The estimated default frequency in kmv model are

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69.The estimated default frequency in KMV model are calculated using:I. bond spreads.II.asset volatilities.III.balance sheet itemsIV.onte Carlo simulation.A. I and II.
学服:021-61531172咨询:400-600-8011邮箱:[email protected]网站:|高顿财经国际财经证书培训领导品牌B. I and IV.C. II and III.D. III and IV.70.A major acquisition has just been announced, targeting company B. The bid from Company A is an exchangeoffer with a ratio of 2. Just after the announcement, the prices of A and B are $50 and $90, respectively. A hedgefund takes a long position in company B hedged with A's stock. After the acquisition goes through, the pricesmove to $120 and$60. For each share of B, the gain isA.$30B.$20C.$10D.$0 since the acquisition is successful71.If the mean P/E of 30 stocks in a certain industrial sector is 18 and the sample standard deviation is 3.5,standard error of the mean is CLOSEST to:A. 0.12.B. 0.34.C. 0.64.D. 1.56.72.Which of the following methods can be used to measure corporate "Cash-Flow at Risk"?I. Delta Normal.II.Historical Simulation.III.Monte Carlo Simulation.A.I and II.B.I and III.C.II and III.D.I, II and III.
学服:021-61531172咨询:400-600-8011邮箱:[email protected]网站:|高顿财经国际财经证书培训领导品牌73.Which of the following statements regarding the beta distribution used in the modeling of recovery functionsis FALSE?A. The beta distribution does not fit bimodal recovery functions well.B. The beta distribution only requires two inputs for calibration.C. The beta distribution is a nonparametric distribution.D. The beta distribution can be skewed, symmetric, or convex.74.Hedge fund managers following a convertible arbitrage strategy are said to be:A. long gamma and short vegaB. short gamma and short vegaC. long gamma and long vegaD. short gamma and long vega75.Suppose that the yield on 1-year Treasury zero is 2% and the constant, cumulative probability of default onAAA bonds is 1%. If the recovery rate in the case of default is zero, what is the continuous compounded yield onAAA 1-year zero?A. 2.98%.B. 3.00%.C. 3.01%.D. 3.03%.76.The 1-year US dollar interest rate is 3% and the 1-year Canadian dollar interest rate is 4.5%. The currentUSD/CAD spot exchange rate is 1.5000. Calculate the 1-year forward rate.A.1.5225B.1.5218C.1.5207D.1.5199

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Term
Winter
Professor
lintao
Tags
Normal Distribution, Variance, Capital Asset Pricing Model, Modern portfolio theory, analyst

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