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61. With a mortgage-backed security (MBS) ,negative convexity implies that
i. The value of an MBS decreases more than the value of a plain vanilla, fixed-income security as interest rate increase.
ii. The value of an MBS decreases less than the value of a plain vanilla, fixed-income security as interest rate increase.
iii. The value of an MBS increases less than the value of a plain vanilla, fixed-income security as interest rate decrease.
iv. The value of an MBS increases more than the value of a plain vanilla, fixed-income security as interest rate decrease.
a. i and iii only
b. i and iv only
c. ii and iv only
d. ii and iii only
62. A portfolio consists of two zero coupon bonds, each with a current value of USD 10. The first bond has a modified duration of one year and the second has a modified duration of 9 years. The yield curve is flat, and all yield are 5%. Assume all moves of the yield curve are parallel shifts. Given that the daily volatility of the yield is 1%, which of the following is the best estimate of the portfolio daily VaR at the 95% confidence level？
a. USD 1.65
b. USD 2.33
c. USD 1.16
d. USD 0.82
63. All of the following strategies are examples of capital structure arbitrage, except:
a. Short position in the bonds issued by the company, and long position in the company’s stock..
b. Long position in the bonds issued by the company, and short position in the company’s stock..
c. Short position in the preferred stock issued by the company, and writing call options on the company’s stock..
d. Long position in a credit default swap on the company, and writing put options on the company’s stock..
64. The following table show the composition of the GARP Bond Fund. What are the portfolio duration and portfolio yield of the fund?
GARP Bond Fund
|
Rating |
Amount USD million |
Duration in years |
|
AAA |
|
|
|
Company A |
600 |
1.5 |
|
Company B |
300 |
4 |
|
Company C |
200 |
2.5 |
|
AA |
|
|
|
Company D |
400 |
4 |
|
Company E |
350 |
0.5 |
|
A |
|
|
|
Company F |
150 |
1.5 |
|
Total |
2000 |
|
Rating valuation matrix (yields)
|
Years |
0-1 |
1-2 |
2-3 |
3-4 |
|
Rating |
|
|
|
|
|
AAA |
6.25% |
6.75% |
7.35% |
8.00% |
|
AA |
6.75% |
7.35% |
8.05% |
8.80% |
|
A |
7.75% |
8.45% |
9.15% |
9.85% |
a. 14 years, 46.1%
b. 2.3 years, 7.5%
c. 2.3 years, 7.7%
d. 4.4 years, 15.4%
65. A risk manager has been requested to provide some indication of accuracy of a Monte Carlo simulation. Using 1,000 replications of a normally distributed variable S, the relative error in the one-day 99% VaR is 5%. Under these conditions,
a. using 1,000 replications of a long option position on S should create a larger relative error.
b. using 10,000 replications should create a larger relative error.
c. using another set of 1,000 replications will create an exact measure of 5.0% for relative error.
d. using 1,000 replications of a short option position on S should create a larger relative error. | 
发表于 2009-3-31 14:35
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