[工程科技]2004_Financial_Risk_Manager_Examination.pdf

2004 Financial Risk Manager Examination Morning Session 1. Company ABC was incorporated on January 1, 2004. It has an expected annual default rate of 10%. Assuming a constant quarterly default rate, what is the probability that company ABC will not have defaulted by April 1, 2004? a. 2.40％ b. 2.50％ c. 97.40％ d. 97.50％ 2. An option on a stock has a payoff equal to the square of the positive excess of the stock price over the exercise price at expiration only if the stock exhibits an annual growth rate of 15% or more every year. Given the following assumptions and using a three-step binomial model and rounding to the nearest USD, which of the following would be the option’s price?  Time to expiration is three years.  Current price is USD 10.  The annual standard deviation is 15%.  The risk-free interest rate is 5% per year.  The strike price is USD 10.  Assume the stock pays no dividends. a. USD 7 b. USD 8 c. USD 9 d. USD 10 3. Let h, be the variance at t and r2t-1 ，the squared return at t-1. Which of the following GARCH models will take the shortest time to revert its mean? a. h = 0.02 +0.06r2 +0.93h 1 t-1 t-1 b. h = 0.03 +0.04r2t-1 +0.94h 1 t-1 c. h = 0.04 +0.05r2 +0.95h 1 t-1 t-1 d. h = 0.05 +0.01r2 +0.96h 1 t-1 t-1 4. Albert Henri is the fixed income manager of a large Canadian pension fund ．The present value of the pension fund’s portfolio of assets is CAD 4 billion while the expected present value of the fund’s liabilities is CAD 5 billion. The respective modified durations are 8.254 and 6.825 years. The fund currently has an actuarial deficit (assets liabilities) and Albert must avoid widening