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《2006 frm考题答案1-50》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。
1、1.Answer:ca.Incorrect.Thepayoffprofileofachooseroptioniscontinuous.b.Incorrect.Thepayoffprofileofabarrieroptioniscontinuous.c.Correct.Thebinaryoptionistheonlyonethatproducesdiscontinuouspayoffprofilesbecauseitpaysonepriceattheexpirationiftheassetvalueisabovethestrikepri
2、ceandnothingiftheassetpriceisbelowthestrikeprice.d.Incorrect.Thepayoffprofileofalookbackoptioniscontinuous.Reference:JohnHull,Options,Futures,andOtherDerivatives,6thed.(NewYork:PrenticeHall,2006).,Chapter22–ExoticOptions2.Answer:ba.Incorrect.As1doesnotequal1/1.0101010.b
3、.Correct,as1.0101010isgreaterthanorequalto1/1.ThisisduetoJensen’sInequality,whichsaysthatforanyconvexfunctiontheexpectationoff(x)isgreaterthanorequaltothefunctionevaluatedattheexpectationofx.c.Incorrect.As1.0101010isnotlessthanorequalto1.d.Incorrect.As1isnotequalto1.010
4、1010.Reference:JohnHull,Options,Futures,andOtherDerivatives,6thed.(NewYork:PrenticeHall,2006).,Chapter213.Answer:da.Incorrectb.Incorrectc.Incorrectd.Correct.Seethecalculationbelow.RAROC=Profit/RiskCapitalRAROC=8/13.3(Seebelowforthecalculationofriskcapital)RAROC=60.15%Ri
5、skCapital(RC)=VaRRC=Notionalx2.33xWeeklyStandardDeviationx√52x(1-TaxRate)RC=120,000,000x2.33x0.011x√52x(1-0.4)RC=USD13,307,080Reference:ArnauddeServignyandOlivierRenault,MeasuringandManagingCreditRisk,(NewYork:McGraw-Hill,2004).,Chapter6–CreditRiskPortfolioModels4.Answe
6、r:da.Incorrect–statementIisincorrect.b.Incorrect–statementIIisincorrectc.Incorrect–bothstatementsareincorrectd.Correct–bothstatementsareinfactincorrectNote:Thisquestiononlyreallyrequiresonecalculation–theVAR/RCfortheequitytrader.Oncethecandidatehasthisitisveryeasytodoth
7、elaststageofProfit/RC.ItdoesrequirethecandidatetounderstandbothRAROCandVaRmethodologies.AnnualVaR=Notionalx2.33xWeeklyStandardDeviationx√52x(1-TaxRate)AnnualVaR=$180,000,000x2.33x0.0194x√52x(1-0.40)AnnualVaR=$35,203,275(ASummaryofthepreviouscalculationsisprovidedhere.Th
8、ecandidateswouldhavealreadyworkedoutsomeoftheseintheearlierquestions)PreviouslycalculatedforthebondtraderRAROC
