代做ERMCPS5390 - CREDIT RISK MANAGEMENT Assignment 6 - Midterm Prep - Quiz 1调试R语言程序

Assignment 6 - Midterm Prep - Quiz 1: ERMCPS5390_001_2025_3 - CREDIT RISK MANAGEMENT

Assignment 6 - Midterm Prep - Quiz 1

Question 1

8 / 8 pts

An investment has probabilities 0.1, 0.2, 0.4, and 0.3 of giving returns equal to 40%, 10%, 20%, and −30%. What is the expected return and the standard deviations of returns?

None of these answers are correct

23% and 9%

5.00% and 24.19%

0% and 25.69%

4.00% and 27.17%

Question 2

8 / 8 pts

If the annual volatility of XXX stock is 12% and your investment to this stock is $5000, what is your monthly Value-at-Risk (VAR) at 99% level (approximately)?

$1398

$404

$117

$350

None of these answers are correct

Question 3

8 / 8 pts

Suppose that an asset manager has maintained an actively managed portfolio with a beta of 1.2. Looking forward, if the market return is expected to be 10% next year, and risk free rate is zero, what is the expected return of the portfolio for the next month?

1.00%

12.00%

10%

None of these answers are correct

3.46%

Question 4

8 / 8 pts

Suppose that you have a portfolio that is equally invested in 2 stocks with volatilities 10% and 20%. What would be the volatility of the portfolio if the correlation among these 2 stocks is 0?

13.23%

None of these answers are correct

11.18%

30%

15.00%

Question 5

8 / 8 pts

Where can one find option prices online?

Ali Baba

all of the above answers are correct

CBOE

None of the above answers are correct

Tiktok

Question 6

8 / 8 pts

Assume that your bank underwrote 5 loans to various hedge funds based in London each valued at $1M. The PDs

(1% each) of each hedge fund are independent of each other and follow a binomial distribution.

Assume that recovery rate is 40% for each loan. What is the 99% Credit Value at Risk (CVAR)?

$0.4M

$1.2M

$2M

$0.6M

None of these answers are correct

$1M

Question 7

0 / 8 pts

True

False

Question 8

8 / 8 pts

Using the table below, what is the 2 year cumulative probability of default for a B rated obligor?

None of these answers are correct

3.15%

3.25%

6.15%

3%

Question 9

8 / 8 pts

According to Merton Model, which 2 parameters the solution to equation system involving Black & Scholes and Volatility?

None of these answers are correct

Implied Equity Value and Implied Equity Volatility

Implied Equity Value and Distress Barrier

Implied Asset Value and Distress Barrier

Implied Asset Value and Implied Asset Volatility

Question 10

8 / 8 pts

A managed fund client has $150m credit line with Billion Bank. Currently the client has utilized about $50m of the line. If history shows that similar clients/products have a Credit Conversion Factor (CCF) of 20% during default period, how much is the EAD for this loan?

$80m

None of these answers are correct

$60m

$30m

$70m

Question 11

9 / 10 pts

Please briefly explain Dodd-Frank Act and Stress Testing. What are the major points? How are they different from Basel regulations?

Question 12

8 / 10 pts

Please explain important concepts in Margin Lending. Relate discussion to Twitter buyout.