Hull_OFOD9e_MultipleChoice_Questions_Only_Ch08 - Hull...

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Hull: Options, Futures, and Other Derivatives, Ninth Edition Chapter 8: Securitization and the Credit Crisis of 2007 Multiple Choice Test Bank: Questions 1. Which of the following tends to lead to an increase in house prices? A. An increase in interest rates B. Regulators specifying a maximum level for the loan-to-value ratio on mortgages C. Banks reducing the minimum FICO score that borrowers are required to have D. An increase in foreclosures 2. Which of the following is true of a non-recourse mortgage? 3. Which of the following is NOT true 4. Suppose that ABSs are created from portfolios of subprime mortgages with the following allocation of the principal to tranches: senior 80%, mezzanine 10%, and equity 10%. (The portfolios of subprime mortgages have the same default rates.) An ABS CDO is then created from the mezzanine tranches with the same allocation of principal. Losses on the mortgage portfolio prove to be 16%. What, as a percent of tranche principal, are losses on the mezzanine tranche of the ABS
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  • Fall '13
  • yuriyzabolotnyuk
  • Derivatives, Options, Subprime mortgage crisis, Tranche, subprime mortgages, ABS CDO

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