07FRM真题答案3_原创文档.pdf

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94.ThejointprobabilitydistributionofrandomvariablesXandYisgivenbyf(x,y)=kxyfor

x=1,2,3,y=1,2,3,andkisapositiveconstant.WhatistheprobabilitythatX+Ywillexceed5?

a.1/9

b.1/4

c.1/36

d.Cannotbedetermined

95.Whichofthefollowingisnotanapproachfordetectingstyledriftofhedgefunds?

a.Performanceattribution

b.Peergroupcomparison

c.Cashflowanalysis

d.Communicationwithfundmanager

96.Tohedgeagainstfuture,unanticipated,andsignificantincreasesinborrowingrates,whichof

thefollowingalternativesoffersthegreatestflexibilityfortheborrower?

a.Interestratecollar

b.Fixedforfloatingswap

c.Callswaption

d.Interestratefloor

97.Assumethetruedistributionofreturnsisleptokurtotic.Ifweassumenormalitywhenwe

calculatetheVaR,thenwhichofthefollowingstatementsistrue:

a.The95%VaRisoverstated.

b.The95%VaRisunderstated.

c.The95%VaRisappropriate.

d.WecannotstatetherelationshipbetweenthetrueVaRandthecalculatedVaR.

Thenextthreequestionsusethefollowingdata:

98.Aportfolioconsistsoftwobonds.Thecredit-VaRisdefinedasthemaximumlossdueto

defaultsataconfidencelevelof98%overaone-yearhorizon.Theprobabilityofjointdefault

ofthetwobondsis1.27%,andthedefaultcorrelationis30%.

BondValueoneyearforwardOneyearcumulativedefaultprobabilityRecoveryrate

B1=USD1,000,0003%60%

B2=USD600,0005%40%

Whatistheexpectedcreditlossoftheportfolio?