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Financial Risk and Regulation 2016-FRR Book

Page: 25 / 28
Total 387 questions

Financial Risk and Regulation (FRR) Series Questions and Answers

Question 97

John owns a bond portfolio worth $2 million with duration of 10. What positions must he take to hedge this portfolio against a small parallel shifts in the term structure.

Options:

A.

Long position worth $2 million with duration of 10.

B.

Long position worth $20 million with duration of 1.

C.

Short position worth $2 million with duration of 10.

D.

Short position worth $20 million with duration of 1.

Question 98

What do option deltas measure?

Options:

A.

The rate of change of the option value with respect to changes in volatility of the underlying instrument.

B.

The sensitivity of the option value to changes risk free interest rate.

C.

The rate of change of the option value with respect to changes in the price of the underlying instrument.

D.

The sensitivity of the option value to the passage of time.

Question 99

Using the definitions used by JPMorgan Chase in their annual report, which of the following exposure types would be considered as a non-trading risk exposure?

I. Short term equity investments

II. Loans held to maturity

III. Mortgage servicing rights

IV. Derivatives used to manage asset/liability exposure.

Options:

A.

I and II

B.

II and III

C.

III and IV

D.

II, III, and IV

Question 100

Which of the following are the most common methods to increase liquidity in stressed conditions?

I. Selling or securitizing assets.

II. Obtaining additional credit lines.

III. Securing a better credit rating.

Options:

A.

I

B.

I, II

C.

I, II, III

D.

II, III

Page: 25 / 28
Total 387 questions