华章仁达2009FRM最新全真模拟题答案.pdfVIP

说明： 按照本文件的排列顺序，51-70题为模考题morning session 51-70题答案； 51-70题为模考题afternoon session 51-70题答案； 1-50题为模考题morning session 1-50题答案； 1-50题为模考题afternoon session 1-50题答案。 Answers Explanations 51. To hedge against future, unanticipated, and significant increases in borrowing rates, which of the following alternatives offers the greatest flexibility for the borrower? a. Fixed for floating swap b. Interest rate collar c. Interest rate ftoor d. Call5waption CORRECT,D The question focuses on flexible management 0/ borrowing expenses. While a fixed for floating swap could reduce borrowing expenses, it is a long-term contractual commitment to exchange payments. If interest rates decline, the borrower may gross up to the agreed fixed rate. An interest rate collar is a combination of an interest rate floor and cop, I.e., it locks in the interest expenses within a tight range. Moreover, collars usually offer interest rate protection at one particular point of time unless several contracts with different maturities are exchanged. A call swaption gives the company the right to enter into a swap when the borrowing expenses exceed a certain reference rate. If the reference rate is below the borrowing expenses, the option is not exercised. Reference: Hull, Chapter 7. 52. An investment bank uses the Exponentially Weighted Moving Average (EWMA) technique with lambda of 0.9 to model the daily volatility of a security. The current estimate of the daily volatility is 1.5%. The closing price of the security is USD 20 yesterday and USD 18 today. Using continuously­ compounded returns, what is the updated estimate of the volatility? a. 5.44% b. 3.62% c. 2.96% d. 1.31% CORRECT, B The current return of the security ;s :: In (18/20)