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

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Showing 4–6 of 15 questions

Question 4 (Volume B)

Which of the following statements about parametric and nonparametric methods for calculating Value-at-risk is correct?

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    Parametric methods generally assume returns are normally distributed, and non-parametric methods make no assumptions about return distributions.
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    Parametric methods make no assumptions about return distributions, and non-parametric methods assume returns are normally distributed.
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    Both parametric and nonparametric methods assume returns are normally distributed.
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    Both parametric and nonparametric methods make no assumptions about return distributions.
Question 5 (Volume B)

To estimate the forward price of oil, a commodity trader would most likely use the following pricing relationship:

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    Oil forward price = Expected future oil price ± Oil market risk premium
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    Oil forward price = Expected future oil price ± storage cost + Oil market risk premium
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    Oil forward price = Expected future oil price ± Oil storage cost + (1 + Oil market risk premium)
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    Oil forward price = Expected future oil price ± Oil storage cost + (1 - Oil market risk premium)
Question 6 (Volume C)

Bank Alpha is making a decision about lending 10-year loans in a sector that is fairly illiquid and is looking at various options to fund the loans. Which of the following options to fund the loans exhibits the most exogenous liquidity risk?

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    Overnight interbank markets
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    The 6-month LIBOR markets
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    The 1-year treasury markets
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    Foreign exchange markets