CFA08真题

1.YouarethenewCFOofGlobalInsuranceInc.Youhaveaskedataskforcetoreporttoyouonhowtostructureanenterpriseriskmanagementprogram(ERM)withtheobjectiveofensuringthatyourfirmhastheoptimallevelofriskforitslevelofcapital.Thetaskforcehasmadethefollowingrecommendations.WhichrecommendationwouldhinderyourERMprogramfromachievingitsobjective?a.Managementshouldestimatetheamountofcapitalrequiredtosupporttheriskofitsoperationsgiventhefirm’stargetrating.b.Managementshouldallocatetheamountofcapitaldeterminedtosupporttheriskofitsoperationswiththeobjectivethatunitswithbetteraccountingperformancereceivemorecapital.c.Managementshouldmeasurefirm-levelriskbyaggregationrisksacrossthefirmconsistently.d.Managementshouldfirstdeterminethefirm’sriskappetiteandthegeneralrulesforcapitalallocation.2.Whichofthefollowingstatementsregardinghypothesistestingisincorrect?a.TypeIIerrorreferstothefailuretorejectthenullhypothesiswhenitisactuallyfalse.b.Hypothesistestingisusedtomakeinferencesabouttheparametersofagivenpopulationonthebasisofstatisticscomputedfoeasamplethatisdrawnfromthatpopulation.c.Allelsebeingequal,thedecreaseinthechanceofmakingaTypeIerrorcomesatthecostofincreasingtheprobabilityofmakingaTypeIIerror.d.Thep-valuedecisionruleistorejectthenullhypothesisifthep-valueisgreaterthanthesignificancelevel.3.Yourfirm’sfixed-incomeportfoliohasinterest-onlybonds(IO),callablecorporatebonds,inversefloaters,noncallablecorporatebonds.Yourbosswantstoknowwhichofthefollowingsecuritiescanlosevalueasyieldsdecline.a.Callablecorporateonlyb.Inversefloateronlyc.IOandcallablecorporatebondd.IOandnoncallablecorporatebond4.YouareaskedbyyourbosstoestimatetheexposureofahedgefundtotheS&P500.Thoughthefundclaimstomarktomarketweekly,itdoesnotdosoandmarkstomarketonceamonth.ThefundalsodoesnottellinvestorsthatitsimplyholdsanExchangeTradedFund(ETF)thatisindexedtotheS&P500.Becauseoftheclaimsofthehedgefund,youdecidetoestimatethemarketexposurebyregressingweeklyreturnsofthefundontheweeklyreturnoftheS&P500.Whichofthefollowingcorrectlydescribesapropertyofyourregressionestimates?a.Theinterceptofyourregressionwillbepositive,showingthatthefundhaspositivealphawhenestimatedusinganOLSregression.b.Thebetawillbemisestimatedbecausehedgefundexposuresarenonlinear.c.ThebetaofyourregressionwillbeonebecausethefundholdstheS&P500.d.ThebetaofyourregressionwillbezerobecausethefundreturnsarenotsynchronouswiththeS&P500returns.5.YouareananalystatBankAlpha.YouweregiventhetasktodeterminewhetherunderBaselIIyourbankcanusethesimplifiedapproachtoreportoptionsexposureinsteadoftheintermediateapproach.Whichofthefollowingcriteriawouldyourbankhavetosatisfyinorderforittousethesimplifiedapproach?a.Thebankwritesoptions,butitsoptionstradingisinsignificantinrelationtoitsoverallbusinessactivities.b.Thebankpurchasesandwritesoptionsandhassignificantoptiontrading.c.Thebanksolelypurchasesoptions,anditsoptionstradingisinsignificantinrelationtoitsoverallbusinessactivities.d.Thebankpurchasesandwritesoptions,butitsoptiontradingisinsignificant.6.ThePotentialFutureExposure(PFE)modelcanbeusedtoi.calculateeconomicandregulatorycapital.ii.quantifycreditrisk.iii.calculatemarketrisk.iv.determinetheappropriatestochasticprocessofacreditportfolio.a.iiiandivonlyb.iandiiionlyc.i,ii,andiiionlyd.i,ii,andivonlyThefollowingmini-casescenarioappliestobothquestion7and8.7.OnJanuary1,ariskmanagerobservesthattheone-yearcontinuouslycompoundedinterestrateis5%andstoragecostsofacommodityproductAisUSD0.05perquarter(payableateachquarterend).HefurtherobservesthefollowingforwardpricesforproductA:·MarchUSD5,35·JuneUSD5.90·SeptemberUSD5.30·DecemberUSD5.22GiventhefollowingexplanationofsupplyanddemandforcommodityproductA,howwouldyoubestdescribeitsforwardpricecurveformJunetoDecember?a.BackwardationasthesupplyofproductAisexpectedtodeclineaftersummer.b.ContangoasthesupplyofproductAisexpectedtodeclineaftersummer.c.ContangoasthereisexcessdemandforproductAinearlysummer.d.BackwardationasthereisexcessdemandforproductAinearlysummer.8.Whatistheannualizedrateofreturnearnedonacash-and-carrytradeenteredintoinMarchandclosedoutinJune?a.9.8%b.8.9%c.39.1%d.35.7%9.Whichofthefollowingischaracteristicof”crowdedtrades”?a.Asspreadsnarrow,tradershavelowereconomicincentivestoincreaseleveragelevelsinordertoachievecomparablereturns.b.Theaggregatevolumeoftradesinthemarket(s)issuchthattraderscansimultaneouslyexitfromtheirpositionswithoutsignificantlyimpactingprevailingprices.c.Untiltradersseektounwindpositions,crowdedtradesareoftencharacterizedbyadampeningofvolatilitiesandanincreaseinperceivedliquiditymeasures,leadingtomisleadinglylowriskcalculationsinconventionalVaR(includingliquidity-adjustedVaR)andotherriskmodels.d.Asinglelargepartyentersintocorrelatedtradingstrategiesacrossoneormoremarkets.10.Thepriceofathree-yearzerocoupongovernmentbondis85.16.Thepriceofasimilarfour-yearbondis79.81.Whatistheone-yearimpliedforwardrateformyear3toyear4?a.5.4%b.5.5%c.5.8%d.6.7%11.Supposeyouaregiventhefollowinginformationabouttheoperationalrisklossesatyourbank.FrequencydistributionSeverityDistributionProbab