FIN 461 ACTUAL EXAM QUESTIONS WITH 100%
VERIFIED ANSWERS!!
On December 31, 2015 Historic Bank had long positions of 200,000,000 Japanese Yen and
50,000,000 Swiss Francs. The closing exchange rates were ¥92/$ and Swf1.89/$.What is the
value of delta for the respective positions of the two currencies in dollars?
A.-$200,000,000 and -$261,640.
B.-$200,000,000 and -$50,000,000.
C.-$21,524 and -$50,000,000.
D.-$21,524 and -$317,642.
E.-$21,524 and -$261,930.
E.-$21,524 and -$261,930.
A disadvantage of the historic or back simulation model for quantifying market risk includes
A.it accounts for non-standard return distributions.
B.calculation of a standard deviation of returns is not required.
C.None of the options.
D.estimates of past returns used in the model may not be relevant to the current market
returns.
E.calculation of the correlation between asset returns is not required.
D.estimates of past returns used in the model may not be relevant to the current market
returns.
City bank has six-year zero coupon bonds with a total face value of $20 million. The current
market yield on the bonds is 10 percent.What is the daily earnings at risk (DEAR) of this bond
portfolio?
A.-$149,021.
,B.-$246,111.
C.-$135,474.
D.-$218,180.
E.-$225,789.
D.-$218,180.
Conceptually, an FI's trading portfolio can be differentiated from its investment portfolio by
A.size of assets.
B.time horizon.
C.liquidity.
D.liquidity and time horizon.
E.effects of interest rate changes.
D.liquidity and time horizon.
Daily earnings at risk (DEAR) is calculated as
A.the price sensitivity times an adverse daily yield move.
B.the dollar value of a position times the price volatility.
C.the dollar value of a position times the potential adverse yield move.
D.the price volatility times the ?N.
E.More than one of the above is correct.
B.the dollar value of a position times the price volatility.
How can market risk be defined in absolute terms?
A.The capital required to offset a sudden decline in the value of its assets.
B.The gap between promised cash flows from loans and securities and realized cash flows.
C.The cost incurred by an FI when its technological investments do not produce anticipated
cost savings.
, D.The change in value of an FI's assets and liabilities denominated in nondomestic currencies.
E.A dollar exposure amount or as a relative amount against some benchmark.
E.A dollar exposure amount or as a relative amount against some benchmark.
The root cause of much of the losses of FIs during the financial crisis of 2008-2009 was
A.systematic risk.
B.sovereign risk.
C.firm-specific risk.
D.market risk.
E.interest rate risk.
D.market risk.
In calculating the value at risk (VAR) of fixed-income securities in the RiskMetrics model,
A.All of the options.
B.the price volatility is the product of the modified duration and the adverse yield change.
C.the VAR is related in a linear manner to the DEAR.
D.the yield changes are assumed to be normally distributed.
E.the price volatility is the product of the modified duration and the adverse yield change and
the yield changes are assumed to be normally distributeD.
E.the price volatility is the product of the modified duration and the adverse yield change and
the yield changes are assumed to be normally distributeD.
The use of expected shortfall (ES) is most appropriate when
A.there is a small sample size used to estimate probability distributions.
B.the probability distribution is skewed to the right.
C.The probability distribution indicates there is a possibility of a "fat tail" loss.
D.the VAR indicates there is no possibility of losses so another method must be used to
VERIFIED ANSWERS!!
On December 31, 2015 Historic Bank had long positions of 200,000,000 Japanese Yen and
50,000,000 Swiss Francs. The closing exchange rates were ¥92/$ and Swf1.89/$.What is the
value of delta for the respective positions of the two currencies in dollars?
A.-$200,000,000 and -$261,640.
B.-$200,000,000 and -$50,000,000.
C.-$21,524 and -$50,000,000.
D.-$21,524 and -$317,642.
E.-$21,524 and -$261,930.
E.-$21,524 and -$261,930.
A disadvantage of the historic or back simulation model for quantifying market risk includes
A.it accounts for non-standard return distributions.
B.calculation of a standard deviation of returns is not required.
C.None of the options.
D.estimates of past returns used in the model may not be relevant to the current market
returns.
E.calculation of the correlation between asset returns is not required.
D.estimates of past returns used in the model may not be relevant to the current market
returns.
City bank has six-year zero coupon bonds with a total face value of $20 million. The current
market yield on the bonds is 10 percent.What is the daily earnings at risk (DEAR) of this bond
portfolio?
A.-$149,021.
,B.-$246,111.
C.-$135,474.
D.-$218,180.
E.-$225,789.
D.-$218,180.
Conceptually, an FI's trading portfolio can be differentiated from its investment portfolio by
A.size of assets.
B.time horizon.
C.liquidity.
D.liquidity and time horizon.
E.effects of interest rate changes.
D.liquidity and time horizon.
Daily earnings at risk (DEAR) is calculated as
A.the price sensitivity times an adverse daily yield move.
B.the dollar value of a position times the price volatility.
C.the dollar value of a position times the potential adverse yield move.
D.the price volatility times the ?N.
E.More than one of the above is correct.
B.the dollar value of a position times the price volatility.
How can market risk be defined in absolute terms?
A.The capital required to offset a sudden decline in the value of its assets.
B.The gap between promised cash flows from loans and securities and realized cash flows.
C.The cost incurred by an FI when its technological investments do not produce anticipated
cost savings.
, D.The change in value of an FI's assets and liabilities denominated in nondomestic currencies.
E.A dollar exposure amount or as a relative amount against some benchmark.
E.A dollar exposure amount or as a relative amount against some benchmark.
The root cause of much of the losses of FIs during the financial crisis of 2008-2009 was
A.systematic risk.
B.sovereign risk.
C.firm-specific risk.
D.market risk.
E.interest rate risk.
D.market risk.
In calculating the value at risk (VAR) of fixed-income securities in the RiskMetrics model,
A.All of the options.
B.the price volatility is the product of the modified duration and the adverse yield change.
C.the VAR is related in a linear manner to the DEAR.
D.the yield changes are assumed to be normally distributed.
E.the price volatility is the product of the modified duration and the adverse yield change and
the yield changes are assumed to be normally distributeD.
E.the price volatility is the product of the modified duration and the adverse yield change and
the yield changes are assumed to be normally distributeD.
The use of expected shortfall (ES) is most appropriate when
A.there is a small sample size used to estimate probability distributions.
B.the probability distribution is skewed to the right.
C.The probability distribution indicates there is a possibility of a "fat tail" loss.
D.the VAR indicates there is no possibility of losses so another method must be used to
