1.       You are the new CFO of Global Insurance Inc. You have asked a task force to report to you on how to structure an enterprise risk management program (ERM) with the objective of ensuring that your firm has the optimal level of risk for its level of capital. The task force has made the following recommendations. Which recommendation would hinder your ERM program from achieving its objective?

a.       Management should estimate the amount of capital required to support the risk of its operations given the firm’s target rating.

b.       Management should allocate the amount of capital determined to support the risk of its operations with the objective that units with better accounting performance receive more capital.

c.       Management should measure firm-level risk by aggregation risks across the firm consistently.

d.       Management should first determine the firm’s risk appetite and the general rules for capital allocation.

2.       Which of the following statements regarding hypothesis testing is incorrect?

a.       Type II error refers to the failure to reject the null hypothesis when it is actually false.

b.       Hypothesis testing is used to make inferences about the parameters of a given population on the basis of statistics computed foe a sample that is drawn from that population.

c.       All else being equal, the decrease in the chance of making a Type I error comes at the cost of increasing the probability of making a Type II error.

d.       The p-value decision rule is to reject the null hypothesis if the p-value is greater than the significance level.

3.       Your firm’s fixed-income portfolio has interest-only bonds(IO), callable corporate bonds, inverse floaters, noncallable corporate bonds. Your boss wants to know which of the following securities can lose value as yields decline.

a.       Callable corporate only

b.       Inverse floater only

c.       IO and callable corporate bond

d.       IO and noncallable corporate bond

4.       You are asked by your boss to estimate the exposure of a hedge fund to the S& 500. Though the fund claims to mark to market weekly, it does not do so and marks to market once a month. The fund also does not tell investors that it simply holds an Exchange Traded Fund (ETF) that is indexed to the S& 500. Because of the claims of the hedge fund, you decide to estimate the market exposure by regressing weekly returns of the fund on the weekly return of the S& 500. Which of the following correctly describes a property of your regression estimates?

a.       The intercept of your regression will be positive, showing that the fund has positive alpha when estimated using an OLS regression.

b.       The beta will be misestimated because hedge fund exposures are nonlinear.

c.       The beta of your regression will be one because the fund holds the S& 500.

d.       The beta of your regression will be zero because the fund returns are not synchronous with the S& 500 returns.

5.       You are an analyst at Bank Alpha. You were given the task to determine whether under Basel II your bank can use the simplified approach to report options exposure instead of the intermediate approach. Which of the following criteria would your bank have to satisfy in order for it to use the simplified approach?

a.       The bank writes options, but its options trading is insignificant in relation to its overall business activities.

b.       The bank purchases and writes options and has significant option trading.

c.       The bank solely purchases options, and its options trading is insignificant in relation to its overall business activities.

d.       The bank purchases and writes options, but its option trading is insignificant.

[此贴子已经被作者于2009-3-31 14:21:55编辑过]