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71. In august 2006, the hedge fund Amaranth had large calendar spread positions in natural gas. According to historical VaR models, such spread positions would have had limited risk. In light of the dramatic losses to the funds, which led to Amaranth’s collapse in September 2006, its risk management policies came under scrutiny. Keeping the fund’s policies, trading, and position limits unchanged, which of the following risk management policies could have better captured the extent of the risks that sank Amaranth?
i. Using Riskmetrics-type VaR instead of a historical VaR to estimate its risk exposures.
ii. Adding counterparty risk to its risk measurement.
iii. implementing stress tests to quantify possible losses if it had to liquidate large positions.
iv. Including operational VaR to its risk measurement.
a. ii, iii, and iv only
b. i, ii, iii, and iv
c. i and iii only
d. None of the changes would have helped
72. Which of the following statements regarding economic capital are true?
i. Economic capital is designed to provide a cushion against unexpected losses at a specified confidence level over a set time horizon.
ii. Since regulatory capital models and economic capital models have different objectives, economic capital models cannot help regulators in setting regulatory capital requirements.
iii. Firms whose capital exceeds their required regulatory capital are firms that employ their capital inefficiently, and their shareholders would benefit if they used all of their excess capital to repurchase shares or increase dividends.
iv. Economics capital can be used to validate a firm’s regulatory capital requirement against its own assessment of the risks it is running.
a. i, ii, and iii only
b. iii and iv only
c. i and iv only
d. i, iii, and iv only
73. Which of the following strategies creates a calendar spread?
a. Buy a call option with a certain strike price and buy a longer maturity call option with the same strike price.
b. Sell a call option with a certain strike price and buy a longer maturity call option with the same strike price.
c. Buy a call option with a certain strike price and sell a longer maturity call option with the same strike price.
d. Sell a call option with a certain strike price and sell a longer maturity call option with the same strike price.
74. A trader whose risk you are monitoring tells you that he wants to benefit from a credit spread widening due to a recession. Which of the following would be good trades for his strategy?
a. Short risky bonds and go long risk-free bonds at the beginning of the recession.
b. Go long risky bonds and short risk-free bonds at the beginning of the recession.
c. Sell credit default swaps on bonds with low credit quality and go long low credit quality bonds.
d. Sell credit default swaps on bonds with a low credit quality and buy credit default swaps on bonds with a higher credit quality at the beginning of the recession.
75. Which of the following trade(s) contain basis risk?
i. Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Nov 07 NYMEX WTI Crude Oil contracts
ii. Long 1,000 lots Nov 07 ICE Brent Oil contracts and long 2,000 lots Nov 07 ICE Brent Oil at-the-money put
iii. Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 ICE Brent Oil contracts
iv. Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 NYMEX WTI Crude Oil contracts
a. ii and iv only
b. i and iii only
c. i, iii and iv only
d. iii and iv only | 
发表于 2009-3-31 14:36
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