13.   Which of the following is not an accurate statement regarding the purchase of insurance by banks for covering operational risk-related losses?

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a.       Insurance for operational risk events can be very expensive.

b.       Insurance companies do not have any comparative advantage in bearing or measuring operational risk and thus make poor risk management partners for banks.

c.       The presence of moral hazard in insurance leads to numerous contracting terms that restrict and condition the insurance and that make the insurance less valuable for banks.

d.       Policy limits often limit insurance coverage to levels well below the catastrophic levels for which banks actually need protection.

14.   The skew of a lognormal distribution is always

a.       positive.

b.       negative.

c.       0.

d.       3.

18. Consider two stocks, A and B. Assume their annual returns are jointly normally distributed, the marginal distribution of each stock has mean 2% and standard deviation 10%, and the correlation is 0.9. What is the expected annual return of stock A if the annual return of stock B is 3%?

a.  2%

b.  2.9%

c.  4.7%

d.  1.1%

19. If stock returns are independently, identically, normally distribution and the annual volatility is 30%, then the daily VaR at the 99% confidence level of a stock market portfolio is approximately

ffice:smarttags" />a.  2.41%

b.  3.11%

c.  4.40%

d.  1.89%

20. Two years ago, a pass-through mortgage-backed security based on newly originated 30-year mortgages had a weighted average interest rate of 7%. The pass-through was stripped into an interest-only (IO) bond and a principal-only (PO) bond. Today, rates on newly originated mortgages are 5%. Which of the following statements is true about the value of these bonds?

a.  The value of the IO has increased because the lower interest rates increase the present value of the cash flows to the IO investors and the prepayments include the interest that would have been paid had the homeowners followed the scheduled payments.

b.  The value of the PO has increased because the lower interest rates increase the present value of the cash flows to the PO investors receive cash earlier than previously expected.

c.  The value of the IO has decreased because the lower prepayments mean the cash flows are delayed.

d.  The value of the PO has increased because the prepayments have fallen since the first two years and the lower interest rate increases the present value of the payments to the PO investors.

[此贴子已经被作者于2009-3-31 14:06:16编辑过]

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