金融風(fēng)險(xiǎn)管理知到智慧樹(shù)期末考試答案題庫(kù)2025年上海杉達(dá)學(xué)院

金融風(fēng)險(xiǎn)管理知到智慧樹(shù)期末考試答案題庫(kù)2025年上海杉達(dá)學(xué)院WhichofthefollowingtablereflectstheevolvingofstructureofbankinginUSbetweenduringthelast30years?（）

答案:WhichofthefollowingtablereflectstheevolvingofstructureofbankinginUSbetweenduringthelast30years?（）WhichofthefollowingtablereflectsthechangeofstructureofbankingintheUnitedStatesbetween1984and2017?（）

答案:WhichofthefollowingtablereflectsthechangeofstructureofbankingintheUnitedStatesbetween1984and2017?（）Whichofthefollowingstatementsistrueregardingoptions'Greeks?（）

答案:Vegaisgreatestforat-the-moneyoptionswithlongtimesremainingtoexpiration.Whichofthefollowingstatementsiscorrectregardingoptions'Greeks?（）

答案:Vegaisgreatestforat-the-moneyoptionswithlongtimesremainingtoexpiration.WhichofthefollowingIBMoptionshasthehighestgammawiththecurrentmarketpriceofIBMcommonstockat$68?（）

答案:Calloptionexpiringin10dayswithstrike$70WhichofthefollowingdescriptionsaretheassumptionforCapitalAssetPricingModel?（）

答案:WhichofthefollowingdescriptionsaretheassumptionforCapitalAssetPricingModel?（）WhichofthefollowingdescriptionsarenottheassumptionforCAPM?（）

答案:Investorscareabouttheskewnessofreturn.；Taxdoesinfluenceinvestmentdecisions.Whichofthefollowingdescriptionsarecorrectaboutlong/shortstrategies?（）

答案:Involvestakinglongandshortpositionsinequityandequityderivativesecurities.；Andollar-neutralfundisoneofthelong/shortstrategieshedgefunds.Whichofthefollowingdescriptionsarecorrectaboutglobalmacrostrategies?（）

答案:Globalmacroreferstothegeneralinvestmentstrategymakinginvestmentdecisionsbasedonbroadpoliticalandeconomicoutlooksofvariouscountries.；Globalmacrostrategyinvolvesbothdirectionalanalysis,whichseekstopredicttheriseordeclineofacountry’seconomy,aswellasrelativeanalysis,evaluatingeconomictrendsrelativetoeachother.；Globalmacrofundsarenotconfinedtoanyspecificinvestmentvehicleorassetclass,andcanincludeinvestmentinequity,debt,commodities,futures,currencies,realestateandotherassetsinvariouscountries.Whichofthefollowingdescriptionaboutsystematicriskaretrue?（）

答案:Thesystematicriskcomponentiswhatshouldmattertoaninvestor.；Aninvestorshouldrequireanexpectedreturntocompensateforthesystematicrisk.Whichofthefollowingdescriptionaboutalphaaretrue?（）

答案:Alpharepresentstheextrareturnmadefromsuperiorportfoliomanagement.；Aninvestorcanmakeapositivealphaonlyattheexpenseofotherinvestorswhoaremakinganegativealpha.；Theweightedaveragealphaofallinvestorsmustbezero.WhichformuladescribetheCAPM?（）

答案:WhichformuladescribetheCAPM?（）WhichformuladescribetheCapitalAssetPricingModel?（）

答案:WhichformuladescribetheCapitalAssetPricingModel?（）WhenatradershortssellingoneshareofIBM,hemustpaydividendandotherbenefitsoftheIBMtotheownerofthesecuritiesreceivesduringhisshortsperiod.（）

答案:對(duì)Whenatradershortssellingastock,hemustpaydividendandotherbenefitstheownerofthesecuritiesreceives.（）

答案:對(duì)Whenatraderintendstoshortselling,hisbrokerwouldborrowthesecuritiesfromanotherclientandselltheminthemarketintheusualway.（）

答案:對(duì)Whenatraderentersintoashortforwardcontract,heisagreeingtobuytheunderlyingassetforacertainpriceatacertaintimeinthefuture.（）

答案:錯(cuò)Whenatraderentersintoashortforwardcontractwhentheforwardpriceis$50,thetraderisobligatedtobuytheassetfor$50.(Thetraderdoesnothaveachoice).（）

答案:錯(cuò)Whenatraderentersintoashortforwardcontractwhentheforwardpriceis$40,thetraderisobligatedtobuytheassetfor$40.(Thetraderdoesnothaveachoice).（）

答案:錯(cuò)Thevolatilityofanassetis25%perannum.Whatisthestandarddeviationofthepercentagepricechangeinonetradingday?（）

答案:1.57%Thevolatilityofanassetis2%perday.Whatisthestandarddeviationofthepercentagepricechangeinfivedays?（）

答案:4.47%Thevolatilityofanassetis2%perday.Whatisthestandarddeviationofthepercentagepricechangein5days?（）

答案:4.47%TherisksinthetrancheofanABSaredifferentfromtherisksinasimilarlyratedbond.Oftenatrancheisthinandtheprobabilitydistributionofthelossisquitedifferentfromthatonthebond.Ifalossoccurs,thereisahighprobabilitythatitwillbe100%.A100%lossismuchlesslikelyforabond.（）

答案:對(duì)TherisksinABSCDOswereusuallymisjudgedbythemarket.Becauseinvestorsoverestimatedhowhighthedefaultcorrelationsbetweenmortgageswouldbeinstressedmarketconditions.（）

答案:錯(cuò)TherisksinABSCDOswereusuallymisjudgedbythemarket.BecauseinvestorsalsodidnotalwaysrealizethatthetranchesunderlyingABSCDOswereusuallyquitethinsothattheywereeithertotallywipedoutoruntouched.（）

答案:對(duì)TherisksinABSCDOswereoftenmisjudgedbythemarket.BecauseinvestorsalsodidnotalwaysrealizethatthetranchesunderlyingABSCDOswereusuallyquitethinsothattheywereeithertotallywipedoutoruntouched.（）

答案:對(duì)Thereturnfromthemarketlastyearwas10%andtherisk-freeratewas5%.Ahedgefundmanagerwithabetaof0.6hasanalphaof4%.Whatreturndidthehedgefundmanagerearn?（）

答案:0.12Thereturnfromthemarketlastyearwas10%andtherisk-freeratewas5%.Ahedgefundmanagerwithabetaof0.5hasanalphaof4%.Whatreturndidthehedgefundmanagerearn?（）

答案:0.115TheratingagencieshaveanalyzedthecreditworthinessofCompanyXYZandhavedeterminedthatthecompanycurrentlyhasadequatepaymentcapacity,althoughanegativechangeinthebusinessenvironmentcouldaffectitscapacityforrepayment.ThecompanyhasbeengivenaninvestmentgraderatingbyS&PandMoody's.WhichofthefollowingS&P/Moody'sratingshasCompanyXYZbeenassigned?（）

答案:BBB/BaaTheparametersofaGARCH(1,1)modelareestimatedasω=0.000004,α=0.05,andβ=0.92.Ifthecurrentvolatilityis20%peryear,whatistheexpectedvolatilityin20days?（）

答案:1.21%TheparametersofaGARCH(1,1)modelareestimatedasω=0.000004,α=0.05,andβ=0.92.Whatisthelong-runaveragevolatility?（）

答案:1.155%TheparametersofaGARCH(1,1)modelareestimatedasω=0.000004,α=0.05,andβ=0.92.Calculatethelong-runaveragevolatility?（）

答案:1.155%Thegammaofadelta-neutralportfoliois30.Estimatewhathappenstothevalueoftheportfoliowhenthepriceoftheunderlyingassetsuddenlydecreasesby$2.（）

答案:Thevalueoftheportfolioincreasesby$60.Thegammaofadelta-neutralportfoliois20.Estimatewhatwouldhappentothevalueoftheportfoliowhenthepriceoftheunderlyingassetsuddenlydecreasesby$3.（）

答案:Thevalueoftheportfolioincreasesby$90.Theexpectedreturnonthemarketportfoliois12%andtherisk-freerateis6%.Whatistheexpectedreturnonaninvestmentwithabetaof0.2?（）

答案:7.2%Thedeltaofaderivativesportfoliodependentonanindexis-2,100.Theindexiscurrently1,000.Estimatewhathappenstothevalueoftheportfoliowhentheindexincreasesto1,005.（）

答案:Thevalueoftheportfoliodecreasesby$10,500SupposetheS&P500Indexhasanexpectedannualreturnof7.2%andvolatilityof8.2%.SupposeXXXFundhasanexpectedannualreturnof6.8%andvolatilityof7.0%andisbenchmarkedagainsttheS&P500Index.AccordingtotheCAPM,iftherisk-freerateis3.2%peryear,whatisthebetaoftheXXXFund?（）

答案:0.90SupposetheS&P500Indexhasanexpectedannualreturnof7.2%andvolatilityof8.2%.SupposeAndromedaFundhasanexpectedannualreturnof6.8%andvolatilityof7.0%andisbenchmarkedagainsttheS&P500Index.AccordingtotheCAPM,iftherisk-freerateis2.2%peryear,whatisthebetaoftheAndromedaFund?（）

答案:0.92SupposetheRussell2000Indexhasanexpectedannualreturnof7.8%andvolatilityof9.8%.SupposeAlphaIndustrialFundhasanexpectedannualreturnof7.1%andvolatilityof7.9%andisbenchmarkedagainsttheRussell2000Index.AccordingtotheCAPM,iftherisk-freerateis3.2%peryear,whatisthebetaoftheAlphaIndustrialFund?（）

答案:0.85Supposethedeltaofacalloptionis0.7.Howcanashortpositionin1,000optionsbemadedeltaneutral?（）

答案:Purchase700shares.Supposethedeltaofacalloptionis0.6.Howcanashortpositionin1,000optionsbemadedeltaneutral?（）

答案:Purchase600shares.Supposethatthepriceofanassetatcloseoftradingyesterdaywas$300anditsvolatilitywasestimatedas1.3%perday.Thepriceatthecloseoftradingtodayis$298.WhatisthenewdailyvolatilityusingtheGARCH(1,1)modelwithω=0.000002,α=0.04,andβ=0.94?（）

答案:1.275%Supposethatthepriceofanassetatcloseoftradingyesterdaywas$300anditsvolatilitywasestimatedas1.3%perday.Thepriceatthecloseoftradingtodayis$298.CalculatethenewdailyvolatilityusingtheGARCH(1,1)modelwithω=0.000002,α=0.04,andβ=0.94?（）

答案:1.275%SupposethatGARCH(1,1)parametershavebeenestimatedasω=0.000003,α=0.04,andβ=0.94.Thecurrentdailyvolatilityisestimatedtobe1%.Estimatethedailyvolatilityin30days.（）

答案:1.11%Supposethateachoftwoinvestmentshasa4%chanceofalossof$10million,a2%chanceofalossof$1million,anda94%chanceofaprofitof$1million.Theyareindependentofeachother.WhatistheVaRforoneoftheinvestmentswhentheconfidencelevelis95%?（）

答案:$1millionSupposethateachoftwoinvestmentshasa4%chanceofalossof$10million,a2%chanceofalossof$1million,anda94%chanceofaprofitof$1million.Theyareindependentofeachother.CalculatetheVaRforoneoftheinvestmentswhentheconfidencelevelis95%?（）

答案:$1millionSupposethateachoftwoinvestmentshasa0.9%chanceofalossof$10millionanda99.1%chanceofalossof$1million.Theinvestmentsareindependentofeachother.WhatistheVaRforoneoftheinvestmentswhentheconfidencelevelis99%?（）

答案:$1millionSupposethateachoftwoinvestmentshasa0.9%chanceofalossof$10millionanda99.1%chanceofalossof$1million.Theinvestmentsareindependentofeachother.CalculatetheVaRforoneoftheinvestmentswhentheconfidencelevelis99%?（）

答案:$1millionSupposeanexistingshortoptionpositionisdelta-neutral,buthasagammaofnegative600.Alsoassumethatthereexistsatradedoptionwithadeltaof0.75andagammaof1.50.Inordertomaintainthepositiongamma-neutralanddelta-neutral,whichofthefollowingistheappropriatestrategy?（）

答案:Buy400optionsandsell300sharesoftheunderlyingasset.PortfolioAconsistsofaone-yearzero-couponbondwithafacevalueof$2,000anda10-yearzero-couponbondwithafacevalueof$6,000.Thecurrentyieldonallbondsis10%perannum(continuouslycompounded).WhatisthedurationofportfolioA?（）

答案:5.95Non-interestexpenseontheincomestatementofDLCBankisassociatedwithcreditrisk.（）

答案:錯(cuò)NetinterestincomeontheincomestatementofDLCBankisassociatedwithmarketrisk.（）

答案:對(duì)Netinterestincomeontheincomestatementofabankisassociatedwithmarketrisk.（）

答案:對(duì)Modifieddurationisusedwhentheyieldyisexpressedwithcompoundingmtimesperyear.（）

答案:對(duì)Macauleydurationisusedwhentheyieldyisexpressedwithcompoundingntimesperyear.（）

答案:錯(cuò)Long/shortfundstendtoinvestprimarilyinpubliclytradedequityandtheirderivatives,andtendtobeshortbiased.（）

答案:錯(cuò)Long/shortfundstendtoinvestmainlyinpubliclytradedequityandtheirderivatives,andtendtobepositionneutral.

答案:錯(cuò)LoanlossesontheincomestatementofDLCBankisassociatedwithoperationalrisk.（）

答案:錯(cuò)Loanlossesontheincomestatementofabankisassociatedwithoperationalrisk.（）

答案:錯(cuò)Itisimportantforahedgefundtoberightinthelongterm.Short-termgainsandlossesdonotmatter.（）

答案:錯(cuò)Ifthedaily,90%confidencelevel,VaRofaportfolioiscorrectlyestimatedtobe$5,000,onewouldexpectthatinoneoutof:（）

答案:10days,theportfoliovaluewilldeclineby$5,000ormoreIfthecurrentmarketpriceofastockis$60,whichofthefollowingoptionsonthestockhasthehighestgamma?（）

答案:Longcalloptionexpiringin5dayswithstrikepriceof$60IfabondissuedbyacompanyhavearatingofAAA,thecompanygenerallycannotbereferredtoashavingaratingofAA.（）

答案:對(duì)Goodyearsarefollowedbyequallybadyearsforamutualfund.Itearns+8%,-8%,+12%,-12%insuccessiveyears.Whatistheinvestor'soverallreturnforthefouryears?（）

答案:-2.07%Globalmacrostrategyinvolvesbothdirectionalanalysis,whichseekstopredicttheriseordeclineofacountry’seconomy,aswellasrelativeanalysis,evaluatingeconomictrendsrelativetoeachother.（）

答案:對(duì)Globalmacrofundsarenotconfinedtoanyspecificinvestmentvehicleorassetclass,andcanincludeinvestmentinequity,debt,commodities,futures,currencies,realestateandotherassetsinvariouscountries.（）

答案:對(duì)GARCH(1,1)isgenerallyconsistentwithamean-revertingvarianceratemodel.（）

答案:對(duì)GARCH(1,1)isconsistentwithamean-revertingvarianceratemodel.（）

答案:對(duì)Emergingmarketsstrategygenerallyspecializesininvestmentsassociatedwithdevelopedcountries’equityanddebt.（）

答案:錯(cuò)Durationprovidesinformationabouttheeffectofasmallparallelshiftintheyieldcurveonthevalueofabondportfolio.（）

答案:對(duì)Durationprovidesinformationabouttheeffectofalargeparallelshiftintheyieldcurveonthevalueofabondportfolio.（）

答案:錯(cuò)Durationisameasureofhowlongthebondholderhastowaitforreceivingcashflows.（）

答案:對(duì)Durationisameasureofhowlongthebondholderhastowaitforcashflows.（）

答案:對(duì)Dedicatedshortstrategyusuallylooksforovervaluedcompaniesandsellthemshort.（）

答案:對(duì)Assumethatanindexatcloseoftradingyesterdaywas1,040andthedailyvolatilityoftheindexwasestimatedas1%perdayatthattime.TheparametersinaGARCH(1,1)modelareω=0.000002,α=0.06,andβ=0.92.Iftheleveloftheindexatcloseoftradingtodayis1,060,whatisthenewvolatilityestimate?（）

答案:1.078%AnItalianbankentersintoa6-monthforwardcontractwithanimportertosellGBP80millionin6monthsatarateofEUR1.13perGBP1.Ifin6monthstheexchangerateisEUR1.12perGBP1,whatisthepayofftothebankfromtheforwardcontract?（）

答案:EUR800,000Aninvestorentersintoashortforwardcontracttosell100,000BritishpoundsforU.S.dollarsatanexchangerateof1.3000U.S.dollarsperpound.Howmuchdoestheinvestorgainorloseiftheexchangerateattheendofthecontractis1.3900?（）

答案:-$9,000AnABSisasetoftranchescreatedfromaportfolioofloans,bonds,creditcardreceivables,andsoon.（）

答案:對(duì)AnABSCDOiscreatedfromtranchesofABSs.Amotivationonthepartoftheoriginatorwasthatitcouldbedifficulttofindinvestorsforthetranchesdirectly.（）

答案:對(duì)AnABSCDOisanABSgenerallycreatedfromAAA-ratedtranchesofanumberofdifferentABSs.（）

答案:錯(cuò)AnABSCDO

isanABSgenerallycreatedfromAAA-ratedtranchesofanumberofdifferentABSs.

答案:ABSCDOA/An______isanABScreatedfromparticulartranches(e.g.,theBBB-ratedtranches)ofanumberofdifferentABSs.（）

答案:ABSCDOAvarianceestimatefromtheGARCH(n,m)modelisbetweenthepriorday'sestimatedvarianceandthepriorday'ssquaredreturnallthetime.（）

答案:錯(cuò)AvarianceestimatefromtheGARCH(1,1)modelisalwaysbetweenthepriorday'sestimatedvarianceandthepriorday'ssquaredreturn.（）

答案:錯(cuò)Atradingportfolioconsistsoftwobonds,XandY.Bothhavemodifieddurationof3yearsandfacevalueof$1,000.BondXisazero-couponbond,anditscurrentpriceis$900.BondYpaysannualcouponsandispricedatpar.WhatisexpectedtohappentothemarketpricesofbondXandbondY,indollarterms,ifthereisaparallelupwardshiftintheyieldcurveof1%?（）

答案:Bothbondpriceswillmovedown,butbondYwilllosemorethanbondX.Atradingportfolioconsistsoftwobonds,A1andB1.Bothhavemodifieddurationof3yearsandfacevalueof$1,000.BondA1isazero-couponbond,anditscurrentpriceis$900.BondB1paysannualcouponsandispricedatpar.WhatisexpectedtohappentothemarketpricesofbondA1andbondB1,indollarterms,ifthereisaparallelupwardshiftintheyieldcurveof1%?（）

答案:Bothbondpriceswillmovedown,butbondB1willlosemorethanbondA1.AportfolioofstockXYZandoptionsonstockXYZiscurrentlydeltaneutral,buthasapositivegamma.Whichofthefollowingactionswillmaketheportfoliowithbothdeltaandgammaneutral?（）

答案:SellputoptionsonstockXYZandsellstockXYZAportfolioofstockEandoptionsonstockEiscurrentlydeltaneutral,buthasapositivegamma.Whichofthefollowingactionswillmaketheportfoliowithbothdeltaandgammaneutral?（）

答案:SellputoptionsonstockEandsellstockEAportfolioofstockAandoptionsonstockAiscurrentlydeltaneutral,buthasapositivegamma.Whichofthefollowingactionswillmaketheportfoliowithbothdeltaandgammaneutral?（）

答案:SellputoptionsonstockAandsellstockAAportfoliomanagerhasaportfoliowithabetaof0.8.Theone-yearrisk-freerateofinterestis5%,thereturnonthemarketduringtheyearis7%,andtheportfoliomanager'sreturnis9%.Whatisthemanager'salpha?（）

答案:0.024AjuniorriskanalystismodelingthevolatilityofacertainmarketvariableandistryingtodecidebetweenEWMAandGARCH(1,1)models.Whichofthefollowingstatementsaboutthetwomodelsiscorrect?（）

答案:AvarianceestimatedfromtheEWMAmodelisaweightedaverageofthepriorday'sestimatedvarianceandthepriorday'ssquaredreturn.Afundoffundsdividesitsmoneybetweenfivehedgefundsthatearn–5%,1%,10%,15%,and20%beforefeesinaparticularyear.Thefundoffundscharges1plus10%andthehedgefundscharge2plus20%.Thehedgefunds’incentivefeesarecalculatedonthereturnaftermanagementfees.Thefundoffundsincentivefeeiscalculatedonthenet(aftermanagementfeesandincentivefees)averagereturnofthehedgefundsinwhichitinvestsandafteritsownmanagementfeehasbeensubtracted.Whatistheoverallreturnontheinvestments?（）

答案:8.2%Afundmanagerannouncesthatthefund'sone-month95%VaRis6%ofthesizeoftheportfoliobeingmanaged.Youhaveaninvestmentof$100,000inthefund.Whichofthefollowingoptionsinterprettheportfoliomanager'sannouncementbest?（）

答案:Thereisa5%chancethatyouwilllose$6,000ormoreduringaone-monthperiod.AFrenchbankentersintoa6-monthforwardcontractwithanimportertosellGBP60millionin6monthsatarateofEUR1.15perGBP1.Ifin6monthstheexchangerateisEUR1.13perGBP1,whatisthepayoffforthebankfromtheforwardcontract?（）

答案:EUR1,200,000AforextraderentersintoashortFwd.contracttosell1,000,000GBPforU.S.dollarsatanexchangerateof1.3000U.S.dollarsperpound.Howmuc