金融風(fēng)險管理智慧樹知到課后章節(jié)答案2023年下上海杉達學(xué)院

金融風(fēng)險管理智慧樹知到課后章節(jié)答案2023年下上海杉達學(xué)院上海杉達學(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B:對

答案:對

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B:錯

答案:錯

NetinterestincomeontheincomestatementofDLCBankisassociatedwithmarketrisk.（）

A:對B:錯

答案:對

Non-interestexpenseontheincomestatementofDLCBankisassociatedwithcreditrisk.（）

A:錯B:對

答案:錯

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B:對

答案:錯

Globalmacrostrategyinvolvesbothdirectionalanalysis,whichseekstopredicttheriseordeclineofacountry’seconomy,aswellasrelativeanalysis,evaluatingeconomictrendsrelativetoeachother.（）

A:對B:錯

答案:對

Globalmacrofundsarenotconfinedtoanyspecificinvestmentvehicleorassetclass,andcanincludeinvestmentinequity,debt,commodities,futures,currencies,realestateandotherassetsinvariouscountries.（）

A:錯B:對

答案:對

第四章測試

Whenatraderentersintoashortforwardcontractwhentheforwardpriceis$50,thetraderisobligatedtobuytheassetfor$50.(Thetraderdoesnothaveachoice).（）

A:錯B:對

答案:錯

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B:對

答案:對

Whenatradershortssellingastock,hemustpaydividendandotherbenefitstheownerofthesecuritiesreceives.（）

A:對B:錯

答案:對

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B:對

答案:對

SupposetheABSsandABSCDOstructureisjustlikethefollowingtable.Ifthelossrateonthemortgagesis12%,whatisthelossrateonthemezzaninetrancheoftheABSCDO?

（）

A:0%

B:100%

C:20%

答案:100%

TherisksinABSCDOswereusuallymisjudgedbythemarket.Becauseinvestorsoverestimatedhowhighthedefaultcorrelationsbetweenmortgageswouldbeinstressedmarketconditions.（）

A:對B:錯

答案:錯

TherisksinABSCDOswereusuallymisjudgedbythemarket.BecauseinvestorsalsodidnotalwaysrealizethatthetranchesunderlyingABSCDOswereusuallyquitethinsothattheywereeithertotallywipedoutoruntouched.（）

A:錯B:對

答案:對

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B:錯

答案:對

Thetablegivestheclosingpricesandyieldsofaparticularliquidbondoverthepastfewdays.Whatistheapproximatedurationofthebond?

（）

A:9.4

B:18.8

C:1.9

答案:9.4

Modifieddurationisusedwhentheyieldyisexpressedwithcompoundingmtimesperyear.（）

A:錯B:對

答案:對

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B:對

答案:錯

GARCH(1,1)isconsistentwithamean-revertingvarianceratemodel.（）

A:錯B:對

答案:對

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