金融风险管理智慧树知到答案章节测试2023年上海杉达学院

第一章测试WhichformuladescribetheCapitalAssetPricingModel?（）

A:

B:

C:

答案:CWhichofthefollowingdescriptionsaretheassumptionforCapitalAssetPricingModel?（）

答案:ABCDEFThereturnfromthemarketlastyearwas10%andtherisk-freeratewas5%.Ahedgefundmanagerwithabetaof0.6hasanalphaof4%.Whatreturndidthehedgefundmanagerearn?（）

A:0.10

B:0.15

C:0.12

答案:CSupposetheS&P500Indexhasanexpectedannualreturnof7.2%andvolatilityof8.2%.SupposeAndromedaFundhasanexpectedannualreturnof6.8%andvolatilityof7.0%andisbenchmarkedagainsttheS&P500Index.AccordingtotheCAPM,iftherisk-freerateis2.2%peryear,whatisthebetaoftheAndromedaFund?（）

A:0.92

B:0.20

C:0.90

D:1.23

答案:AIfabondissuedbyacompanyhavearatingofAAA,thecompanygenerallycannotbereferredtoashavingaratingofAA.（）

A:错

B:对

答案:B第二章测试WhichofthefollowingtablereflectsthechangeofstructureofbankingintheUnitedStatesbetween1984and2017?（）

A:

B:

C:

答案:B________measuresthereturntostockholdersontheirinvestmentinthebank.Itistheproductofnetprofitmargin,assetutilizationandtheequitymultiplier.（）

A:ROA

B:Netprofitmargin

C:ROE

答案:CLoanlossesontheincomestatementofDLCBankisassociatedwithoperationalrisk.（）

A:对

B:错

答案:BNetinterestincomeontheincomestatementofDLCBankisassociatedwithmarketrisk.（）

A:对

B:错

答案:ANon-interestexpenseontheincomestatementofDLCBankisassociatedwithcreditrisk.（）

A:错

B:对

答案:A第三章测试Selectoneormorecorrectstatementsabouttheperformanceofhedgefund:（）

A:Manyhedgefundstrategieshavelowbetasandthereforecannotbeexpectedtooutperformthemarketwhenitisdoingwell

B:TheBarclaysHedgeFundIndexshowsthathedgefundsoutperformedthemarketin2008,butnotbetween2009and2016

C:Thestatisticsmaybiasaveragehedgefundperformanceupwardbecauseonlyhedgefundsthatchoosetoreporttheirreturnsareincludedinthestatisticsandthesetendtobethehedgefundsthataredoingwell

答案:ABCAfundoffundsdividesitsmoneybetweenfivehedgefundsthatearn–5%,1%,10%,15%,and20%beforefeesinaparticularyear.Thefundoffundscharges1plus10%andthehedgefundscharge2plus20%.Thehedgefunds’incentivefeesarecalculatedonthereturnaftermanagementfees.Thefundoffundsincentivefeeiscalculatedonthenet(aftermanagementfeesandincentivefees)averagereturnofthehedgefundsinwhichitinvestsandafteritsownmanagementfeehasbeensubtracted.Whatistheoverallreturnontheinvestments?（）

A:5.4%

B:8.2%

C:10.2%

答案:BLong/shortfundstendtoinvestprimarilyinpubliclytradedequityandtheirderivatives,andtendtobeshortbiased.（）

A:对

B:错

答案:BGlobalmacrostrategyinvolvesbothdirectionalanalysis,whichseekstopredicttheriseordeclineofacountry’seconomy,aswellasrelativeanalysis,evaluatingeconomictrendsrelativetoeachother.（）

A:错

B:对

答案:BGlobalmacrofundsarenotconfinedtoanyspecificinvestmentvehicleorassetclass,andcanincludeinvestmentinequity,debt,commodities,futures,currencies,realestateandotherassetsinvariouscountries.（）

A:对

B:错

答案:A第四章测试Whenatraderentersintoashortforwardcontractwhentheforwardpriceis$50,thetraderisobligatedtobuytheassetfor$50.(Thetraderdoesnothaveachoice).（）

A:对

B:错

答案:BAninvestorentersintoashortforwardcontracttosell100,000BritishpoundsforU.S.dollarsatanexchangerateof1.3000U.S.dollarsperpound.Howmuchdoestheinvestorgainorloseiftheexchangerateattheendofthecontractis1.3900?（）

A:-$1,000

B:-$9,000

C:$9,000

答案:BAFrenchbankentersintoa6-monthforwardcontractwithanimportertosellGBP60millionin6monthsatarateofEUR1.15perGBP1.Ifin6monthstheexchangerateisEUR1.13perGBP1,whatisthepayoffforthebankfromtheforwardcontract?（）

A:EUR1,200,000

B:EUR-1,200,000

C:EUR-2,000,000

答案:AWhenatraderintendstoshortselling,hisbrokerwouldborrowthesecuritiesfromanotherclientandselltheminthemarketintheusualway.（）

A:错

B:对

答案:BWhenatradershortssellingastock,hemustpaydividendandotherbenefitstheownerofthesecuritiesreceives.（）

A:错

B:对

答案:B第五章测试A/An______isanABScreatedfromparticulartranches(e.g.,theBBB-ratedtranches)ofanumberofdifferentABSs.（）

A:ABS

B:CDO

C:ABSCDO

答案:CAnABSisasetoftranchescreatedfromaportfolioofloans,bonds,creditcardreceivables,andsoon.（）

A:对

B:错

答案:ASupposetheABSsandABSCDOstructureisjustlikethefollowingtable.Ifthelossrateonthemortgagesis12%,whatisthelossrateonthemezzaninetrancheoftheABSCDO?（）

A:20%

B:0%

C:100%

答案:CTherisksinABSCDOswereusuallymisjudgedbythemarket.Becauseinvestorsoverestimatedhowhighthedefaultcorrelationsbetweenmortgageswouldbeinstressedmarketconditions.（）

A:错

B:对

答案:ATherisksinABSCDOswereusuallymisjudgedbythemarket.BecauseinvestorsalsodidnotalwaysrealizethatthetranchesunderlyingABSCDOswereusuallyquitethinsothattheywereeithertotallywipedoutoruntouched.（）

A:错

B:对

答案:B第六章测试Supposethedeltaofacalloptionis0.7.Howcanashortpositionin1,000optionsbemadedeltaneutral?（）

A:Purchase700shares.

B:Short700shares.

C:Purchase1,000shares.

答案:AThegraphshowstherelationshipbetweenoneoftheGreeksofalongpositionofanEuropeancalloptionandthestockprice.CanyouguesswhichofthefollowingGreeksisforthey-axis?（）

A:delta

B:vega

C:gamma

答案:AThegammaofadelta-neutralportfoliois30.Estimatewhathappenstothevalueoftheportfoliowhenthepriceoftheunderlyingassetsuddenlydecreasesby$2.（）

A:Thevalueoftheportfolioincreasesby$60.

B:Thevalueoftheportfoliodecreasesby$60.

C:Thevalueoftheportfolioincreasesby$120.

答案:AAportfolioofstockAandoptionsonstockAiscurrentlydeltaneutral,buthasapositivegamma.Whichofthefollowingactionswillmaketheportfoliowithbothdeltaandgammaneutral?（）

A:SellputoptionsonstockAandsellstockA

B:SellcalloptionsonstockAandsellstockA

C:BuyputoptionsonstockAandbuystockA

D:BuycalloptionsonstockAandsellstockA

答案:AWhichofthefollowingstatementsistrueregardingoptions’Greeks?（）

A:Deltaofdeepin-the-moneyputoptionstendstowards+1.

B:Gammaisgreatestforin-the-moneyoptionswithlongtimesremainingtoexpiration.

C:Thetatendstobelargeandpositiveforat-the-moneyoptions.

D:Vegaisgreatestforat-the-moneyoptionswithlongtimesremainingtoexpiration.

答案:D第七章测试Afive-yearbondwithayieldof11%(continuouslycompounded）paysan8%couponattheendofeachyear.Whatisthebond’sduration?（）

A:3.982

B:4.536

C:4.256

答案:CAtradingportfolioconsistsoftwobonds,A1andB1.Bothhavemodifieddurationof3yearsandfacevalueof$1,000.BondA1isazero-couponbond,anditscurrentpriceis$900.BondB1paysannualcouponsandispricedatpar.WhatisexpectedtohappentothemarketpricesofbondA1andbondB1,indollarterms,ifthereisaparallelupwardshiftintheyieldcurveof1%?（）

A:Bothbondpriceswillmovedown,butbondB1willlosemorethanbondA1.

B:Bothbondpriceswillmoveup,butbondB1willgainmorethanbondA1.

C:Bothbondpriceswillmovedownbyroughlyequalamounts.

答案:ADurationisameasureofhowlongthebondholderhastowaitforcashflows.（）

A:对

B:错

答案:AThetablegivestheclosingpricesandyieldsofaparticularliquidbondoverthepastfewdays.Whatistheapproximatedurationofthebond?（）

A:1.9

B:18.8

C:9.4

答案:CModifieddurationisusedwhentheyieldyisexpressedwithcompoundingmtimesperyear.（）

A:错

B:对

答案:B第八章测试Thevolatilityofanassetis2%perday.Whatisthestandarddeviationofthepercentagepricechangeinfivedays?（）

A:4.47%

B:2.52%

C:3.46%

答案:ATheparametersofaGARCH(1,1)modelareestimatedasω=0.000004,α=0.05,andβ=0.92.Whatisthelong-runaveragevolatility?（）

A:1.155%

B:1.562%

C:0.00133%

答案:ASupposethatthepriceofanassetatcloseoftradingyesterdaywas$300anditsvolatilitywasestimatedas1.3%perday.Thepriceatthecloseoftradingtodayis$298.WhatisthenewdailyvolatilityusingtheGARCH(1,1)modelwithω=0.000002,α=0.04,andβ=0.94?（）

A:1.165%

B:1.271%

C:1.275%

答案:CAvarianceestimatefromtheGARCH(1,1)modelisalwaysbetweenthepriorday’sestimatedvarianceandthepriorday’ssquaredreturn.（）

A:错

B:对

答案:AGARCH(1,1)isconsistentwithamean-revertingvarianceratemodel.（）

A:对

B:错

答案:A第九章测试Afundmanagerannouncesthatthefund’sone-month95%VaRis6%ofthesizeoftheportfoliobeingmanaged.Youhaveaninvestmentof$100,000inthefund.Whichofthefollowingoptionsinterprettheportfoliomanager’sannouncementbest?（）

A:Thereisa5%chancethatyouwilllose$6,000atmostduringaone-monthperiod.

B:Thereisa5%chancethatyouareexpectedtolose$6,000duringaone-monthperiod.

C:Thereisa5%chancethatyouwilllose$6,000ormoreduringaone-monthperiod.

答案:CSupposethateachoftwoinvestmentshasa0.9%chanceo