frm二级市场风险及信用风险习题（带答案）_chw 副本.pdfVIP

金程教育 WWW.GFEDU.NET 专业·领先·增值 Part I: Market Risk Measurement and Management 1. Which of the following can be considered a general risk factor? I Exchange rate II Mortgage-backed securities III Zero-coupon bond IV Interest rate A. I only B. II and III C. III only D. I and IV Answer: D 2. Using key rates of 2-year, 5-year, 7-year, and 20-year exposures assumes all of the following except that the: A. 2-year rate will affect the 5-year rate B. 7-year rate will affect the 20-year rate C. 5-year rate will affect the 7-year rate D. 2-year rate will affect the 20-year rate Answer: D Key rate exposures assume that key rates chosen adjacent to the rate of interest are affected, not across other key rates. 3. A European put option has two years to expiration and a strike price of $101.00. The underlying is a 7% annual coupon bond with three years to maturity. Assume that the risk-neutral probability of an up move is 0.76 in year 1 and 0.60 in year 2. The current interest rate is 3.00%. At the end of year 1, the rate will either be 5.99% or 4.44%. If the rate in year 1 is 5.99%, it will either rise to 8.56% or rise to 6.34% in year 2. if the rate in one year is 4.44%, it will either rise to 6.34% or rise to 4.70%. The value of the put option today is closet to: A. $1.17 B. $1.30 C. $1.49 D. $1.98 Answer: A This is the same underlying bond and interest rate tree as in the call option example from this topic. However, here we are valuing a put option. 专业来自百分百的投入 1 金程教育 WWW.GFEDU.NET 专业·领先·增值 The option value in the upper node