1. HB第300頁12.8怎么做，答案為什么要乘以3?
　　EXAMPLE 12.8: MARKET RISK CHARGE
　　The 95%, one-day Risk Metrics VAR for a bank trading portfolio is $1,000,000. What is the approximate general market risk charge, as defined in 1996?
　　A. $3,000,000
　　B. $9,500,000
　　C. $4,200,000
　　D. $13,400,000
　　Answer: D
　　答疑：本題考查的是巴塞爾協(xié)議1996年修訂案中內部模型法的內容，具體的計算公式參見HB P299。3是巴塞爾協(xié)議規(guī)定的一個乘數(shù)，是對銀行自己估計的風險的調整。這個乘數(shù)最小的設定值是3。此題將給出的VaR視作平均VaR來進行計算。
　
　　2. EXAMPLE 23.9: FRM EXAM 2008-QUESTION 3-31
　　Helman Bank has made a loan of USD 300 million at 6.5% per annum. Helman enters into a total return swap under which it will pay the interest on the loan plus the change in the marked-to-market value of the loan, and in exchange Helman will receive LIBOR+50 bps. Settlement payments are made semiannually. What is the cash flow for Helman on the first settlement date if the mark-to-market value of the loan falls by 2% and LIBOR is 4%?
　　A. Net inflow of USD 9.0 million
　　B. Net inflow of USD 12.0 million
　　C. Net outflow of USD 9.0 million
　　D. Net outflow of USD 12.0 million
　　答案選擇Net cash outflow 9M, 我認為答案錯誤，此題無答案。因為TRS中，marked to market price of loan drop 2%，所以流出現(xiàn)金流應該是貸款利率(6.5%/2-2%)，而不是解答中的+2%。書中例題對價格減少也是“-”處理，不是“+”，所以我認為解答是錯誤的。
　　答疑：此題答案確實有問題
　　由于是半年結算，在*9筆結算時的現(xiàn)金流包括：
　　支付：
　　利息：300*6.5%/2=9.75
　　溢價：-300*2%=-6
　　收入：
　　300*（4%+0.5%）/2=6.75
　　凈現(xiàn)金流：3;（參閱HB P567）
　　3. Handbook，p596，24.5這個題目不是很理解，感覺不是嚴密，求解
　　EXAMPLE 24.5：CREDIT VAR FOR ONE BOND
　　A risk analyst is trying to estimate the credit VAR for a risky bond. The credit VAR is defined as the maximum unexpected loss at a confidence level of 99.9% over a one-month horizon. Assume that the bond is valued at $1,000,000 one month forward, and the one-year cumulative default probability is 2% for this bond. What is the best estimate of the credit VAR for the bond, assuming no recovery?
　　A. $20,000
　　B. $1,682
　　C. $998,318
　　D.  $0
　　Answer: C
　　答疑：這道題首先告訴我們計算的是信用風險的VAR，信用風險的VAR的計算一般需要我們計算的是worst credit loss或者unexpected credit loss。而這邊告訴我們這個VAR是*5的unexpected loss，所以需要用worst credit loss – expected loss。那么我們需要求解的就是WCL和ECL。這邊給出的PD是年的，但是需要計算的VAR是月的，所以要通過PD的折算方法折算到一個月的。并且，這邊說了no recovery，所以LGD=1，Exposure = $1,000,000，有了這些信息首先可以求出ECL=1,682。然后我們來看WCL（handbook P589），由于LGD = 1，所以只有兩種情況，一種是不違約沒有損失，一種就是違約全部損失。根據(jù)我們之前換算出的一個月的PD = 0.1682%，因此99.9%的分位點是違約的情況，所以WCL = $1,000,000，因此最終求得的credit VAR = 1,000,000-1,682 = 998,318.
　　4. 請問下p607頁24.12這個題目
　　EXAMEPLE 24.12: FRM EXAM 2007-QUESTION 59
　　You are given the following information about a firm. The market value of assets at time 0 is 1,000; at time 1 is 1,200. Short-term debt is 500; long-term debt is 300. The annualized asset volatility is 10%. According to the KMV model, what are the default point and the distance to default at time 1?
　　A. 800 and 3.33
　　B.650 and 7.50
　　C.650 and 4.58
　　D.500 and 5.83
　　Answer: C
　　答疑：
　　(handbook P602),這道題要注意兩個問題，首先題目中問的是“at time 1”所以采用1200，另外給出的波動率是百分比形式，所以要乘以1200。
　　5.問下老師，TED價差是怎么回事？
　　答疑：The credit spread between Eurodollar Libor and Treasuries is known as the TED spread. 可以理解為銀行間同業(yè)拆借利率和國債利率的差額。由于國債利率可以看成無風險利率，而銀行間同業(yè)拆借利率反映了銀行間借貸的成本及信用風險，所以這個價差既反映信用風險，又反映了市場上的流動性問題。
　　6.EXAMPLE 30.5: RISKS IN FIXED-INCOME ARBITRAGE
　　Identify the risks in a fixed-income arbitrage strategy that takes long positions in interest rate swaps hedged with short positions in Treasuries.
　　A. The strategy could lose form decreases in the swap – Treasury spread.
　　B. The strategy could lose from increases in the Treasury rate, all else fixed.
　　C. The payoff in the strategy has negative skewness.
　　D. The payoff in the strategy has positive skewness.
　　Answer: C
　　答疑：fixed-income arbitrage采用的是duration match的方式，建議看一下handbook P760長期資本管理公司的案例幫助理解?？偟膩碚f，這個策略在swap-treasury spread （swap rate - treasury rate）增大的時候是虧錢的。而通常情況下這個spread增大的可能性是無限的，而縮小的可能性是有限的，因此這種策略的收益是有限的，但損失是無限的，所有payoff是左偏的，也就是負偏的。
　　7. EXAMPLE 30.6: RISKS IN CONVERTIBLE ARBITRAGE
　　Identify the risk in a convertible arbitrage strategy that takes long positions in convertible bonds hedged with short positions in Treasuries and the underlying stock.
　　A. Short implied volatility
　　B. Long duration
　　C. Long stock delta
　　D.  Positive gamma
　　Answer: D
　　答疑：convertible arbitrage strategy的基本策略是購買可轉債，然后賣出國債和股票來進行duration對沖和delta對沖，對沖可轉債的線性風險。因此這種策略中duration和delta都是中性的。而可轉債的非線性風險還是存在的，可轉債相當于買入一個一般債券+買入一個股票的看漲期權，所以存在的風險應該是正的vega以及正的gamma。
　　8.  How would you describe the typical price behavior of a low premium mortgage pass-through security？
　　A. It is similar to a U.S. Treasury bond.
　　B. It is similar to a plain vanilla corporate bond.
　　C. When interest rates fall, its price increase would exceed that of a comparable duartion U.S. Treasury.
　　D. When interest rates fall, its price increase would lag that of a comparable duration U.S. Treasury.
　　答疑：這道題主要考察的是提前償付問題，mortgage pass-through security通常存在提前償付的問題，一旦利率下降，借款人可以以更低的利率進行融資，因此會提前償還之前的借款，然后重新借入一筆利息更低的借款。所以這樣的債券當利率下降的時候價格雖然會上升，但是相對于普通的的債券來說上升得比較少。
　　9. Trader A purchases a down-and-out call with a strike price of USD 100 and a barrier at USD 96 from Trader B. Both traders need to unwind their delta hedge at the barrier. Which trader is more at risk if there is a price gap (discontinuity) that prevents them from exiting the trade at the barrier?
　　A. Trader A has the bigger risk.
　　B. Trader B has the bigger risk.
　　C. They both have the same risk.
　　D. Neither trader has any risk because both are hedged.
　　答疑：這道題說的是動態(tài)對沖的問題，對于一個call來說買方的對沖是賣出標的資產(chǎn)，對于賣方來說是買入標的資產(chǎn)，那么對于一個障礙期權來說，如果達到障礙水平，那么就需要清算對沖頭寸，對于買方來說就要在低價的時候買入標的資產(chǎn)，而對于賣方來說就要在低價的時候賣出標的資產(chǎn)，所以賣方的損失更大。
　　10.  EXAMPLE 17.5: PROFITS FROM DYNAMIC HEDGING
　　A trader buys an at-the-money call option with the intention of delta-hedging it to maturity. Which one of the following is likely to be the most profitable over the life of the option?
　　A. An increase in implied volatility.
　　B. The underlying price steadily rising over the life of the option
　　C. The underlying price steadily decreasing over the life of the option.
　　D. The underlying price drifting back and forth around the strike over the life of the option.
　　答疑：這道題說的是持有這個看漲期權至到期，然后對它進行delta-hedge，因為是直到到期日都要進行delta hedge，所以是動態(tài)對沖，而動態(tài)對沖最擔心的問題是變動太大造成對沖成本增加，因此標的資產(chǎn)價格變動越小成本越小。
　　11. 問下handbook上23.13那道題 答案是什么意思啊？
　　A three-year credit-linked note (CLN) with underlying company Z has a LIBOR + 60bp semiannual coupon. The face value of the CLN is USD 100. LIBOR is 5% for all maturities. The current three-year CDS spread for company Z is 90bp. The fair value of the CLN is closest to
　　A. USD 100.00
　　B. USD 111.05
　　C.USD 101.65
　　D. USD 99.19
　　答疑：這道題的解析其實寫的不太好，這道題其實不涉及到CLN的結構，就把CLN就看成一個普通的公司債，coupon是LIBOR + 60bps，也就是0.056，半年付息一次。面值100，貼現(xiàn)率不是LIBOR，因為是公司債，所以還要考慮信用風險，所以貼現(xiàn)率是LIBOR + CDS spread = 0.059，然后求現(xiàn)值就可以了?！　?div style="text-align: center;">