Education
- Overview
- 01 Introduction to ERM
- 02 External risk frameworks
- 03 The ERM process
- 04 Risk classification
- 05 Risk measurement
- 06 Introduction to risk modelling
- 07 Quantitative analysis of financial data
- 08 Further risk modelling
- 09 Analysis of different types of risk
- 10 Risk optimisation and responses to risk
- 11 Risk Mitigation
- 12 Capital Management
Analysis of Different Types of Risk
These questions cover the assessment of market, credit and other risks
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Question 1 of 5
1. Question
Match each of the following types of credit spread to the appropriate definition
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- The difference between the gross redemption yield on a bond and the reference treasury bond
- The addition to the risk-free rate required to value cash flows at the market price of a bond
- The average addition to the risk-free rate required to equate the average value of cash flows at the market price of a bond
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Nominal spread
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Static spread
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Option-adjusted spread
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Question 2 of 5
2. Question
Which of the following is (or are) a feature of a good benchmark?
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It should be possible to buy all components of a benchmark, and a good benchmark should reflect an investor’s style and objectives
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Question 3 of 5
3. Question
Which of the following statements about the Merton credit model is (or are) true, holding all other variables constant?
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The longer into the future we look, the more likely a default must become; but an increase in the value of the firm lowers this probability
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Question 4 of 5
4. Question
Which of the following can affect the expected recovery on a defaulted bond?
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All of these factors can be relevant
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Question 5 of 5
5. Question
When using principal component analysis to model forward interest rates, which of the following statements is (or are) generally true?
Correct
The first principal component generally represents changes in the level of the yield curve, the second the slope and the third the curvature
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