8006 無料問題集「PRMIA Exam I: Finance Theory Financial Instruments Financial Markets - 2015 Edition」
Which of the following statements are true:
I. A credit default swap provides exposure to credit risk alone and none to credit spreads II. A CDS contract provides exposure to default risk and credit spreads III. A TRS can be used as a funding source by the party paying LIBOR or other floating rate IV. A CLN is an unfunded security for getting exposure to credit risk
I. A credit default swap provides exposure to credit risk alone and none to credit spreads II. A CDS contract provides exposure to default risk and credit spreads III. A TRS can be used as a funding source by the party paying LIBOR or other floating rate IV. A CLN is an unfunded security for getting exposure to credit risk
正解：C
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[According to the PRMIA study guide for Exam 1, Simple Exotics and Convertible Bonds have been excluded from the syllabus. You may choose to ignore this question. It appears here solely because the Handbook continues to have these chapters.] The use of numerical pricing methods over analytical methods for valuing exotic options is resorted to allow for which of the following reasons:
I. Efficient valuation
II. Allowing for stochastic volatility
III. Accommodating discontinuous asset prices
IV. Allowing for complex payoffs
I. Efficient valuation
II. Allowing for stochastic volatility
III. Accommodating discontinuous asset prices
IV. Allowing for complex payoffs
正解：D
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[According to the PRMIA study guide for Exam 1, Simple Exotics and Convertible Bonds have been excluded from the syllabus. You may choose to ignore this question. It appears here solely because the Handbook continues to have these chapters.] Which of the following best describes a holder extendible option:
正解：D
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Which of the following statements are true:
I. An yield curve plots zero coupon spot rates for different maturities for bonds with different credit ratings II. An yield curve represents the term structure of interest rates for similar instruments across a range of maturities III. The liquidity preference theory explains why the yield curve can be downward sloping IV. The term structure refers to the relationship between bond yields and bond maturities
I. An yield curve plots zero coupon spot rates for different maturities for bonds with different credit ratings II. An yield curve represents the term structure of interest rates for similar instruments across a range of maturities III. The liquidity preference theory explains why the yield curve can be downward sloping IV. The term structure refers to the relationship between bond yields and bond maturities
正解：C
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Which of the following statements are true?
I. Macaulay duration of a coupon bearing bond is unaffected by changes in the curvature of the yield curve.
II. The numerical value for modified duration will be different for bonds with identical nominal coupons and maturity but different compounding frequencies.
III. When rates are expressed as continuously compounded, modified duration and Macaulay duration are the same.
IV. Convexity is higher for a bond with a lower coupon when compared to a similar bond with a higher coupon.
I. Macaulay duration of a coupon bearing bond is unaffected by changes in the curvature of the yield curve.
II. The numerical value for modified duration will be different for bonds with identical nominal coupons and maturity but different compounding frequencies.
III. When rates are expressed as continuously compounded, modified duration and Macaulay duration are the same.
IV. Convexity is higher for a bond with a lower coupon when compared to a similar bond with a higher coupon.
正解：D
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Which of the following statements is true:
I. The standard deviation of a short position is the same as the standard deviation of a long position II. The expected return of a short position is the same as that a long position in the same asset III. If two assets are perfectly positively correlated, then a short position in one and a long position in the other are negatively correlated IV. If we increase the weight of an asset in a portfolio, its correlation with other assets in the portfolio scales up proportionately
I. The standard deviation of a short position is the same as the standard deviation of a long position II. The expected return of a short position is the same as that a long position in the same asset III. If two assets are perfectly positively correlated, then a short position in one and a long position in the other are negatively correlated IV. If we increase the weight of an asset in a portfolio, its correlation with other assets in the portfolio scales up proportionately
正解：D
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The yield offered by a bond with 18 months remaining to maturity is 5%. The coupon is 3%, paid semi-annually, and there are two more coupon payments to go in addition to the interest payment made at maturity. The zero rate for 6 months is 2%, that for 12 months is 3%. What is the 18 month zero rate?
正解：C
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