ICBRR

Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?A . The underlying relevant exchange ratesB . The underlying interest ratesC . The future volatility of the exchange ratesD . The time to maturityView AnswerAnswer: C

A credit analyst wants to determine if her bank is taking too much credit risk. Which one of the following four strategies will typically provide the most convenient approach to quantify the credit risk exposure for the bank?A . Assessing aggregate exposure at default at various time points and at...

After entering the securitization business, Delta Bank increases its cash efficiency by selling off the lower risk portions of the portfolio credit risk. This process ___ return on equity for the bank, because the cash generated by the risk-transfer and the overall ___ of the bank's exposure to the risk.A...

Which one of the following four exotic option types has another option as its underlying asset, and as a result of its construction is generally believed to be very difficult to model?A . Spread optionsB . Chooser optionsC . Binary optionsD . Compound optionsView AnswerAnswer: D

Which one of the following statements correctly identifies risks in foreign exchange forwards?A . Short-term forward price fluctuations are driven by changes in the spot exchange rate, since most inter-country interest rates differentials are significant, and the effect of compounding is large for short periods of time.B . Short-term forward...

Which one of the following four model types would assign an obligor to an obligor class based on the risk characteristics of the borrower at the time the loan was originated and estimate the default probability based on the past default rate of the members of that particular class?A ....

Which of the following factors can cause obligors to default at the same time? I. Obligors may be harmed by exposures to similar risk factors simultaneously. II. Obligors may exhibit herd behavior. III. Obligors may be subject to the sampling bias. IV. Obligors may exhibit speculative bias.A . IB ....

Which one of the following four statements about the relationship between exchange rates and option values is correct?A . As the dollar appreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate decreases.B . As the dollar appreciates relative to the pound, the right...

Which one of the following four mathematical option pricing models is used most widely for pricing European options?A . The Black modelB . The Black-Scholes modelC . The Garman-Kohlhagen modelD . The Heston modelView AnswerAnswer: B

Which one of the following four models is typically used to grade the obligations of small- and medium-size enterprises?A . Causal modelsB . Historical frequency modelsC . Credit scoring modelsD . Credit rating modelsView AnswerAnswer: C