爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Consider the following levels of sophistication in Risk Management Models and Procedures: I. Mark to Market Analysis II. Stress/Scenario Analysis III. Simulation Value at Risk IV. Parametric [...]

题目 A portfolio contains three independent bonds each with identical (i.i.d.) $100 par value, 3.0% probability of default (EDF) and loss given default (LGD) of 100%. What is, respectively, the [...]

题目 A department store chain has a B1 rating from Moody’s and a B+ rating from S&P. Its balance sheet reflects a large number of receivables from shoppers who use the chain’s private label [...]

题目 To convert VaR from a one-day holding period to a ten-day holding period the VaR number is generally multiplied by: 选项 A.2.33 B.3.16 C.7.25 D.10.00 答案 B 解析 We use the square root [...]

题目 A call option with a price of $3.52 has a vega of 18.50. If the volatility increases from 20.0% to 26.0% per annum, what is the estimated price of the option under the higher volatility? [...]

题目 A financial institution has the following portfolio of over-the-counter options on sterling A traded option is available with a delta of 0.6, a gamma of 1.5, a vega of 0.8.What position in the [...]

题目 Each of the following is true about option gamma, EXCEPT which is false? 选项 A.For a short-life option, as expiration approaches (i.e., as maturity decreases to zero), the gamma of both [...]

题目 A stock with a (continuous) dividend yield of 1.0% has a current price of $30 and volatility of 22%. We use a two-step binomial model to value a two-year European style call option on the [...]

题目 Yesterday, a market maker sold (wrote) 100 at-the-money (ATM) call options when the percentage delta was 0.57. The market maker immediately started a daily dynamic delta hedge by purchasing [...]

题目 Consider a European call option on a non-dividend-paying stock. The strike price is $80.00 while the stock price is currently $90.00. Barbara the Risk Analyst employs a two-step (i.e., three [...]