetic collateralized debt obligation (CDO) referencing an investment-grade portfolio. The pricing of the tranche assumes a fixed recovery of 40% for all names. All else being equal, which one of the following four changes will make the principal invested more risky?
a. An increase in subordination of 1%, i.e., investing in the [11%-12%] tranche
b. An increase in the tranche thickness from 1% to 3%, i.e., investing in the [10%-13%] tranche
c. Using a recovery rate assumption of 50%
d. An increase in default correlation between names in the portfolio
82. Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades at USD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer should
:
a. sell 2,602 shares
b. sell 1,493 shares
c. purchase 1,493 shares
d. purchase 2,602 shares
83. A large, international bank has a trading book whose size depends on the opportunities perceived by its traders. The market risk manager estimates the one-day VaR, at the 95%confidence level, to be USD 50 million. You are asked to evaluate how good of a job the manager is doing in estimating the one-day VaR. Which of the following would be the most convincing evidence that the manager is doing a poor job, assuming that losses are identically independent distributed?
a. Over the last 250 days, there are eight exceedences.
b. Over the last 250 days, the largest loss is USD 500 million.
c. Over the last 250 days, the mean loss is USD 60 million.
d. Over the last 250 days, there is no exceeedence.
84. Suppose Bank Z lends EUR 1 million to X and EUR 5 million to Y. The probability of default in the first year for X is 0.2 and for Y is 0.3. The probability of joint default (both X and Y default) in one year is 0.1. The loss given default is 40% for X and 60% for Y. What is the expected loss of default in one year for the bank?
a. EUR 0.72 million
b. EUR 0.98 million
c. EUR 0.46 million
d. EUR 0.64 million
85. Consider a position in a 5-year receive-fixed swap that makes annual payments on a USD 100 million notional. The floating leg has just been reset. The term structure is flat at 5%, the Macaulay duration of a 5-year par bond is 4.5 years, and the annual volatility of yield changes is 100 bps. Your best estimate of the swap’s VaR with 95% confidence over the next month is:
a. USD 1.6 million
b. USD 2.0 million
c. USD 5.5 million
d. USD 7.1 million | 
发表于 2009-3-31 14:37
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