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36. If the gold lease rate is higher than the risk-free rate, what is the market structure of the forward market for gold?
a. Backwardation
b. Contango
c. Inversion
d. Need more information to determine
37. Assuming other things constant, bonds of equal maturity will still have different DV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value:
a. Premium bonds, par bonds, zero coupon bonds
b. Zero coupon bonds, Premium bonds, par bonds
c. Premium bonds, zero coupon bonds, par bonds
d. Zero coupon bonds, par bonds, Premium bonds
38. The delta-normal method for the VaR of an option position tells us that as an option moves into the money,
a. the VaR of a call falls, but the VaR of a put rises.
b. the VaR of a call rises, but the VaR of a put falls.
c. the VaR for both a call option and put option falls.
d. the VaR for both a call option and put option rises.
39. To handle the financing of a large, complex project, your bank is establishing a Special Purpose Entity (SPE) for which your bank will act as trustee. Which of the following could result in liability to your bank through its role as trustee?
a. The SPE controls were unable to determine whether its investors used funds derived from legitimate business opportunities.
b. The SPE structure provided for fewer creditors and a reduced likelihood that the project would be forced into bankruptcy.
c. The SPE was formed to take advantage of a preferable legal jurisdiction.
d. The SPE’s primary purpose was to allow for the deferral of income taxes.
40. The following table from Fitch Ratings shows the number of rated issuers migrating between two ratings categories during one year.
|
|
Year 1 Rating |
|
|
AAA |
AA |
A |
BBB |
Default |
Total |
|
Year 0 Rating |
AAA |
45 |
4 |
2 |
0 |
0 |
51 |
|
|
AA |
3 |
30 |
4 |
3 |
2 |
42 |
|
|
A |
2 |
5 |
40 |
2 |
3 |
52 |
|
|
BBB |
0 |
1 |
2 |
30 |
1 |
34 |
|
|
Default |
0 |
0 |
0 |
0 |
0 |
0 |
Based on this information, what is the probability that an issue with a rating of A at the beginning of the year will be downgraded bt the end of the year?
a. 13.46%
b. 13.44%
c. 9.62%
d. 3.85% | 
发表于 2009-3-31 14:32
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