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2016-FRR – Financial Risk and Regulation (FRR) Series

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Showing 1–3 of 15 questions

Question 1 (Volume B)

Which of the following statements about the option gamma is correct? Gamma is the

I. Second derivative of the option value with respect to the volatility.

II. Percentage change in option value per percentage change in the price of the underlying instrument.

III. Second derivative of the value function with respect to the price of the underlying instrument.

IV. Rate of change of the option delta with respect to changes in the underlying price.

Select an option, then click Submit answer.

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    I only
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    II and III
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    III and IV
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    II, III, and IV
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    Second derivative of the option value with respect to the volatility.

    II. Percentage change in option value per percentage change in the price of the underlying instrument.

    III. Second derivative of the value function with respect to the price of the underlying instrument.

    IV. Rate of change of the option delta with respect to changes in the underlying price.
Question 2 (Volume A)

Which one of the following four models is typically used to grade the obligations of small- and medium-size enterprises?

Select an option, then click Submit answer.

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    Causal models
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    Historical frequency models
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    Credit scoring models
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    Credit rating models
Question 3 (Volume C)

For a bank a 1-year VaR of USD 10 million at 95% confidence level means that:

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    There is a 5% chance that the bank would lose less than USD 10 million in a year.
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    There is a 5% chance that the bank would lose more than USD 10 million in a year.
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    There is a 5% chance that the worst loss would be USD 10 million in a year.
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    There is a 5% chance that the least loss would be USD 10 million in a year.