爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Suppose a financial institution has a portfolio that contains the following four positions in options on a stock: I. A long position in 20,000 call options and the delta of each of these [...]

题目 As an in-the-money option approaches expiration, the rate of decay of its value: 选项 A.rises B.falls C.stays constant D.becomes volatile 答案 A 解析 As an option approaches its [...]

题目 A non-dividend-paying stock has a current price of $10 and a volatility of 12% per annum. The risk-free rate is 4.0%. We use a twelve-step binomial model to value a one-year European-style put [...]

题目 Which of the following correctly describe the similarities between Operational VaR and Market VaR? I Both VaRs, when used for regulatory capital measurement, need to be validated against [...]

题目 A portfolio manager uses her valuation model to estimate the value of a bond portfolio at USD 125.482 million. The term structure is flat. Using the same model, she estimates that the value of [...]

题目 Investing a putable bond can be seen as a combination of: 选项 A.Long a bond and long a put B.Long a bond and short a put C.Short a bond and short a put D.Short a bond and long a put 答案 [...]

题目 Bonds issued by the XYZ Corp. are currently callable at par value and trade close to par. The bonds mature in 8 years and have a coupon of 8%. The yield on the XYZ bonds is 175 basis points [...]

题目 Your supervisor is an expert in market and credit risk. He recruits you to manage the operational risk department. He would like to use VaR to measure the firm’s operational risk and [...]

题目 A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. What is the closest value for its modified duration? 选项 A.9 B.10 C.99 D.100 答案 A 解析 [...]

题目 Which of the following assumptions are made when using DV01 as a measure of interest rate risk? I. Changes in the interest rates are small. II. The yield curve is flat. III. Changes to the [...]