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51. Mr. Rosenqvist, asset manager at BCD Bank, holds a portfolio of SEK 200 million. The portfolio consists of BBB-rated bonds. Assume that the one-year probability of default is 4%, the recovery rate is 60%, and default are uncorrelated over years. What is the two-year cumulative expected credit loss on Mr. Rosenqvist’s Portfolio?
a. SEK 6.40 million
b. SEK 6.35 million
c. SEK 9.60 million
d. SEK 9.48 million
52. Beta Bank owns a portfolio of 10 AA-rated bonds from 10 different issuers with a total value of USD 200 million. The one-year probability of default for each issuer is 5%, and the recovery rate for each issue equals 40%. The one-year expected loss of the portfolio is
a. USD 5.0 million.
b. USD 8.0 million.
c. USD 6.0 million.
d. USD 4.0 million.
53. XYZ Bank (based in the US) has the following items on its balance sheet:
Assets
·USD 100 million US loans, 1-year maturity in USD at a yield of 7%
·USD 100 million equivalent UK loans, 1-year maturity in GBP at a yield of 9%
Liabilities
·USD 100 million US Certificates of Deposit, 1-year maturity in USD at a yield of 6%
·USD 100 million equivalent UK Certificates of Deposit, 1-year maturity in GBP at a yield of 7%
What will be the net interest margin and average gross return for the bank (in domestic currency terms) if the USD/GBP exchange rate at the start pf the year was 1.95 and at the end of the year is 2.02?
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Net Interest Margin |
Average Gross Return |
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a. 1.50% |
8.00% |
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b. 1.54% |
9.96% |
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c. 1.45% |
8.00% |
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d. 1.47% |
9.96% |
54. It is June 2 and a fund manager with USD 10 million invested in government bonds is concerned that interest rates will be highly volatile over the next three months. The manager decides to use the September Treasury bond futures contract to hedge the value of the portfolio. The current futures price is USD 95.0625. Each contract is for the delivery of USD 100,000 face value of bonds. The duration of the manager’s bond portfolio in three months will be 7.8years. The cheapest-to-deliver bond in the Treasury bond futures contract is expected to have a duration of 8.4years at maturity of the contract. At the maturity of the Treasury bond futures contract, the duration of the underlying benchmark Treasury bond is nine years. What position should the fund manager undertake to mitigate his interest rate risk exposure?
a. Short 94 contracts.
b. Short 98 contracts.
c. Short 105 contracts.
d. Short 113 contracts.
55. Suppose the return on US Treasuries is 3% and a risky bond is currency yielding 15%. A trader you supervise claims that he would be able to make an arbitrage earning 5% using US Treasuries, the risky bond, and the credit default swap. Which of the following could be the trader’s strategy, and what is the credit default swap premium? Assume there are no transaction costs.
a. Go long the Treasury, short the risky bond, and sell the credit default swap with premium of 7%.
b. Go long the Treasury, short the risky bond, and buy the credit default swap with premium of 6%.
c. Short the Treasury, invest in the risky bond, and buy the credit default swap with premium of 7%.
d. Short the Treasury, invest in the risky bond, and sell the credit default swap with premium of 6%. | 
发表于 2009-3-31 14:34
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