Comprehensive operation of financial risk management X of Dongcai

Eastern wealth 《 Financial risk management X》 Comprehensive homework
Total score of test paper :100 score :100
One 、 Single topic selection ( common 10 Two questions , common 30 branch )
1. An investor wants to construct a portfolio , And the position of the portfolio is on the right side of the optimal risk portfolio on the capital allocation line , that （ ）.
A. Lend some funds at a risk-free interest rate , The remaining capital is invested in the optimal portfolio of risk assets
B. Borrow some funds at a risk-free interest rate , The remaining capital is invested in the optimal portfolio of risk assets
C. Invest only in risky assets
D. There can be no such portfolio

2. Suppose the market is perfect without friction , The price of the underlying asset is USD , The forward price is USD , The term is one year . The annual risk-free interest rate is 5%, Then the arbitrage profit is （ ）.
A.0.725 dollar
B.-0.725 dollar
C.-0.5 dollar
D.0.5 dollar

3. Usually , A rise in market interest rates will lead to a rise in the stock market （ ）.
A. Bullish
B. Bearish
C. Kan Ping
D. All of the above are possible

4. If two securities are positively correlated , But not completely positive correlation , So the portfolio they make up （ ）.
A. The standard deviation should be greater than the weighted value of the standard deviation of a single security
B. The standard deviation should be less than the weighted value of the standard deviation of a single security
C. The standard deviation should be equal to the weighted value of the standard deviation of a single security
D. The standard deviation is equal to the covariance of the two securities

5.（ ） The forward price of is equal to the spot price calculated by the difference between the risk-free interest rate and the known yield T The final value of the moment .
A. Unprofitable assets
B. Payment of known cash income assets
C. Pay for assets with known yield
D. None of the above

6. Generally, financial derivatives transactions only need to pay a small amount of margin or premium to sign an indefinite large amount contract or swap different financial instruments, which refers to the （ ） characteristic .
A. Intertemporal
B. periodic
C. Leverage
D. Uncertainty or high risk

7. When the enterprise considers that the cost of avoiding the risk is greater than the loss of bearing the risk , I usually choose （ ） Risk management measures .
A. Risk aversion
B. Risk Management
C. Risk transfer
D. Risk retention

8. An investor bought 1 stocks S The company stock , The purchase price is 50 element ; At the same time, it purchases the shares 1 Stock put options , The execution price is 52 element , The option cost is 2 element , Due six months later . If the share price on the maturity date is 55 element , Then the net income of the investor is （ ）.
A.3
B.53
C.52
D.55

9. Arbitrage pricing theory is simpler than CAPM The model has greater potential advantages , It is characterized by （ ）.
A. For production 、 Determination of expected changes in the term structure of inflation and interest rates , It can be used as a key factor to explain the relationship between risk and return
B. Better measure the risk-free return over time
C. For a given asset , The volatility of the sensitivity coefficient of arbitrage pricing theory factors is measured by time change
D. Use multiple factors rather than a single market index to explain the correlation between risk and return

10. A trader who takes a position in wheat futures hopes that wheat prices will （ ）.
A. long position , rose
B. long position , fall
C. Short position , rose
D. long position , unchanged

Two 、 Multiple choice ( common 10 Two questions , common 30 branch )
11. The functions of financial swap are （ ）.
A. Reduce the cost of financing
B. Optimize the asset liability structure
C. Guard against interest rate risk
D. Guard against foreign exchange risks

12. Here's about VaR The incorrect expression of the calculation method of （ ）.
A. Historical law ： The real distribution of assets or portfolio value is approached through the analysis of assets or portfolio prices generated by a large number of simulations , So as to estimate the asset or asset portfolio under a given level of confidence VaR value
B. Parameter method ： It is assumed that the change of return of risk factors follows a specific distribution , Then we analyze and estimate the parameter value of the return distribution of the risk factor through historical data , Get the characteristic value of the income distribution of the whole portfolio
C. Monte Carlo method ： Use the historical data of the income distribution of the portfolio over a period of time , And assume that historical changes will recur in the future , To determine the minimum return level of the asset portfolio under a given level of confidence during the holding period , Calculate the value of the portfolio VaR value
D. variance - Covariance method can more sensitively and dynamically capture the changes of market risk , And that assets are independent and uncorrelated

13. The types of financial derivatives include （ ）.
A. forward
B. futures
C. swap
D. option

14. The following statements are correct （ ）.
A. Credit risk is also called default risk
B. Credit risk exists in all credit transactions
C. Default risk is only for enterprises
D. Credit risk has obvious systemic risk characteristics

15. Financial swaps mainly include （ ）.
A. Stock swap
B. Currency swap
C. Interest rate swaps
D. Debt swap

16. The following are the characteristics of risk avoidance （ ）.
A. Negative risk management
B. Can effectively reduce losses
C. Give up the potential target income
D. Be able to transfer risks to other parties

17. The following are risk management measures: （ ）.
A. Risk aversion
B. Risk Management
C. Risk transfer
D. Risk retention

18. Calculation VaR Value needs to be determined （ ） Variable .
A. Degree of confidence
B. Holding period
C. Expectations
D. The probability distribution of the future return of the portfolio

19. The characteristics of options are （ ）.
A. The buyer of the option must pay a certain amount of fees to the seller in order to obtain the right
B. The subject matter of the option buyer's purchase and sale in the future is specific
C. The price at which the option buyer will buy or sell the subject matter in the future is the market price
D. The buyer of an option acquires the right to buy and sell , You can choose to exercise your power or not

20. The external risks faced by commercial banks mainly include （ ）.
A. Credit risks
B. market risk
C. Financial risk
D. Legal risk

3、 ... and 、 Judgment questions ( common 20 Two questions , common 40 branch )
21. A long hedger is a short position in the spot market , At the same time, we are long in the futures market .（ ）

22. In interest rate futures trading , If the future interest rate rises, the futures price will fall .（ ）

23. From the perspective of transaction structure , Swap transactions can be regarded as a combination of a series of forward transactions .( )

24. Risk diversification can only reduce systemic risk , There is nothing we can do about unsystematic risks .（ ）

25. The term structure of forward price describes the relationship between forward prices with different terms .( )

26. Under whatever conditions ,VaR It must satisfy subadditivity .（ ）

27. Forward rate contracts can be traded before the maturity date .（ ）

28. Commercial banks can transfer the risk of credit assets to others through certain methods .( )

29. The maximum net profit or loss of the seller of the put option is the option price .( )

30. Risk is the size of the loss .（ ）

31. The seller of an option transaction has the obligation to perform .( )

32. Swap parties exchange cash flows with each other in the future .( )

33. Options trading is different from futures trading , There is not necessarily a fixed 、 A centralized trading place .( )

34. Forward contracts mainly deal in foreign exchange and interest rates .( )

35. The more deposits a commercial bank has, the better .（ ）

36. Both parties of traditional interest rate swap shall be paid in full by one party to the other party on the settlement date .（ ）

37. Short term treasury bond futures belong to interest rate futures .（ ）

38. Forward contracts can give buyers the right to , Not an obligation , That is, these rights enable the buyer to buy certain property at some time in the future .（ ）

39. A trader who takes a short position in gold futures hopes that the gold price will fall in the future .( )

40. Margin deposits can only be paid in cash .（ ）