8011 試験問題を無料オンラインアクセス

For an investor with a long position in market index futures, which of the following is a primary risk:

• A.Basis risk between futures and spot prices
• B.Increase or decrease in the level of the underlying index
• C.Movement in interest rates underlying the futures prices
• D.Risk that expected dividends will differ from realized dividend yields

Which of the following statements are true:
I. Stress tests should consider simultaneous pressures in funding and asset markets, and the impact of a reduction in liquidity II. Judging the effectiveness of risk mitigation techniques is not a part of stress testing III. A reverse stress test is useful for discovering hidden vulnerabilities and inconsistencies in hedging strategies IV. Reputational risk, which is explicitly excluded from the definition of operational risk under Basel II, should still be considered as part of stress tests.

• A.II and IV
• B.I and III
• C.I, III and IV
• D.All of the above

A Monte Carlo simulation based VaR can be effectively used in which of the following cases:

• A.When returns data cannot be analytically modeled
• B.All of the above
• C.When returns are discontinuous or display large jumps
• D.Where analytical methods are too complex to effectively use

Which of the following are considered counterparty based credit enhancements?
I. Collateral
II. Credit default swaps
III. Close out netting arrangements
IV. Guarantees

• A.II and IV
• B.I and III
• C.I and IV
• D.I, II and IV

If P be the transition matrix for 1 year, how can we find the transition matrix for 4 months?

• A.By calculating the matrix P x P x P
• B.By dividing P by 3
• C.By numerically calculating a matrix M such that M x M x M is equal to P
• D.By calculating the cube root of P