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金融風(fēng)險(xiǎn)管理智慧樹知到課后章節(jié)答案2023年下上海杉達(dá)學(xué)院上海杉達(dá)學(xué)院
第一章測試
WhichformuladescribetheCapitalAssetPricingModel?()
A:
B:
C:
答案:
Thereturnfromthemarketlastyearwas10%andtherisk-freeratewas5%.Ahedgefundmanagerwithabetaof0.6hasanalphaof4%.Whatreturndidthehedgefundmanagerearn?()
A:0.12
B:0.15
C:0.10
答案:0.12
SupposetheS&P500Indexhasanexpectedannualreturnof7.2%andvolatilityof8.2%.SupposeAndromedaFundhasanexpectedannualreturnof6.8%andvolatilityof7.0%andisbenchmarkedagainsttheS&P500Index.AccordingtotheCAPM,iftherisk-freerateis2.2%peryear,whatisthebetaoftheAndromedaFund?()
A:0.90
B:1.23
C:0.20
D:0.92
答案:0.92
IfabondissuedbyacompanyhavearatingofAAA,thecompanygenerallycannotbereferredtoashavingaratingofAA.()
A:錯(cuò)B:對(duì)
答案:對(duì)
第二章測試
WhichofthefollowingtablereflectsthechangeofstructureofbankingintheUnitedStatesbetween1984and2017?()
A:
B:
C:
答案:
________measuresthereturntostockholdersontheirinvestmentinthebank.Itistheproductofnetprofitmargin,assetutilizationandtheequitymultiplier.()
A:Netprofitmargin
B:ROA
C:ROE
答案:ROE
LoanlossesontheincomestatementofDLCBankisassociatedwithoperationalrisk.()
A:對(duì)B:錯(cuò)
答案:錯(cuò)
NetinterestincomeontheincomestatementofDLCBankisassociatedwithmarketrisk.()
A:對(duì)B:錯(cuò)
答案:對(duì)
Non-interestexpenseontheincomestatementofDLCBankisassociatedwithcreditrisk.()
A:錯(cuò)B:對(duì)
答案:錯(cuò)
第三章測試
Selectoneormorecorrectstatementsabouttheperformanceofhedgefund:
()
A:TheBarclaysHedgeFundIndexshowsthathedgefundsoutperformedthemarketin2008,butnotbetween2009and2016
B:Manyhedgefundstrategieshavelowbetasandthereforecannotbeexpectedtooutperformthemarketwhenitisdoingwell
C:Thestatisticsmaybiasaveragehedgefundperformanceupwardbecauseonlyhedgefundsthatchoosetoreporttheirreturnsareincludedinthestatisticsandthesetendtobethehedgefundsthataredoingwell
答案:TheBarclaysHedgeFundIndexshowsthathedgefundsoutperformedthemarketin2008,butnotbetween2009and2016
;Manyhedgefundstrategieshavelowbetasandthereforecannotbeexpectedtooutperformthemarketwhenitisdoingwell
;Thestatisticsmaybiasaveragehedgefundperformanceupwardbecauseonlyhedgefundsthatchoosetoreporttheirreturnsareincludedinthestatisticsandthesetendtobethehedgefundsthataredoingwell
Afundoffundsdividesitsmoneybetweenfivehedgefundsthatearn–5%,1%,10%,15%,and20%beforefeesinaparticularyear.Thefundoffundscharges1plus10%andthehedgefundscharge2plus20%.Thehedgefunds’incentivefeesarecalculatedonthereturnaftermanagementfees.Thefundoffundsincentivefeeiscalculatedonthenet(aftermanagementfeesandincentivefees)averagereturnofthehedgefundsinwhichitinvestsandafteritsownmanagementfeehasbeensubtracted.Whatistheoverallreturnontheinvestments?()
A:8.2%
B:5.4%
C:10.2%
答案:8.2%
Long/shortfundstendtoinvestprimarilyinpubliclytradedequityandtheirderivatives,andtendtobeshortbiased.()
A:錯(cuò)B:對(duì)
答案:錯(cuò)
Globalmacrostrategyinvolvesbothdirectionalanalysis,whichseekstopredicttheriseordeclineofacountry’seconomy,aswellasrelativeanalysis,evaluatingeconomictrendsrelativetoeachother.()
A:對(duì)B:錯(cuò)
答案:對(duì)
Globalmacrofundsarenotconfinedtoanyspecificinvestmentvehicleorassetclass,andcanincludeinvestmentinequity,debt,commodities,futures,currencies,realestateandotherassetsinvariouscountries.()
A:錯(cuò)B:對(duì)
答案:對(duì)
第四章測試
Whenatraderentersintoashortforwardcontractwhentheforwardpriceis$50,thetraderisobligatedtobuytheassetfor$50.(Thetraderdoesnothaveachoice).()
A:錯(cuò)B:對(duì)
答案:錯(cuò)
Aninvestorentersintoashortforwardcontracttosell100,000BritishpoundsforU.S.dollarsatanexchangerateof1.3000U.S.dollarsperpound.Howmuchdoestheinvestorgainorloseiftheexchangerateattheendofthecontractis1.3900?()
A:-$9,000
B:$9,000
C:-$1,000
答案:-$9,000
AFrenchbankentersintoa6-monthforwardcontractwithanimportertosellGBP60millionin6monthsatarateofEUR1.15perGBP1.Ifin6monthstheexchangerateisEUR1.13perGBP1,whatisthepayoffforthebankfromtheforwardcontract?()
A:EUR1,200,000
B:EUR-2,000,000
C:EUR-1,200,000
答案:EUR1,200,000
Whenatraderintendstoshortselling,hisbrokerwouldborrowthesecuritiesfromanotherclientandselltheminthemarketintheusualway.()
A:錯(cuò)B:對(duì)
答案:對(duì)
Whenatradershortssellingastock,hemustpaydividendandotherbenefitstheownerofthesecuritiesreceives.()
A:對(duì)B:錯(cuò)
答案:對(duì)
第五章測試
A/An______isanABScreatedfromparticulartranches(e.g.,theBBB-ratedtranches)ofanumberofdifferentABSs.()
A:ABSCDO
B:ABS
C:CDO
答案:ABSCDO
AnABSisasetoftranchescreatedfromaportfolioofloans,bonds,creditcardreceivables,andsoon.()
A:錯(cuò)B:對(duì)
答案:對(duì)
SupposetheABSsandABSCDOstructureisjustlikethefollowingtable.Ifthelossrateonthemortgagesis12%,whatisthelossrateonthemezzaninetrancheoftheABSCDO?
()
A:0%
B:100%
C:20%
答案:100%
TherisksinABSCDOswereusuallymisjudgedbythemarket.Becauseinvestorsoverestimatedhowhighthedefaultcorrelationsbetweenmortgageswouldbeinstressedmarketconditions.()
A:對(duì)B:錯(cuò)
答案:錯(cuò)
TherisksinABSCDOswereusuallymisjudgedbythemarket.BecauseinvestorsalsodidnotalwaysrealizethatthetranchesunderlyingABSCDOswereusuallyquitethinsothattheywereeithertotallywipedoutoruntouched.()
A:錯(cuò)B:對(duì)
答案:對(duì)
第六章測試
Supposethedeltaofacalloptionis0.7.Howcanashortpositionin1,000optionsbemadedeltaneutral?()
A:Purchase700shares.
B:Purchase1,000shares.
C:Short700shares.
答案:Purchase700shares.
ThegraphshowstherelationshipbetweenoneoftheGreeksofalongpositionofanEuropeancalloptionandthestockprice.CanyouguesswhichofthefollowingGreeksisforthey-axis?
()
A:gamma
B:vega
C:delta
答案:delta
Thegammaofadelta-neutralportfoliois30.Estimatewhathappenstothevalueoftheportfoliowhenthepriceoftheunderlyingassetsuddenlydecreasesby$2.()
A:Thevalueoftheportfolioincreasesby$120.
B:Thevalueoftheportfolioincreasesby$60.
C:Thevalueoftheportfoliodecreasesby$60.
答案:Thevalueoftheportfolioincreasesby$60.
AportfolioofstockAandoptionsonstockAiscurrentlydeltaneutral,buthasapositivegamma.Whichofthefollowingactionswillmaketheportfoliowithbothdeltaandgammaneutral?()
A:SellcalloptionsonstockAandsellstockA
B:SellputoptionsonstockAandsellstockA
C:BuyputoptionsonstockAandbuystockA
D:BuycalloptionsonstockAandsellstockA
答案:SellputoptionsonstockAandsellstockA
Whichofthefollowingstatementsistrueregardingoptions'Greeks?()
A:Vegaisgreatestforat-the-moneyoptionswithlongtimesremainingtoexpiration.
B:Gammaisgreatestforin-the-moneyoptionswithlongtimesremainingtoexpiration.
C:Deltaofdeepin-the-moneyputoptionstendstowards+1.
D:Thetatendstobelargeandpositiveforat-the-moneyoptions.
答案:Vegaisgreatestforat-the-moneyoptionswithlongtimesremainingtoexpiration.
第七章測試
Afive-yearbondwithayieldof11%(continuouslycompounded)paysan8%couponattheendofeachyear.Whatisthebond'sduration?()
A:4.536
B:3.982
C:4.256
答案:4.256
Atradingportfolioconsistsoftwobonds,A1andB1.Bothhavemodifieddurationof3yearsandfacevalueof$1,000.BondA1isazero-couponbond,anditscurrentpriceis$900.BondB1paysannualcouponsandispricedatpar.WhatisexpectedtohappentothemarketpricesofbondA1andbondB1,indollarterms,ifthereisaparallelupwardshiftintheyieldcurveof1%?()
A:Bothbondpriceswillmoveup,butbondB1willgainmorethanbondA1.
B:Bothbondpriceswillmovedown,butbondB1willlosemorethanbondA1.
C:Bothbondpriceswillmovedownbyroughlyequalamounts.
答案:Bothbondpriceswillmovedown,butbondB1willlosemorethanbondA1.
Durationisameasureofhowlongthebondholderhastowaitforcashflows.()
A:對(duì)B:錯(cuò)
答案:對(duì)
Thetablegivestheclosingpricesandyieldsofaparticularliquidbondoverthepastfewdays.Whatistheapproximatedurationofthebond?
()
A:9.4
B:18.8
C:1.9
答案:9.4
Modifieddurationisusedwhentheyieldyisexpressedwithcompoundingmtimesperyear.()
A:錯(cuò)B:對(duì)
答案:對(duì)
第八章測試
Thevolatilityofanassetis2%perday.Whatisthestandarddeviationofthepercentagepricechangeinfivedays?()
A:4.47%
B:2.52%
C:3.46%
答案:4.47%
TheparametersofaGARCH(1,1)modelareestimatedasω=0.000004,α=0.05,andβ=0.92.Whatisthelong-runaveragevolatility?()
A:1.155%
B:0.00133%
C:1.562%
答案:1.155%
Supposethatthepriceofanassetatcloseoftradingyesterdaywas$300anditsvolatilitywasestimatedas1.3%perday.Thepriceatthecloseoftradingtodayis$298.WhatisthenewdailyvolatilityusingtheGARCH(1,1)modelwithω=0.000002,α=0.04,andβ=0.94?()
A:1.275%
B:1.271%
C:1.165%
答案:1.275%
AvarianceestimatefromtheGARCH(1,1)modelisalwaysbetweenthepriorday'sestimatedvarianceandthepriorday'ssquaredreturn.()
A:錯(cuò)B:對(duì)
答案:錯(cuò)
GARCH(1,1)isconsistentwithamean-revertingvarianceratemodel.()
A:錯(cuò)B:對(duì)
答案:對(duì)
第九章測試
Afundmanagerannouncesthatthefund'sone-month95%VaRis6%ofthesizeoftheportfoliobeingmanaged.Youhaveaninvestmentof$100,000inthefund.Whichofthefollowingoptionsinterprettheportfoliomanager'sannouncementbest?()
A:Thereisa5%chancethatyouareexpectedtolose$6,000duringaone-monthperiod.
B:Thereisa5%chancethatyouwilllose$6,000atmostduringaone-monthperiod.
C:Thereisa5%chancethatyouwilllose$6,000ormoreduringaone-monthperiod.
答案:Thereisa5%chancethatyouwilllose$6,000ormoreduringaone-monthperiod.
Supposethateachoftwoinvestmentshasa0.9%chanc
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