目錄第一章測試第二章測試第三章測試第四章測試第五章測試第六章測試第七章測試第八章測試第九章測試第一章測試1【單選題】

(2分)WhichformuladescribetheCapitalAssetPricingModel?（）

A.

B.

C.2【多選題】

(2分)WhichofthefollowingdescriptionsaretheassumptionforCapitalAssetPricingModel?（）

A.Allinvestorsmakethesameestimatesof

.

B.The

'sofdifferentinvestmentsareindependent.

C.Investorscareonlyaboutexpectedreturnandstandarddeviationofreturn.

D.Taxdoesnotinfluenceinvestmentdecisions.

E.Investorsfocusonreturnsoveroneperiod.

F.Allinvestorscanborroworlendatthesamerisk-freerate.3【單選題】

(2分)Thereturnfromthemarketlastyearwas10%andtherisk-freeratewas5%.Ahedgefundmanagerwithabetaof0.6hasanalphaof4%.Whatreturndidthehedgefundmanagerearn?（）

A.0.10

B.0.15

C.0.124【單選題】

(2分)SupposetheS&P500Indexhasanexpectedannualreturnof7.2%andvolatilityof8.2%.SupposeAndromedaFundhasanexpectedannualreturnof6.8%andvolatilityof7.0%andisbenchmarkedagainsttheS&P500Index.AccordingtotheCAPM,iftherisk-freerateis2.2%peryear,whatisthebetaoftheAndromedaFund?（）

A.0.20

B.0.92

C.1.23

D.0.905【判斷題】

(2分)IfabondissuedbyacompanyhavearatingofAAA,thecompanygenerallycannotbereferredtoashavingaratingofAA.（）

A.對

B.錯第二章測試1【單選題】

(2分)WhichofthefollowingtablereflectsthechangeofstructureofbankingintheUnitedStatesbetween1984and2017?（）

A.

B.

C.2【單選題】

(2分)________measuresthereturntostockholdersontheirinvestmentinthebank.Itistheproductofnetprofitmargin,assetutilizationandtheequitymultiplier.（）

A.Netprofitmargin

B.ROE

C.ROA3【判斷題】

(2分)LoanlossesontheincomestatementofDLCBankisassociatedwithoperationalrisk.（）

A.錯

B.對4【判斷題】

(2分)NetinterestincomeontheincomestatementofDLCBankisassociatedwithmarketrisk.（）

A.對

B.錯5【判斷題】

(2分)Non-interestexpenseontheincomestatementofDLCBankisassociatedwithcreditrisk.（）

A.錯

B.對第三章測試1【多選題】

(2分)Selectoneormorecorrectstatementsabouttheperformanceofhedgefund:

（）

A.TheBarclaysHedgeFundIndexshowsthathedgefundsoutperformedthemarketin2008,butnotbetween2009and2016

B.Manyhedgefundstrategieshavelowbetasandthereforecannotbeexpectedtooutperformthemarketwhenitisdoingwell

C.Thestatisticsmaybiasaveragehedgefundperformanceupwardbecauseonlyhedgefundsthatchoosetoreporttheirreturnsareincludedinthestatisticsandthesetendtobethehedgefundsthataredoingwell2【單選題】

(2分)Afundoffundsdividesitsmoneybetweenfivehedgefundsthatearn–5%,1%,10%,15%,and20%beforefeesinaparticularyear.Thefundoffundscharges1plus10%andthehedgefundscharge2plus20%.Thehedgefunds’incentivefeesarecalculatedonthereturnaftermanagementfees.Thefundoffundsincentivefeeiscalculatedonthenet(aftermanagementfeesandincentivefees)averagereturnofthehedgefundsinwhichitinvestsandafteritsownmanagementfeehasbeensubtracted.Whatistheoverallreturnontheinvestments?（）

A.10.2%

B.5.4%

C.8.2%3【判斷題】

(2分)Long/shortfundstendtoinvestprimarilyinpubliclytradedequityandtheirderivatives,andtendtobeshortbiased.（）

A.錯

B.對4【判斷題】

(2分)Globalmacrostrategyinvolvesbothdirectionalanalysis,whichseekstopredicttheriseordeclineofacountry’seconomy,aswellasrelativeanalysis,evaluatingeconomictrendsrelativetoeachother.（）

A.錯

B.對5【判斷題】

(2分)Globalmacrofundsarenotconfinedtoanyspecificinvestmentvehicleorassetclass,andcanincludeinvestmentinequity,debt,commodities,futures,currencies,realestateandotherassetsinvariouscountries.（）

A.錯

B.對第四章測試1【判斷題】

(2分)Whenatraderentersintoashortforwardcontractwhentheforwardpriceis$50,thetraderisobligatedtobuytheassetfor$50.(Thetraderdoesnothaveachoice).（）

A.對

B.錯2【單選題】

(2分)Aninvestorentersintoashortforwardcontracttosell100,000BritishpoundsforU.S.dollarsatanexchangerateof1.3000U.S.dollarsperpound.Howmuchdoestheinvestorgainorloseiftheexchangerateattheendofthecontractis1.3900?（）

A.$9,000

B.-$9,000

C.-$1,0003【單選題】

(2分)AFrenchbankentersintoa6-monthforwardcontractwithanimportertosellGBP60millionin6monthsatarateofEUR1.15perGBP1.Ifin6monthstheexchangerateisEUR1.13perGBP1,whatisthepayoffforthebankfromtheforwardcontract?（）

A.EUR-1,200,000

B.EUR1,200,000

C.EUR-2,000,0004【判斷題】

(2分)Whenatraderintendstoshortselling,hisbrokerwouldborrowthesecuritiesfromanotherclientandselltheminthemarketintheusualway.（）

A.錯

B.對5【判斷題】

(2分)Whenatradershortssellingastock,hemustpaydividendandotherbenefitstheownerofthesecuritiesreceives.（）

A.對

B.錯第五章測試1【單選題】

(2分)A/An______isanABScreatedfromparticulartranches(e.g.,theBBB-ratedtranches)ofanumberofdifferentABSs.（）

A.ABSCDO

B.ABS

C.CDO2【判斷題】

(2分)AnABSisasetoftranchescreatedfromaportfolioofloans,bonds,creditcardreceivables,andsoon.（）

A.對

B.錯3【單選題】

(2分)SupposetheABSsandABSCDOstructureisjustlikethefollowingtable.Ifthelossrateonthemortgagesis12%,whatisthelossrateonthemezzaninetrancheoftheABSCDO?

（）

A.100%

B.0%

C.20%4【判斷題】

(2分)TherisksinABSCDOswereusuallymisjudgedbythemarket.Becauseinvestorsoverestimatedhowhighthedefaultcorrelationsbetweenmortgageswouldbeinstressedmarketconditions.（）

A.對

B.錯5【判斷題】

(2分)TherisksinABSCDOswereusuallymisjudgedbythemarket.BecauseinvestorsalsodidnotalwaysrealizethatthetranchesunderlyingABSCDOswereusuallyquitethinsothattheywereeithertotallywipedoutoruntouched.（）

A.對

B.錯第六章測試1【單選題】

(2分)Supposethedeltaofacalloptionis0.7.Howcanashortpositionin1,000optionsbemadedeltaneutral?（）

A.Purchase700shares.

B.Short700shares.

C.Purchase1,000shares.2【單選題】

(2分)ThegraphshowstherelationshipbetweenoneoftheGreeksofalongpositionofanEuropeancalloptionandthestockprice.CanyouguesswhichofthefollowingGreeksisforthey-axis?

（）

A.delta

B.vega

C.gamma3【單選題】

(2分)Thegammaofadelta-neutralportfoliois30.Estimatewhathappenstothevalueoftheportfoliowhenthepriceoftheunderlyingassetsuddenlydecreasesby$2.（）

A.Thevalueoftheportfolioincreasesby$60.

B.Thevalueoftheportfolioincreasesby$120.

C.Thevalueoftheportfoliodecreasesby$60.4【單選題】

(2分)AportfolioofstockAandoptionsonstockAiscurrentlydeltaneutral,buthasapositivegamma.Whichofthefollowingactionswillmaketheportfoliowithbothdeltaandgammaneutral?（）

A.BuyputoptionsonstockAandbuystockA

B.BuycalloptionsonstockAandsellstockA

C.SellputoptionsonstockAandsellstockA

D.SellcalloptionsonstockAandsellstockA5【單選題】

(2分)Whichofthefollowingstatementsistrueregardingoptions'Greeks?（）

A.Deltaofdeepin-the-moneyputoptionstendstowards+1.

B.Thetatendstobelargeandpositiveforat-the-moneyoptions.

C.Vegaisgreatestforat-the-moneyoptionswithlongtimesremainingtoexpiration.

D.Gammaisgreatestforin-the-moneyoptionswithlongtimesremainingtoexpiration.第七章測試1【單選題】

(2分)Afive-yearbondwithayieldof11%(continuouslycompounded）paysan8%couponattheendofeachyear.Whatisthebond'sduration?（）

A.3.982

B.4.256

C.4.5362【單選題】

(2分)Atradingportfolioconsistsoftwobonds,A1andB1.Bothhavemodifieddurationof3yearsandfacevalueof$1,000.BondA1isazero-couponbond,anditscurrentpriceis$900.BondB1paysannualcouponsandispricedatpar.WhatisexpectedtohappentothemarketpricesofbondA1andbondB1,indollarterms,ifthereisaparallelupwardshiftintheyieldcurveof1%?（）

A.Bothbondpriceswillmoveup,butbondB1willgainmorethanbondA1.

B.Bothbondpriceswillmovedown,butbondB1willlosemorethanbondA1.

C.Bothbondpriceswillmovedownbyroughlyequalamounts.3【判斷題】

(2分)Durationisameasureofhowlongthebondholderhastowaitforcashflows.（）

A.錯

B.對4【單選題】

(2分)Thetablegivestheclosingpricesandyieldsofaparticularliquidbondoverthepastfewdays.Whatistheapproximatedurationofthebond?

（）

A.18.8

B.1.9

C.9.45【判斷題】

(2分)Modifieddurationisusedwhentheyieldyisexpressedwithcompoundingmtimesperyear.（）

A.對

B.錯第八章測試1【單選題】

(2分)Thevolatilityofanassetis2%perday.Whatisthestandarddeviationofthepercentagepricechangeinfivedays?（）

A.2.52%

B.4.47%

C.3.46%2【單選題】

(2分)TheparametersofaGARCH(1,1)modelareestimatedasω=0.000004,α=0.05,andβ=0.92.Whatisthelong-runaveragevolatility?（）

A.0.00133%

B.1.155%

C.1.562%3【單選題】

(2分)Supposethatthepriceofanassetatcloseoftradingyesterdaywas$300anditsvolatilitywasestimatedas1.3%perday.Thepriceatthecloseoftradingtodayis$298.WhatisthenewdailyvolatilityusingtheGARCH(1,1)modelwithω=0.000002,α=0.04,andβ=0.94?（）

A.1.165%

B.1.275%

C.1.271%4【判斷題】

(2分)AvarianceestimatefromtheGARCH(1,1)modelisalwaysbetweenthepriorday'sestimatedvarianceandthepriorday'ssquaredreturn.（）

A.對

B.錯5【判斷題】

(2分)GARCH(1,1)isconsistentwithamean-revertingvarianceratemodel.（）

A.對

B.錯第九章測試1【單選題】

(2分)Afundmanagerannouncesthatthefund'sone-month95%VaRis6%ofthesizeoftheportfoliobeingmanaged.Youhaveaninvestmentof$100,000inthefund.Whichofthefollowingoptionsinterprettheportfoliomanager'sannouncementbest?（）

A.Thereisa5%chancethatyouareexpectedtolose$6,000duringaone-monthperiod.

B.Thereisa5%chancethatyouwilllose$6,000atmostduringaone-monthperiod.

C.Thereisa5%chancethatyouwilllose$6,000ormoreduringaone-monthperiod.2【單選題】

(2分)Suppo