1.       The Potential Future Exposure (PFE) model can be used to

i. calculate economic and regulatory capital.

ii. quantify credit risk.

iii. calculate market risk.

iv. determine the appropriate stochastic process of a credit portfolio.

a. iii and iv only

b. i and iii only

c. i, ii, and iii only

d. i, ii, and iv only

The following mini-case scenario applies to both question 7 and 8.

2.       On January 1, a risk manager observes that the one-year continuously compounded interest rate is 5% and storage costs of a commodity product A is USD 0.05 per quarter (payable at each quarter end). He further observes the following forward prices for product A:

·March     USD 5,35

·June      USD 5.90

·September USD 5.30

·December  USD 5.22

Given the following explanation of supply and demand for commodity product A, how would you best describe its forward price curve form June to December?

a.       Backwardation as the supply of product A is expected to decline after summer.

b.       Contango as the supply of product A is expected to decline after summer.

c.       Contango as there is excess demand for product A in early summer.

d.       Backwardation as there is excess demand for product A in early summer.

3.       What is the annualized rate of return earned on a cash-and-carry trade entered into in March and closed out in June?

a.       9.8%

b.       8.9%

c.       39.1%

d.       35.7%

4.       Which of the following is characteristic of ”crowded trades”?

a.       As spreads narrow, traders have lower economic incentives to increase leverage levels in order to achieve comparable returns.

b.       The aggregate volume of trades in the market(s) is such that traders can simultaneously exit from their positions without significantly impacting prevailing prices.

c.       Until traders seek to unwind positions, crowded trades are often characterized by a dampening of volatilities and an increase in perceived liquidity measures, leading to misleadingly low risk calculations in conventional VaR (including liquidity-adjusted VaR) and other risk models.

d.       A single large party enters into correlated trading strategies across one or more markets.

5.       The price of a three-year zero coupon government bond is 85.16. The price of a similar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4?

a.       5.4%

b.       5.5%

c.       5.8%

d.       6.7%

[此贴子已经被作者于2009-3-31 14:21:12编辑过]