8010 試験問題を無料オンラインアクセス

Random recovery rates in respectof credit risk can be modeled using:

• A.the normal distribution
• B.the beta distribution
• C.the binomial distribution
• D.the omega distribution

An investor enters into a 5-year total return swap with Bank A, with the investor paying a fixed rate of 6% annually on a notional value of $100m to the bank and receiving thereturns of the S&P500 index with an identical notional value. The swap is reset monthly, ie the payments are exchanged monthly. On Jan 1 of the fourth year, after settling the last month's payments, the bank enters bankruptcy. What is the legal claim thatthe hedge fund has against the bank in the bankruptcy court?

• A.The replacement value of the swap
• B.$6m
• C.$100m
• D.$0, as all payments on the swap are current

A risk management function is best organized as:

• A.report independently of the risk taking functions
• B.integrated with the risk taking functions as risk management should be a pervasive activity carried out at all levels of theorganization.
• C.reporting directly to the traders, as to be closest to the point at which risks are being taken
• D.a part of the trading desks and other risk taking teams

Which of the following are considered properties of a 'coherent' risk measure:
I. Monotonicity
II. Homogeneity
III. Translation Invariance
IV. Sub-additivity

• A.I and III
• B.II and IV
• C.All of theabove
• D.II and III

Under the ISDA MA, which of the following terms best describes the netting applied upon the bankruptcy of a party?

• A.Payment netting
• B.Multilateral netting
• C.Chapter 11
• D.Closeout netting