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116. Suppose that A and B are random variables, each follows a standard normal distribution, and the covariance between A and B is 0.35. What is the variance of (3A+2B)?
a. 14.47
b. 17.20
c. 9.20
d. 15.10
117. The surplus of a pension fund is most important for
a. a defined benefit fund.
b. a defined contribution fund.
c. a sponsoring company with strong financial status that operates in different industries.
d. a young work force.
118. Which of the following statements about liquidity risk elasticity (LRE) is incorrect?
a. LRE is primarily useful for examining marginal changes in funding costs on a net asset/liability position
b. In calculating the sensitivity of a firm’s net assets to a change in its funding liquidity premium, LRE assumes a parallel shift in funding costs across all maturities.
c. The LRE is only reliable for small changes in interest costs.
d. The LRE is a cash flow liquidity risk measure, not a present value liquidity risk measure.
119. Your bank is using the Black-Scholes model for valuation and pricing of exchange rate options with implied volatility of the at-the money options imputed from the market quotes. However, the research staff is now suggesting that exchange rate markets are exhibiting a volatility smile and the existing valuations are incorrect. As a risk manager, you will be more concerned in which of the following situations?
a. When the portfolio mainly consists of at-the-money long calls and puts.
b. When the portfolio mainly consists of short put positions in deep out-of money options.
c. When the portfolio mainly consists of short positions in at-the-money calls and puts.
d. When the portfolio mainly consists of long call positions in deep out-of-money options.
120. What does a hypothesis test at the 5% significance level mean?
a. P (not reject H0 | H0 is true)=0.05
b. P (not reject H0 | H0 is false)=0.05
c. P (reject H0 | H0 is true)=0.05
d. P (reject H0 | H0 is false)=0.05 | 
发表于 2009-3-31 14:41
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