Teste seus conhecimentos em gestão de risco
Teste seus Conhecimentos em Gestão de Risco
Você está preparado para desafiar suas habilidades em gestão de risco? Este quiz abrangente inclui 10 questões que testarão seu entendimento sobre conceitos cruciais como beta, Sharpe ratio e estratégias de opções.
Participe agora e descubra o quão bem você conhece os princípios de gestão de risco!
1. Total Quality Inc. Has a beta of 1.15. If the expected return on the market is 12 percent, and the risk- free rate is 6 percent, what is the expected return for Total Quality?
A) 11.69%.
B) 14.00%.
C) 12.90%.
D) 10.15%.
2. Which of the following statements regarding the Sharpe ratio is most accurate? The Sharpe ratio measures:
A) dispersion relative to the mean.
B) total return per unit of risk.
C) excess return per unit of risk.
D) peakedness of a return distribution.
3. The capital market line (CML) shows that under certain assumptions, when a portfolio on the Markowitz efficient frontier is combined with an investment in a risk-free asset:
A) a 100% allocation to the risk-free asset results in a portfolio with an expected return and standard deviation of zero.
B) the maximum attainable expected return results from a 100% allocation to the frontier portfolio and a 0% allocation to the risk-free asset.
C) there is a positive linear relationship between portfolio risk and expected return.
D) all portfolios on the Markowitz efficient frontier are dominated in terms of risk and return by all portfolios on the CML.
4. In the Sortino ratio, the excess return is divided by the:
A) Maximum drawdown.
B) Value at risk.
C) Standard deviation.
D) Downside deviation.
5. Which of the following is not an assumption of the arbitrage pricing theory (APT)?
A) No arbitrage opportunities exist.
B) The market contains enough stocks so that unsystematic risk can be diversified away.
C) Security returns are normally distributed.
D) Returns on assets can be described by a multi-factor process.
6. A bear spread is an option strategy in which the option trader:
A) sells a high strike put option and buys a lower strike call option.
B) purchases a high strike call option and sells a lower strike call option.
C) purchases a high strike put option and sells a lower strike call option.
D) sells a high strike call option and buys a lower strike call option.
7. Given the following scenario: Performance to Date: Up 16% Client Objective: Earn at least 15% Austin's scenario: Good chance of large losses between now and end of year. Which is the best option strategy to meet the client's objective?
A) Long put options.
B) Short call options.
C) Long call options.
D) Short put options.
8. An investor has entered into a forward rate agreement (FRA) where she has contracted to pay a fixed rate of 5 percent on $5,000,000 based on the quarterly rate in three months. If interest rates are compounded quarterly, and the floating rate is 2 percent in three months, what is the payoff at the end of the sixth month? The investor will:
A) make a payment of $37,500.
B) make a payment of $75,000.
C) receive a payment of $37,500.
D) receive a payment of $75,000.
9. A semi-annual pay bond with a $100 par value pays coupons on March 1 and September 1. The annual coupon is 8%, and it is currently June 13. Compute the accrued interest of this bond as a T-bond.
A) $2.26.
B) $2.29.
C) $4.58.
D) $4.52.
10. Which statement is most accurate regarding the mechanics of a currency swap?
A) A currency swap exchanges principal and interest payments at the swap’s inception using forward rates corresponding to the swap’s tenor, and periodic payments are netted.
B) A currency swap exchanges principal and interest payments at the swap’s inception using the spot exchange rate.
C) Currency swaps are typically fixed-for-variable, and periodic cash flows are netted.
D) A currency swap exchanges interest payments with payments in the same currencies and periodic cash flows are netted.
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