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FRM二级冲刺练习：考生常见易错题汇总（32）

来源：高顿网校 2015-11-17

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　　1.The most that the buyer of a credit default swap can expect to receive in the event of a default is:

　　A. Interest and principal payments originally scheduled.

　　B. The par value of the instrurnent.

　　C. A premium price for the instrurnent.

　　D. 85% of the originally scheduled payments.

　　2.A U.S. company has previously issued a dual currency bond that pays coupons in euros and principal in yen. A major subsidiary ofthe company is based in Germany and receives euro-denominated payments. The current price on the bond is 80 with a 20% probability of default. The anticipated recoverate is 60%. Which of the following statements is correct? Assume the interest rate is

　　zero.

　　A. The company faces wrong-way risk; risk-neutralloss rate equals 8%.

　　B. The company faces wrong-way risk; risk-neutralloss rate equals 20%.

　　C. The company faces right-way risk; risk-neutral loss rate equals 8%.

　　D. The company faces right-way risk; risk-neutral loss rate equals 20%.

　　3.A reverse knock-out option is more difficult to hedge than a standard option because the:

　　A. Market in such options is very illiquid.

　　B. Value changes dramatical1y at the barrier point.

　　c. Black-Scholes model does not apply to pricing such options.

　　D. Gamma of the option continually varies throughout the range of relevant strikes.

　　Answer:

　　1.B

　　In the event of default. the most that the buyer of a credit default swap can receive is the par value of the instrument.

　　2.D

　　The company faces right-way risk since the euro exposure is partially hedged (it pays euros on its debt but receives euros from sales).

　　risk-neutral mean loss rate = 1-80 1100 = 20%

　　mean loss rate = PD LGD = (0.2) (1-0.6) = 8%

　　3.B

　　The value relationship is discontinuous near the barrier, so hedge ratios are very unstable at that level.

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