金融风险管理知到章节答案智慧树2023年上海杉达学院

金融风险管理知到章节测试答案智慧树2023年最新上海杉达学院第一章测试

WhichformuladescribetheCapitalAssetPricingModel?（）

参考答案:

WhichofthefollowingdescriptionsaretheassumptionforCapitalAssetPricingModel?（）

参考答案:

null

Thereturnfromthemarketlastyearwas10%andtherisk-freeratewas5%.Ahedgefundmanagerwithabetaof0.6hasanalphaof4%.Whatreturndidthehedgefundmanagerearn?（）

参考答案:

0.12

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

参考答案:

0.92

IfabondissuedbyacompanyhavearatingofAAA,thecompanygenerallycannotbereferredtoashavingaratingofAA.（）

参考答案:

对

第二章测试

WhichofthefollowingtablereflectsthechangeofstructureofbankingintheUnitedStatesbetween1984and2017?（）

参考答案:

________measuresthereturntostockholdersontheirinvestmentinthebank.Itistheproductofnetprofitmargin,assetutilizationandtheequitymultiplier.（）

参考答案:

ROE

LoanlossesontheincomestatementofDLCBankisassociatedwithoperationalrisk.（）

参考答案:

错

NetinterestincomeontheincomestatementofDLCBankisassociatedwithmarketrisk.（）

参考答案:

对

Non-interestexpenseontheincomestatementofDLCBankisassociatedwithcreditrisk.（）

参考答案:

错

第三章测试

Selectoneormorecorrectstatementsabouttheperformanceofhedgefund:

（）

参考答案:

Manyhedgefundstrategieshavelowbetasandthereforecannotbeexpectedtooutperformthemarketwhenitisdoingwell

;TheBarclaysHedgeFundIndexshowsthathedgefundsoutperformedthemarketin2008,butnotbetween2009and2016

;Thestatisticsmaybiasaveragehedgefundperformanceupwardbecauseonlyhedgefundsthatchoosetoreporttheirreturnsareincludedinthestatisticsandthesetendtobethehedgefundsthataredoingwell

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

参考答案:

8.2%

Long/shortfundstendtoinvestprimarilyinpubliclytradedequityandtheirderivatives,andtendtobeshortbiased.（）

参考答案:

错

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

参考答案:

对

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

参考答案:

对

第四章测试

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

参考答案:

错

Aninvestorentersintoashortforwardcontracttosell100,000BritishpoundsforU.S.dollarsatanexchangerateof1.3000U.S.dollarsperpound.Howmuchdoestheinvestorgainorloseiftheexchangerateattheendofthecontractis1.3900?（）

参考答案:

-$9,000

AFrenchbankentersintoa6-monthforwardcontractwithanimportertosellGBP60millionin6monthsatarateofEUR1.15perGBP1.Ifin6monthstheexchangerateisEUR1.13perGBP1,whatisthepayoffforthebankfromtheforwardcontract?（）

参考答案:

EUR1,200,000

Whenatraderintendstoshortselling,hisbrokerwouldborrowthesecuritiesfromanotherclientandselltheminthemarketintheusualway.（）

参考答案:

对

Whenatradershortssellingastock,hemustpaydividendandotherbenefitstheownerofthesecuritiesreceives.（）

参考答案:

对

第五章测试

A/An______isanABScreatedfromparticulartranches(e.g.,theBBB-ratedtranches)ofanumberofdifferentABSs.（）

参考答案:

ABSCDO

AnABSisasetoftranchescreatedfromaportfolioofloans,bonds,creditcardreceivables,andsoon.（）

参考答案:

对

SupposetheABSsandABSCDOstructureisjustlikethefollowingtable.Ifthelossrateonthemortgagesis12%,whatisthelossrateonthemezzaninetrancheoftheABSCDO?

（）

参考答案:

100%

TherisksinABSCDOswereusuallymisjudgedbythemarket.Becauseinvestorsoverestimatedhowhighthedefaultcorrelationsbetweenmortgageswouldbeinstressedmarketconditions.（）

参考答案:

错

TherisksinABSCDOswereusuallymisjudgedbythemarket.BecauseinvestorsalsodidnotalwaysrealizethatthetranchesunderlyingABSCDOswereusuallyquitethinsothattheywereeithertotallywipedoutoruntouched.（）

参考答案:

对

第六章测试

Supposethedeltaofacalloptionis0.7.Howcanashortpositionin1,000optionsbemadedeltaneutral?（）

参考答案:

Purchase700shares.

ThegraphshowstherelationshipbetweenoneoftheGreeksofalongpositionofanEuropeancalloptionandthestockprice.CanyouguesswhichofthefollowingGreeksisforthey-axis?

（）

参考答案:

delta

Thegammaofadelta-neutralportfoliois30.Estimatewhathappenstothevalueoftheportfoliowhenthepriceoftheunderlyingassetsuddenlydecreasesby$2.（）

参考答案:

Thevalueoftheportfolioincreasesby$60.

AportfolioofstockAandoptionsonstockAiscurrentlydeltaneutral,buthasapositivegamma.Whichofthefollowingactionswillmaketheportfoliowithbothdeltaandgammaneutral?（）

参考答案:

SellputoptionsonstockAandsellstockA

Whichofthefollowingstatementsistrueregardingoptions'Greeks?（）

参考答案:

Vegaisgreatestforat-the-moneyoptionswithlongtimesremainingtoexpiration.

第七章测试

Afive-yearbondwithayieldof11%(continuouslycompounded）paysan8%couponattheendofeachyear.Whatisthebond'sduration?（）

参考答案:

4.256

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

参考答案:

Bothbondpriceswillmovedown,butbondB1willlosemorethanbondA1.

Durationisameasureofhowlongthebondholderhastowaitforcashflows.（）

参考答案:

对

Thetablegivestheclosingpricesandyieldsofaparticularliquidbondoverthepastfewdays.Whatistheapproximatedurationofthebond?

（）

参考答案:

9.4

Modifieddurationisusedwhentheyieldyisexpressedwithcompoundingmtimesperyear.（）

参考答案:

对

第八章测试

Thevolatilityofanassetis2%perday.Whatisthestandarddeviationofthepercentagepricechangeinfivedays?（）

参考答案:

4.47%

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

参考答案:

1.155%

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

参考答案:

1.275%

AvarianceestimatefromtheGARCH(1,1)modelisalwaysbetweenthepriorday'sestimatedvarianceandthepriorday'ssquaredreturn.（）

参考答案:

错

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

参考答案:

对

第九章测试

Afundmanagerannouncesthatthefund'sone-month95%VaRis6%ofthesizeoftheportfoliobeingmanaged.Youhaveaninvestmentof$100,000inthefund.Whichofthefollowingoptionsinterprettheportfoliomanager'sannouncementbest?（）

参考答案:

Thereisa5%chancethatyouwilllose$6,000ormoreduringa