|
76. Using the Merton model, the value of the debt increases if all other parameters are fixed and
i. the value of the firm decreases.
ii. the riskless interest rate decreases.
iii. time to maturity increases.
iv. the volatility of the firm value decreases.
a. i and ii only
b. i and iv only
c. ii and iii only
d. ii and iv only
77. Which of the following problems are NOT inherent disadvantages of the historical simulation approach to estimating VaR?
i. It gives too little weight to more recent observations.
ii. For long-only portfolios, it is likely to understate VaR following a recent structural increase in volatilities.
iii. It always ignores the fat tails present in the distribution of returns on many financial assets.
iv. Because of the delta approximation, it inadequately measures the risk of nonlinear instruments.
a. i, iii, and iv only
b. iii and iv only
c. i and ii only
d. ii only
78. According to put-call parity, buying a put option on a stock is equivalent to
a. buying a call option and buying the stock with funds borrowed at the risk-free rate.
b. selling a call option and buying the stock with funds borrowed at the risk-free rate.
c. buying a call option, selling the stock, and investing the proceeds at the risk-free rate.
d. selling a call option, selling the stock, and investing the proceeds at the risk-free rate.
79. As part of a currency hedging strategy, a US portfolio manager entered a one-year forward contract with a bank to deliver EUR 5,000,000 for USD at the end of the year. At the beginning of the year, the one-year forward rate was 0.9216 USD/EUR. Six months into the contract, the spot rate is 0.9201 USD/EUR, the USD interest rate is 6.5%, and the EUR interest rate is 6.25%. If the current spot rate (0.9201 USD/EUR) were to continue for the next six months, what is the credit risk that the portfolio manager would bear at maturity?
a. USD 7,264
b. USD 7,042
c. USD 7,500
d. USD 7,273
80. Consider an FRA (forward rate agreement) with the same maturity and compounding frequency as a Eurodollar futures contract. The FRA has a LIBOR underlying. Which of the following statements are true about the relationship between the forward rate and the futures rate?
a. The forward rate is normally higher than the futures rate.
b. They have no fixed relationship.
c. The forward rate is normally lower than the futures rate.
d. They should be exactly the same. | 
发表于 2009-3-31 14:37
|