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8007 Exam Dumps : Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition

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Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition Questions and Answers

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Question 1

In a portfolio there are 7 bonds: 2 AAA Corporate bonds, 2 AAA Agency bonds, 1 AA Corporate and 2 AA Agency bonds. By an unexplained characteristic the probability of any specific AAA bond outperforming the others is twice the probability of any specific AA bond outperforming the others. What is the probability that an AA bond or a Corporate bond outperforms all of the others?

Options:

A.

5/7

B.

8/11

C.

6/11

D.

None of these

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Question 2

You want to test the hypothesis that a population parameter β of a regression model is zero. Your alternative hypothesis is that β≠0. Denote by SD(β) the estimated standard deviation of β, and by MEAN(β) the estimated mean of β. Which test statistic is appropriate, and what is its distribution?

Options:

A.

test statistic = SD(β)/MEAN(β), normal distribution

B.

test statistic = MEAN(β)/SD(β), normal distribution

C.

test statistic = SD(β)/MEAN(β), t distribution

D.

test statistic = MEAN(β)/SD(β), t distribution

Question 3

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The options sensitivities are: delta = 0.98; gamma = 0.006 and vega = 1.55. What is the delta-gamma-vega approximation to the new option price when the underlying asset price changes to 105 and the volatility changes to 28%?

Options:

A.

17.33

B.

18.75

C.

19.23

D.

20.54

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