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Free 2016-FRR Exam Braindumps (page: 9)

Page 9 of 86
PDF with 342 Questions

In the United States, Which one of the following four options represents the largest component of securitized debt?

  1. Education loans
  2. Credit card loans
  3. Real estate loans
  4. Lines of credit

Answer(s): C



A risk manager is considering how to best quantify option price dynamics using mathematical option pricing models.
Which of the following variables would most likely serve as an input in these models?
I) Implicit parameter estimate based on observed market prices
II) Estimates of sensitivity of option prices to parameter changes
III) Theoretical option determination based on assumptions

  1. I, III
  2. II
  3. II, III
  4. I, II, III

Answer(s): D



Which one of the following four statements correctly defines an option's delta?

  1. Delta measures the expected decline in option with time and is usually expressed in years.
  2. Delta measures the effect of 1 bp in interest rate change on the option price.
  3. Delta is the multiplier that best approximates the short-term change in the value of an option.
  4. Delta measures the impact of volatility on the price of an option.

Answer(s): C



Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?

  1. The underlying relevant exchange rates
  2. The underlying interest rates
  3. The future volatility of the exchange rates
  4. The time to maturity

Answer(s): C






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