2016-FRR exam

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.A . Never, unlimitedB ....

Which one of the following four statements correctly defines chooser options?A . The owner of these options decides if the option is a call or put option only when a predetermined date is reached.B . These options represent a variation of the plain vanilla option where the underlying asset is...

Which one of the following is a reason for a bank to keep a commercial loan in its portfolio until maturity? I. Commercial loans usually have attractive risk-return profile. II. Commercial loans are difficult to sell due to non standard features. III. Commercial loans could be used to maintain good...

Bank Sigma has an opportunity to do a securitization deal for a credit card company, but has to retain a portion of the residual risk of the deal with an estimated VaR of $8 MM. Its fees for the deal are $2 MM, and the short-term financing costs are $600,000....

Which one of the following four statements represents the advantages of the historical sim-ulation method when calculating VaR?A . Solve the problem caused by incorrectly assuming that asset returns are normally distributed.B . Rely on current market data to describe the distribution of returns and determine volatilities.C . Are believed...