11. Assuming the 1-year T-bill rate of 4.25% and the rate on 1-year zero-coupon corporate bonds is 7.75%, which of the following numbers is closest to the probability that a corporate loan will be repaid fully (assuming that the credit spread is due to firm-specific credit risk alone)?
A. 96.75%
B. 3.25%
C. 96.21%
D. 3.79%
12. In a securitized transaction, over-collateralization results when
A. The originator puts aside some cash in a reserve account to absorb credit losses.
B. A securitization transaction carves up the cash flows generated from the asset pool into various pieces.
C. The interest payments and other fees received on the assets in the pool exceed the interest payment made on the ABS plus the fee paid to service the assets along with miscellaneous expenses.
D. The value of the assets in the pool exceeds the amount of Asset Backed Security (ABS) involved.
13. For a company starting with rating B in year 1, calculate the default (rating D) probability for year 2.
[attach]13813[/attach]
A. 0.40%
B. 2.00%
C. 17.20%
D. 65.00%
14. When evaluating asset-backed securitization issues, which of following would be least important during the investor's analysis process?
A. The liability concentration levels of the asset originator.
B. The structure of the underlying securitization transaction.
C. The quality of the loan servicer for the underlying assets in the transaction.
D. The quality of the underlying assets within the securitization structure.
15. Scenario-based operational risk measurement and modelling methods have the following characteristics:
A. Objective, easy to understand and take advantage of business line manager expertise
B. Objective, exhaustively represent all the risks of the firm and easy to understand
C. Subjective, easy to interpret and take advantage of business line manager expertise
D. Subjective, easy to specify all the risks facing the firm and easy to understand
[此贴子已经被作者于2009-6-13 14:16:47编辑过] |