答案和详解如下： 6．With the zero volatility spread (Z-spread) approach the value of an asset-backed security (ABS) is the present value of cash flows discounted at the spot rates plus the Z-spread. This means the Z-spread technique does not incorporate prepayments and thus would be appropriate to value: A) auto loans or credit card loans. B) auto loans or high quality home equity loans. C) credit card loans or high quality home equity loans. D) high quality home equity loans. The correct answer was A) The Z-spread would be appropriate for valuing auto or credit card backed securities, because neither are likely to refinance. 7．For a bond with an embedded option where the cash flows are not interest rate path dependent, which of the following valuation approaches should be used? A) The option-adjusted spread approach with the binomial model. B) The nominal spread approach with the Monte Carlo simulation model. C) The zero-volatility spread approach with the binomial model. D) The option-adjusted spread approach with the Monte Carlo simulation model. The correct answer was A) The OAS method recognizes that cash flow changes accompany interest rate changes. Thus, it is suitable to use OAS analysis with ABSs that have a prepayment option that is frequently exercised, and if the cash flows are independent of the interest rate path, OAS should be computed with the binomial model. 8．The cash flows from mortgage-backed and some asset-backed securities are: A) interest rate path independent. B) valued using the binomial model. C) interest rate path dependent. D) virtually free of prepayment risk. The correct answer was C) The cash flows from mortgage-backed and some asset-backed securities are interest-rate path dependent. 9．For a bond with an embedded option, if cash flows are independent of past interest rates, or not path dependent the: A) option adjusted spread (OAS) should be used with the Monte Carlo simulation model. B) option adjusted spread (OAS) should be used with the binomial model. C) Z-spread should be used with the binomial model. D) Z-spread should be used with Monte Carlo simulation. The correct answer was B) If cash flows are independent of past interest rates, or not path dependent, the OAS should be used with the binomial model. 10．The nominal spread is the spread between the cash flow yield and the yield on a Treasury security with the same maturity as the average life of the mortgage-backed security (MBS) or asset-backed security (ABS) under analysis. For MBS and ABS the nominal spread: A) assumes no prepayment risk. B) masks the fact that a portion of the spread is compensation for accepting prepayment risk. C) enhances the fact that prepayment risk exists. D) has nothing to do with prepayment risk. The correct answer was B) For MBS and ABS, the nominal spread masks the fact that a portion of the spread is compensation for accepting prepayment risk. 11．For a bond with an embedded option where the cash flow is interest rate path dependent, which of the following valuation approaches should be used? A) The nominal spread approach with the Monte Carlo simulation model. B) The zero-volatility spread approach with the binomial model. C) The option-adjusted spread approach with the binomial model. D) The option-adjusted spread approach with the Monte Carlo simulation model. The correct answer was D) The OAS method recognizes that cash flow changes accompany interest rate changes. Thus, it is suitable to use OAS analysis with ABSs that have a prepayment option that is frequently exercised, and, if the cash flows are dependent upon the interest rate path, OAS should be computed with the Monte Carlo simulation model.
| 
发表于 2008-5-20 17:01
|