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16. Consider two portfolios： Portfolio I consists of 100 bonds， each rated AAA， all weighted equally； and Portfolio II consists of 20 bonds， each rated A， all weighted equally. The 1-year default probabilities of AAA and A bonds are 0.1% and 0.5% respectively in this country. Assume that the event of default on any bond is independent of default on others. Which one of the following statements is TRUE？
A. The probability of observing no default in Portfolio I is lower than in Portfolio II.
B. The probability of observing no default in Portfolio I is higher than in Portfolio II.
C. The probability of observing no default in Portfolio I is roughly the same as Portfolio II.
D. Insufficient information， we need to know the recovery rates.
Correct answer： C
Probability (no default in Portfolio I) = (1-0.1%)^100 =90.48%. Probability (no defaultin Portfolio II) = (1-0.5%)^20 =90.46%. Notes：1The question does not ask you to compute expected loss， so you do not need to know the recovery rates.2Even though both portfolios have the same probability of not defaulting， the loss in the event of a single default will be much lower in case of portfolio I than portfolio II.In this question， you are not concerned with it. Hence the answer is counter-intuitive.
17. Which of the following statements describe a property of bond convexity？ Convexity：
I. increases as yields increase.
II. increases with the square of maturity.
III. measures the rate of change in duration.
IV. increases if the coupon on a bond is decreased.
A. II and III only.
B. I and III only.
C. II and IV only.
D. III and IV only.
Correct answer ：A
Convexity is inversely related to yield and is directly related to the coupon rate on a bond.Convexity is the second derivative of price with respect to yield， which means that convexity measures the rate of change in duration. Convexity increases with the square of maturity.
18. To control risk-taking by traders， your bank links trader compensation with their compliance with imposed VaR limits on their trading book. Why should your bank be careful in tying compensation to the VaR of each trader？
A. It encourages trader to select positions with high estimated risks， which leads to an underestimation of the VaR limits.
B. It encourages trader to select positions with high estimated risks， which leads to an overestimation of the VaR limits.
C. It encourages trader to select positions with low estimated risks， which leads to an underestimation of the VaR limits.
D. It encourages trader to select positions with low estimated risks， which leads to an overestimation of the VaR limits.
Correct answer： D
D 首先，由于此項(xiàng)政策的推出，必定導(dǎo)致交易員選擇風(fēng)險(xiǎn)較小的資產(chǎn)進(jìn)行投資其次，為了不受到懲罰或者希望的到根據(jù)新政策規(guī)定的提供的更多的報(bào)酬的目的，交易員必定控制自己的風(fēng)險(xiǎn)低于VaR limit，導(dǎo)致VaR limit被高估了。
19. An analyst wants to test whether the mean spending by tourists coming to a holiday resort is equal to or less than $2，000 with a 1 percent level of significance. He finds that the average spending by 16 tourists is $2，200 and the standard deviation of the population is $400. The critical value of the Z statistic for this study is：
A. 1.65.
B. -1.96.
C. 2.33.
D. 2.58.
Correct answer： C
Since this is a one-tailed test with a 0.01 significance level the critical Z value is 2.33.
20. Bank Z， a medium-size bank， uses only operational loss data from internal records to model its loss distribution from operational risk events. The bank reviewed its records， and， after confirming that they were complete records of its historical losses and that its losses could be approximated by a uniform distribution， it decided against using external loss data to estimate its loss distribution. Based on that decision， which of the following statements is correct？
A. The estimated loss distribution likely accurately represents Bank Z‘s real risk because the records are accurate and complete.
B. The estimated loss distribution likely overtakes bank Z’s real risk because many incidences in the past were likely “one off.”
C. The estimated loss distribution likely is the best estimate of Bank Z‘s real risk because there is no better loss data for the bank than its own.
D. The estimated loss distribution likely understates Bank Z’s real risk because the bank has not experienced a huge loss.
Correct answer： D
D 由于該公司的Loss Distribution近似于一個(gè)Uniform distribution，可以推測(cè)該公司損失的次數(shù)比較小，且大小相近或相似，其原因大致可歸類于數(shù)據(jù)選取的偏差，原因可能是由于公司剛成立不久，數(shù)據(jù)量不夠大，還沒(méi)有經(jīng)歷過(guò)比較極端巨大的損失所造成的。
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