2006完整版真题.doc

Question 1 Which type of option produces discontinuous payoff profiles .meaning that the payoff does not increase or decrease continuously with the underlying asset value? Chooser options Barrier options Binary options Lookback options Question 2 The exchange rate of the Canadian dollar for the u.s.dollar can evolve to one of two possible values over the next period with equal probability. the table shows the possible values for the u.s. dollar price of the Canadian dollar and the Canadian dollar price of the u.s. dollar in one period .using this table. determine which of the statements below are correct. Level CAD｜USD USD｜CAD Current 1.0000000 1.000000 UP 1.1000000 0.9090909 DOWN 0.9000000 1.1111111 E[CAD｜USD Rate]=1/E[USD｜CAD Rate] E[USD｜CAD Rate]1/E[CAD｜USD Rate] E[USD｜CAD Rate] 1/E[CAD｜USD Rate] E[CAD｜USD Rate]=E[USD｜CAD Rate] Answer questions 3 and 4 based on the following information A risk manager for ABC bank has compiled the following date regarding a bond trader and an equity trader. Assume that the returns are normally distributed and that there are 52 trading weeks per year. ABC bank computes its capital using a 99% VaR. the after-tax profits are all-inclusive. ABC Bank Date—USD millions After-tax net book weekly tax Profit market value volatility rate Bond trader Equity trader USD 8 USD 120 1.1% 40% USD 18 USD 180 1.94% 40% Question 3 Using the ABC bank date .calculate the annual risk-adjusted return on capital (RAROC) for the bond trader? 25.24% 36.08% 60.15% 84.92% Question 4 Using the ABC bank date. which of the following statements are correct in relation to the equity trader? I The equity trader has an annual .after-tax VaR at a