PRM Certification - Exam I: Finance Theory, Financial Instruments, Financial Markets – 2015 Edition 온라인 연습
최종 업데이트 시간: 2024년11월03일
당신은 온라인 연습 문제를 통해 PRIMA 8006 시험지식에 대해 자신이 어떻게 알고 있는지 파악한 후 시험 참가 신청 여부를 결정할 수 있다.
시험을 100% 합격하고 시험 준비 시간을 35% 절약하기를 바라며 8006 덤프 (최신 실제 시험 문제)를 사용 선택하여 현재 최신 286개의 시험 문제와 답을 포함하십시오.
정답:
Explanation:
Interest rate caps are effectively call options on an underlying interest rate that protect the buyer of the cap against a rise in interest rates over the agreed exercise rate. As with options, the premium on the cap depends upon the volatility of the underlying rates as one of its variables. A floor is the exact opposite of a cap, ie it is effectively a put option on an underlying interest rate that protects the buyer of the floor against a fall in interest rates below the agreed exercise rate.
A cap protects a borrower against a rise in interest rates beyond a point, and a floor protects a lender against a fall in interest rates below a point.
A collar is a combination of a long cap and a short floor, the idea being that the premium due on the cap is offset partly by the premium earned on the short floor position. Therefore a collar is less expensive than a cap or a floor.
정답:
Explanation:
Interest rate caps are effectively call options on an underlying interest rate that protect the buyer of the cap against a rise in interest rates over the agreed exercise rate. As with options, the premium on the cap depends upon the volatility of the underlying rates as one of its variables. A floor is the exact opposite of a cap, ie it is effectively a put option on an underlying interest rate that protects the buyer of the floor against a fall in interest rates below the agreed exercise rate.
A cap protects a borrower against a rise in interest rates beyond a point, and a floor protects a lender against a fall in interest rates below a point.
A collar is a combination of a long cap and a short floor, the idea being that the premium due on the cap is offset partly by the premium earned on the short floor position. Therefore a collar is less expensive than a cap or a floor.
Caps, floors and collars provide a hedge against interest rate risks, but do not protect against changes in credit spreads unless the reference rate already includes the spread (eg, by reference to the corporate bond rate), and they certainly do not have anything to do with gamma risk. Therefore Choice 'c' is the correct answer.
정답:
Explanation:
Only the butterfly spread has a payoff profile that benefits when prices do not move much. The collar benefits during declining markets, the straddle and the strangle benefit from sharp movements in the markets. Therefore Choice 'c' is the correct answer.
정답:
Explanation:
Investors in CDOs bear credit risk. The SPV is merely a conduit that owns the underlying assets on which the sponsoring institution has bought protection. The investors have sold them this protection, and are on the hook for defaults or other credit events. The reference entity is relevant only to CDSs, not CDOs. Choice 'b' is the correct answer.
정답:
Explanation:
Treasury bond futures do not specify which bond can be used to effect delivery, but allow the seller to pick from a number of available bonds. As a result, one of these eligible bonds emerges as being the 'cheapest' to deliver, and this CTD bond is determined by the basis between the cash price of the bond and the futures spot price as adjusted by the conversion factor for this specific bond. (ie, basis = Cash Price of the Bond - Futures Price
x Conversion Factor)
The bond with the lowest basis is generally the CTD - therefore Choice 'c' is the correct answer.
정답:
Explanation:
When the forward prices are greater than the spot prices, the market is said to be in contango. When forward prices are lower than spot prices, the market is said to be backwarded. A short squeeze may contribute to backwardation. Choice 'a' is the correct answer.
정답:
Explanation:
Convenience yield is the benefit from having access to the commodity - and if the convenience yield is very high, for example in a market where manufacturers must never run out of a particular raw material, then these can switch the total cost of carry (which include interest and storage costs, less convenience yields) to being negative. This causes forward prices to become lower than spot prices, a phenomenon known as backwardation. Therefore Choice 'b' is the correct answer. If convenience yields are less than other carrying costs, then backwardation will not happen. The sign of convenience yields does not matter, what matters is their relative magnitude when compared to the other costs of carry.
To understand this in an intuitive way, consider that forward prices are nothing but spot prices, plus interest, plus storage costs, less convenience yields. If interest and storage costs are less than the convenience yield, the market will be backwarded.
정답:
Explanation:
The efficient frontier is plotted on a graph with portfolio return (mean) as the y-axis and portfolio volatility, or standard deviation, on the x-axis. Asset beta and standard deviation of the market portfolio have nothing to do with the determination of the efficient portfolio. Therefore Choice 'd' is the correct answer, and the rest of the choices are incorrect.
정답:
Explanation:
The Sharpe ratio is the ratio of the excess returns of a portfolio to its volatility. It provides an intuitive measure of a portfolio's excess return over the risk free rate. The Sharpe ratio is calculated as [(Portfolio return - Risk free return)/Portfolio standard deviation].
The Treynor ratio is similar to the Sharpe ratio, but instead of using volatility in the denominator, it uses the portfolio's beta. Therefore the Treynor Ratio is calculated as [(Portfolio return - Risk free return)/Portfolio's beta]. Therefore Choice 'a' is the correct answer.
Jensen's alpha is another risk adjusted performance measure. It considers only the 'alpha', or the return attributable to a portfolio manager's skill. It is the difference between the return of the portfolio, and what the portfolio should theoretically have earned. Any portfolio can
be expected to earn the risk free rate (rf), plus the market risk premium (which is given by [Beta x (Market portfolio's return - Risk free rate)]. Jensen's alpha is therefore the actual return earned less the risk free rate and the beta return. Choice 'c' is the correct answer. Refer to the tutorial on risk adjusted performance measures for more details.
정답:
Explanation:
The swap can be valued by using the new swap rate of 5%. The investor is paying fixed and receiving LIBOR, and can effectively get out of his position by entering into a swap to receive 5% and pay LIBOR. This will leave him/her with a net cash flow of 1% for two years, ie $1m for 2 years that can be discounted to the present using the rates provided, ie =(1/1.05 + 1/(1.05^2)) = $1,859,410.
Detailed explanation:
An Interest Rate Swap exchanges fixed interest flows for floating rate flows. The floating rate leg is tied to some reference rate, such as LIBOR. The parties exchange net cash flows periodically. Conceptually, an interest rate swap is the combination of a fixed coupon bond and a floating rate note. The party receiving the fixed rate is long the fixed coupon bond and short the FRN, and the party receiving the floating rate is long the FRN and short the fixed coupon bond.
An interest rate swap can be valued as the difference between the two hypothetical bonds. FRNs sell for par at issue time as they pay whatever the current rate is, subject to periodic resets. Therefore immediately after a payment is made on a swap, the value of the FRN component is equal to its par value. The bond can be valued by discounting its cash flows. The difference between the two represents the value of the swap. When the swap is entered into, the fixed rate leg is set in such a way that the value of the hypothetical bond is equal to that of the FRN, and the swap is valued at zero. The rate at which the fixed rate leg is set is called the swap rate. Over its life, market rates change and the value of the fixed coupon bond equivalent in our swap diverges from par (whereas the FRN stays at par - at least right after payments are exchanged and the new floating rate is set for the next period). Thus the swap acquires a non-zero value.
There are two ways to value a swap. If interest rates for the future are known, the bond and the FRN can be valued and their difference will be equal to the value of the swap. Sometimes, the current swap rates are known. In such a case, the swap can be valued by imagining entering into an opposite swap at the new swap rate, which will leave a residual fixed cash flow for the remaining life of the swap. This residual cash flow can be valued and that represents the value of the swap. For example, if a 4 year swap was entered into exchanging an annual fixed 5% payment on a notional of $100m for a floating payment equal to LIBOR, and at the end of year 1 the swap rate is 6%, then the party paying fixed can choose to enter into a new swap to receive 6% and pay LIBOR. All cash flows between the old and the new swap will offset each other except a net receipt of 1% for the next 3
years. This cash flow can be valued using the current yield curve and represents the value of the swap.
정답:
Explanation:
A CDS contract provides exposure to default risk and the credit spread for a particular credit. It does not provide an exposure to the risk of interest rates going up or down. It is an instrument that allows institutions to take a view on the price of credit risk alone. Therefore statement I is false and statement II is true.
A total return swap (TRS) exchanges the return from an asset for a fixed or floating exchange rate. It is in essence a financing arrangement where one party pays the other interest to earn a return on an asset that it does not wish to hold itself, perhaps for liquidity reasons. The financed asset is held by the party paying the asset's returns, effectively creating a 'collateral'. Therefore statement III is correct.
A credit linked note is a funded instrument where the sellers of the protection have put up the money upfront in the form of a subscription to a note in case the credit losses are realized. Therefore statement IV is not correct.
정답:
Explanation:
The stock has a beta of 1.2, therefore intuitively it can be expected to earn more than the broad market index. It will earn the risk free rate, ie 3%, and 1.2 times the equity risk premium of 5% (8% - 3%). The expected returns from the stock therefore are 3% + (8% - 3%)*1.2 = 9%
정답:
Explanation:
The forward price for a commodity is nothing but the spot price plus carrying costs till the maturity date of the forward contract. Any increase in carrying costs therefore has the effect of increasing the forward price. Note that carrying costs include interest cost in respect of funding the position, costs of storage, less any convenience yield. Increase in the carrying costs will not affect the spot prices.
정답:
Explanation:
Straddles and strangles are strategies that would benefit from sharp movement in option prices, regardless of direction. These comprise a long call and a long put, which would benefit regardless of whether prices rise or fall. The only time they would lose money would be when prices stay constant.
A collar would gain when stock prices fall, and not when they rise. Since our investor does not have a view on the direction of the movement, this strategy will not work for him.
A butterfly spread or a condor would gain when prices stay range-bound, so that cannot be a useful strategy.
Therefore Choice 'd' is the correct answer.
정답:
Explanation:
A traditional collateralized debt obligation (CDO) involves the complete transfer of securities to an SPV, which then issues notes or securities to investors. Therefore Choice 'd' is the correct answer.
A synthetic CDO achieves the same result as a traditional CDO, but uses credit derivatives to synthetically create the same economic effect as a traditional CDO.
A credit default swap is a derivative instrument that pays in the event of the occurrence of agreed credit events. The arrangement described in the question is not a credit default swap purchase. n-th to default swap arrangements are similar to CDSs, but on a portfolio with the first 'n' losses being covered by the swap.