单选题 The CFO and CRO at a French property-casualty insurer are discussing the impact recent flooding in Europe is having on their company. They are concerned about a surge in property insurance claims causing the company’s regulatory capital to fall below the solvency capital requirement (SCR) prescribed under Solvency II. Which of the following would be a result of this situation?

单选题 Dutch tulip mania is considered one of the first major financial bubbles. It occurred in 1636-37 when introduction of tulips imported from Turkey generated extremely high demand which led to an astronomical jump in prices. Tulips were first traded as forward contracts, but the government passed laws allowing certain contracts to be transformed to options contracts. Short selling was strictly prohibited. After the price of tulips rose so high that a single bulb exceeded the cost of an average home, the price collapsed, and many investors went bankrupt. Which of the features of exchange markets listed below would have helped to prevent or mitigate the tulip mania?

单选题 A credit risk analyst at a wholesale bank is estimating annual default probabilities of a 5-year loan that has just been extended to a corporate borrower. The analyst determines from rating agency data that the 5-year cumulative default probability of bonds from this borrower with identical terms and seniority is 6.2%, and uses this information to calculate the 5-year survival rate for the borrower. If the borrower’s average hazard rate for the first 4 years of the loan is 1.1%, what is the unconditional default probability of the borrower during year 5 of the loan?

单选题 A risk analyst at a hedge fund is conducting a historical simulation to estimate the ES of a portfolio. The value of the portfolio at market close of any given day depends on the price of a stock and the level of an interest rate at the close of that day. The analyst uses closing values of these variables on the most recent 501 trading days as the historical dataset for the simulation and collects the following data, with Day 0 representing the first data point and Day 500 representing the last data point of the historical period: | Day | Stock price (HKD) | Interest rate (%) | |----|------------------|------------------| | 0 | 76.00 | 2.50% | | 1 | 72.00 | 2.60% | | 500| 94.00 | 3.80% | What stock price and interest rate would be most appropriate for the analyst to use in the scenario of the historical simulation for Day 501?

单选题 A risk manager at a bank is presenting at a seminar on derivative contracts to a group of newly hired junior analysts. The manager focuses on the features and uses of derivative contracts traded by financial market participants. Which of the following statements, if made by the manager, would be correct regarding these derivative contracts?

单选题 A risk manager at a bank is speaking to a group of analysts about estimating credit losses in loan portfolios. The manager presents a scenario with a portfolio consisting of two loans and provides information about the loans as given below: | | Loan 1 | Loan 2 | |--------------|--------------|--------------| | Amount borrowed | CNY 15 million| CNY 20 million| | Probability of default | 2% | 2% | | Recovery rate | 40% | 25% | | Default correlation between Loan 1 and Loan 2 | 0.6 | 0.6 | Assuming portfolio losses are binomially distributed, what is the estimate of the standard deviation of losses on the portfolio?

单选题 A portfolio manager is assessing whether the 1-year probability of default of a longevity bond issued by a life insurance company is uncorrelated with returns of the equity market. The portfolio manager creates the following probability matrix based on 1-year probabilities from the preliminary research: | | Longevity bond | |--------------|---------------| | Market returns| No default | Default | | 20% increase | 61% | 1% | | 20% decrease | 35% | 3% | Given the information in the table, what is the probability that the longevity bond defaults in 1 year given that the market decreases by 20% over 1 year? (缺图)

单选题 An analyst wants to price a 6-month futures contract on a stock index. The index is currently valued at USD 750 and the continuously compounded risk-free rate is 3.5% per year. If the stocks underlying the index provide a continuously compounded dividend yield of 2.0% per year, what is the price of the 6-month futures contract?