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有关期权定价模型与风险模型练习题+解答

行业资讯  |  2020-04-10

期权是什么？

期权是一种权利，期权合约至少涉及买人和出售人两方，持有人享有权力但不承担相应的义务。期权的标的物是指选择购买或出售的资产。它包括股票、政府债券、货币、股票指数、商品期货等。”

接下来金程FRM小编给大家带来有关期权定价模型与风险模型习题+解答希望可以帮助大家！

Q-1.XYZ,a clearinghouse member,has recently contributed funds with its clearinghouse.The funds are designed to give the clearinghouse the ability to meet the financial obligations of any defaulting members.The funds may not be withdrawn by XYZ as long as it remains a member of the clearinghouse.Which of the following amounts best describe XYZ's contribution?

A.Variation margin

B.Original margin

C.Membership dues

D.Guaranty deposit

Solution:D

Clearinghouse members are required to provide not only original and variation margin to maintain their own and customer positions,but also must maintain a large guaranty deposit with the clearinghouse.The deposit,or reserve,must be maintained with the clearinghouse as long as the firm is a member of the clearinghouse.The deposit can be made with cash,securities,or letters of credit.The clearinghouse has access to the funds at all times to meet the financial needs of any defaulting member.

Q-2.An investment bank is most likely to earn a trading profit from buying and selling securities if it arranges a:

A.Dutch auction.

B.Private placement.

C.Best efforts offering.

D.Firm commitment offering.

Solution:D

With a firm commitment offering,an investment bank buys an entire issue of securities from the issuer and attempts to sell them to the public at a higher price.In a private placement or a best efforts offering,an investment bank earns fee income rather than trading income.Dutch auction is a method of price discovery for an initial public offering that does not involve buying and reselling shares.

Q-3.The following information pertains to a property and casualty(P&C)insurance company:

Investment income 5%

Dividends 2%

Loss ratio 74%

Expense ratio 23%

Based on the information provided,what is this company’s operating ratio?

A.90%

B.94%

C.97%

D.99%

Solution:B

The operating ratio is computed as follows:

loss ratio(74%)+expense ratio(23%)+dividends(2%)-investment income(5%)=94%

The combined ratio is computed as follows:

loss ratio(74%)+expense ratio(23%)=97%

The combined ratio after dividends is computed as follows:

loss ratio(74%)+expense ratio(23%)+dividends(2%)=99%

Q-4.What is the expected fee to a hedge fund if the fund uses a standard 2 and 20 incentive fee structure with an investment that has a 35%probability of making 55%and a 65%probability of losing 45%?》》》点击领取更多有关期权与风险模型相关资料

A.5.71%

B.6.12%

C.3.78%

D.5.28%

Solution:A

The hedge fund could potentially earn fees of 12.6%[2%(flat fee)+0.20×53%(incentive fee on return above the 2%flat fee)].The expected payoff for fees then becomes 5.71%computed as follows:(0.35×12.6%)+(0.65×2%)=5.71%

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