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FRM二级冲刺练习：考生常见易错题汇总（11）

来源：高顿网校 2015-10-16

　　1.A 2-year credit default swap (CDS) specifying physical delivery defaults at the end of two years. Ifthe reference asset is a $200 million, 8.0% ABC corporate bond, and the CDS spread is 125 basis points, the buyer ofthe CDS will:

　　A. Receive payments of 800 basis points for the next two years.

　　B. Receive a payment of$167.5 million.

　　C. Deliver the bond and receive a payment of$200 million.

　　D. Continue to receive payments of 675 basis points for the next two years.

　　2.A portfolio manager has a $50 million investment in a high-tech stock with a volatility of 50% and a CAPM beta of 1. The volatility of 50% and the CAPM beta are estimated using daily returns over the past 252 days. A firm's capital allocation allocates capital based on a 1 % VaR with a l-year horizon. The capital allocation is USD 66 2/3 million and exceeds the initial market value ofthe stock. Which of the following statements about the firm's capital allocation scheme is correct?

　　A. Since a stock has limited liability,the capital allocation cannot exceed $50 million. The firm's mistake is simply to ignore the expected return on the stock

　　B. The firm made no mistake. The stock is simply very risky

　　C. The firm makes the mistake of assuming the normal distribution are a high tech stock. The firm should adjust the volatili可to take into account the possibility of jumps and 2.33 times the adjusted volatility would produce the right capital allocation

　　D. The firm should use the lognormal distribution for the stock price over a period of one year since the normal distribution are retums leads to a poor approximation of the distribution of the stock price a year hence

　　3.To hedge Delta, Gamma, and Vega of a portfolio of derivatives, with futures, FRAs, and options, the easiest way to calculate the appropriate amount of the hedges is to evaluate the quantity of:

　　A. futures first and FRAs second

　　B. futures first and options second

　　C. options first and FRAs second

　　D. FRAs first and futures second

　　Answer:

　　1.C

　　If the swap specifies physical delivery, the buyer ofthe swap wiIl deliver the reference obligation

　　to the seller and receive the par value ofthe obligation.

　　2.D

　　For long horizons, one should use the log normal distribution for the stock price. For the period of year, the normal distribution for returns leads to a poor approximation ofthe distribution of the stock price one year out. The diffrence between the two distributions is driven by the size of the volatility over the horizon. Small values imply that the distributions are closely identical. However ifthe volatility is large, the difference between the normal distribution and lognormal is large.

　　3.C

　　It is easiest to determine the number of options first in order to address the Vega risk, and then use

　　FRAs to address the gamma risk, and then use futures to address the delta risk.

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