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Typically, which one of the following four option risk measures will be used to determine the number of options to use to hedge the underlying position?
Answer : C
The pricing of credit default swaps is a function of all of the following EXCEPT:
Answer : D
Which of the following factors can cause obligors to default at the same time?
I . Obligors may be harmed by exposures to similar risk factors simultaneously.
II . Obligors may exhibit herd behavior.
III . Obligors may be subject to the sampling bias.
IV . Obligors may exhibit speculative bias.
Answer : C
While contractually, depositors are not required to keep liquid funds on deposit for very long, in fact they tend to leave their deposits for longer periods of time, even if interest rates rise and the bank does not raise its deposit interest rate. What does a bank consider these deposits to be?
Answer : B
Bank G has a 1-year VaR of USD 20 million at 99% confidence level while bank H has a 1-year VaR of USD 10 million at 95% confidence level. Which bank is in a more risky position as measured by VaR?
Answer : C
