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26. All else being equal, which of the following options would cost more than plain vanilla options?
I. lookback options
II. barrier options
III. Asian options
IV. chooser options
A. I only
B. I & IV
C. II & III
D. I, III & IV
27. Consider an asset worth USD 1 million whose 95th percentile VaR is USD 100,000 (computed using the parametric method assuming the normal distribution). Suppose the bid-ask spread on the asset has a mean of USD 0.10 and a standard deviation of USD 0.30. What is the 95th percentile liquidity adjusted VaR assuming the market risk VaR and the liquidity risk piece are uncorrelated?
A. USD 200,000
B. USD 344,000
C. USD 444,000
D. USD 688,000
28. Given the following portfolio of bonds:
What is the value of the portfolio's DV01 (Dollar value of 1 basis point)?
A. 8,019
B. 8,294
C. 8,584
D. 8,813
29. A risk manager believes that there is some probability that ABC Company's bond rating will be revised downward from A to A-. She wants to obtain an estimate of the change in value of the company's bond if such a change takes place. Which of the following approaches should she not use to estimate the impact of the rating change on the price of the company's bond?
A. Multiply the change in yield spread resulting from the rating change by the modified duration of the bond using the average yield to maturity or the option adjusted spread, by bond rating class.
B. Estimate the new forward curve after the rating change, compute the price of the bond using the new curve for the remaining cash flows, and compare that to the original bond price.
C. Empirically estimate historical price changes following a rating change on a large sample of bonds across different rating classes using an "event study" methodology.
D. Calculate the price change of the bond the last time a rating change occurred and use it as your estimate.
30. A first-to-default basket credit default swap is a credit derivative that:
A. Entails a number of reference entities and provides a payoff only when the first reference entity defaults.
B. Entails a number of reference entities and provides a payoff only when the first entity's recovery rate is higher than the rest of the entities in the swap.
C. Provides a payoff when the first entity of the credit default swap issues securities.
D. Provides a payoff when the first entity of the credit default swap issues a basket option to repurchase the issuers' bonds. | 
发表于 2009-6-13 14:52
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