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Financial Risk and Regulation 2016-FRR Passing Score

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Question 68

When looking at the distribution of portfolio credit losses, the shape of the loss distribution is ___ , as the likelihood of total losses, the sum of expected and unexpected credit losses, is ___ than the likelihood of no credit losses.

Options:

A.

Symmetric; less

B.

Symmetric; greater

C.

Asymmetric; less

D.

Asymmetric; greater

Question 69

An options trader is assessing the aggregate risk of her currency options exposures. As an options buyer, she can potentially ___ lose more than the premium originally paid. As an option seller, however, she has a ___ risk on the contract and always receives a premium.

Options:

A.

Never, unlimited

B.

Sometimes, unlimited

C.

Never, limited

D.

Sometimes, limited

Question 70

Which one of the following four metrics represents the difference between the expected loss and unexpected loss on a credit portfolio?

Options:

A.

Credit VaR

B.

Probability of default

C.

Loss given default

D.

Modified duration

Question 71

Which of the following statements about the interest rates and option prices is correct?

Options:

A.

If rho is positive, rising interest rates increase option prices.

B.

If rho is positive, rising interest rates decrease option prices.

C.

As interest rates rise, all options will rise in value.

D.

As interest rates fall, all options will rise in value.

Page: 17 / 25
Exam Code: 2016-FRR
Exam Name: Financial Risk and Regulation (FRR) Series
Last Update: Dec 22, 2024
Questions: 342
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