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89： a trader values off-the-run bonds using interpolated yield to maturity data from on-the-run bonds .how can one profit from this trader’s valuation methodology when the yield curve is upward sloping ?
A: buy off-the-run bonds with above market coupons from the trader and sell to the trader off-the-run bonds with below market coupons .
B: buy off-the-run bonds with above market coupons from the trader and sell to the trader off-the-run bonds with above market coupons .
C: buy from the trader off-the-run bonds with above and below market coupons
D: sell to the trader off-the-run bonds with above and below market coupons
答案为A.
90:
independent samples for two variables A and B drawn from a univariate standardized normal distribution are respectively X1 =0.7015 and X2=0.7298. the correlation matrix for variables A and B is
1 -0.6
-0.6 1
The correlated samples for variables A and B respectively using choiesky decomposition are
A: 0.7015 and 0.1629
95: what will be the least effective stress test for credit risk ?
A: changing default correlations between obligors
B: changing market rates ,such as interest rates and foreign exchange rates
C: changing liquidity factors, such as average trading volumes and bid offer spreads
D: changing credit spreads and volatility
答案为C.
104： which of the following is true in relation to conditional VAR and VAR ？
A: conditional VAR and VAR are always subadditive risk measures
B:neither VAR nor conditional VAR are always subadditive risk measures
C: VAR but not conditional VAR is always a subadditive risk measures
D: conditional VAR but not VAR is always a subadditive risk measures
答案为D
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