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1、Which of the following best describes the relationship betweenleverage, margin calls, position size, and liquidity as presented in theLong-Term Capital Management case?

　　a. Leverage allows a firm to establishlarge positions than can generate large margin calls and force, liquidationsthat can exacerbate declining market prices.

　　b. Leverage can help offset the risk ofbeing unable to meet large margin calls generated from large positions, therebyincreasing a firm's liquidity.

　　c. Margin calls create leverage that canforce a firm to assume illiquid positions even in small trades.

　　d. Margin calls decrease the liquidity of aposition unless the firm uses leverage to decrease the size of a hedge.

　　答案解析：a

金程frm解析：LTCM assumed an enormous degree o(levernge, in part.because financial insumtions with which they dealt waived margin requirements.]heir balance sheer, leverage was magnified by the economic Ievel of thepositions they assumed. As a result, their positions were extremely large.particularly in relation m the limited liquidity in some of the markers. Whenchanges in asses prices created significant marked-marker losses, LTCM did nothave the equity en sneer the margin calls due to their high degree of leverage.They were therefore forced so liquidate large illiquid positions, which moved markerprim in such a way as to create more margin calls and more forced liquidation. (SeeBook 1. Topic 6))

2、Bank regulators are examining the loan portfolio of a large, diversified lender. The regulators main concern is that the bank remains solvent during turbulent economic times. Which of the following is most likely the area that the regulator will want to focus on?

　　a. Expected loss, since each asset can expect, on average, to decline in value from a positive probability of default.

　　b. Expected loss, given the increase in underwriting standards of new loans.

　　c. Unexpected loss, since the bank will need to set aside additional capital for the unlikely event that recovery rates are larger than expected.

　　d. Unexpected loss, since the bank will need to set aside additional capital for the unlikely event that default losses are larger than expected.

　　答案解析：選D

金程frm解析：Unexpected loss is a measure of the variation in expected loss. As a precaution, the bank needs to set aside sufficient capital in the event that actual losses exceed expected losses with a reasonable likelihood. (Sec Book 2, Topic 53)

3、The current price of astock is $25. A put option with a $20 strike price that expires in six monthsis available. N(-d1) = 0.0263 and N(-d2) = 0.0349. If theunderlying stock exhibits an annual standard deviation of 25%, and the current continuouslycompounded risk-free rate is 4.25%, theBlack-Scholes-Merton value of the put is closest to:

　　a.$5.00.

　　b.$3.00.

　　c.$1.00.

　　d.$0.03.

　　答案解析：選d

　 金程frm解析：　P = ($20X e -0.0425x0.5X0.0349)-($25X0.0263) =$0.02582≈$0.03

4、Which of the following statements regarding option"Greeks" is(are) correct?

　　I. Vega measures the sensitivity of optionprices to changes in volatility.

　　II. Forward instruments cannot be used tocreate gamma-neutral positions.

　　III. Rho is a much more important riskfactor for equities than for fixed-income derivatives.

　　IV. Theta represents the expected change indelta For a change in the value of the underlying.

　　a. I and III only.

　　b. I and II only.

　　c. IV only.

　　d. I, II, and IV.

　　答案解析：選 B

金程frm解析：Gamma represents the expected change indelta for a change in the value of the underlying. Large changes in rates haveonly small effects on equity option prices, so rho is a more important riskfactor for fixed-income derivatives. (See Book 2, Topic 42)

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