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Question 139/145
To estimate the responsiveness of a particular equity portfolio to the overall market, a trader should use the portfolio's
Correct Answer: B
* Beta measures the responsiveness of a particular equity or equity portfolio to the overall market.
* It captures the correlation between the returns of the equity portfolio and the market returns, indicating how much the portfolio's value changes in response to market movements.
* It captures the correlation between the returns of the equity portfolio and the market returns, indicating how much the portfolio's value changes in response to market movements.
- Question List (145q)
- Question 1: Which of the following are the most common methods to increa...
- Question 2: Which one of the four following statements about technology ...
- Question 3: Which one of the following four statements correctly describ...
- Question 4: Short-selling is typically associated with the following ris...
- Question 5: When looking at the distribution of portfolio credit losses,...
- Question 6: The market risk manager of SigmaBank is concerned with the v...
- Question 7: A bank customer expecting to pay its Brazilian supplier BRL ...
- Question 8: Which statements correctly describe the features of using su...
- Question 9: Bank G has a 1-year VaR of USD 20 million at 99% confidence ...
- Question 10: According to Basel II what constitutes Tier 2 capital?...
- Question 11: Which of the following measure describes the symmetry of a s...
- Question 12: A risk associate responsible for the operational risk functi...
- Question 13: Which one of the following four statements about equity indi...
- Question 14: Alpha Bank determined that Delta Industrial Machinery Corpor...
- Question 15: Altman's Z-score incorporates all the following variables th...
- Question 16: Mega Bank holds a $250 million mortgage loan portfolio, whic...
- Question 17: From the bank's point of view, repricing the retail debt por...
- Question 18: What is the role of market risk management function within a...
- Question 19: Which one of the following four statements presents a challe...
- Question 20: The exercise for an American type option prior to expiration...
- Question 21: In additional to the commodity-specific risks, which of the ...
- Question 22: Which of the following statements are reasons for mathematic...
- Question 23: Banks duration match their assets and liabilities to manage ...
- Question 24: In its VaR calculations, JPMorgan Chase uses an expected tai...
- Question 25: Which of the following statements regarding CDO-squared is c...
- Question 26: Which one of the following statements about futures contract...
- Question 27: Which of the following statements about the option gamma is ...
- Question 28: Gamma Bank is active in loan underwriting and securitization...
- Question 29: To manage its credit portfolio, Beta Bank can directly sell ...
- Question 30: To protect the oranges harvest price level, a farmer needs t...
- Question 31: For two variables, which of the following is equal to the av...
- Question 32: Which one of the following four statements regarding commodi...
- Question 33: A credit portfolio manager analyzes a large retail credit po...
- Question 34: Most loans and deposits in the interbank market have a matur...
- Question 35: Which one of the following four statements regarding counter...
- Question 36: To improve the culture and awareness of the operational risk...
- Question 37: Except for the credit quality of the Credit Default Swap pro...
- Question 38: Which one of the following four alternatives correctly ident...
- Question 39: James Johnson has a $1 million long position in ThetaGroup w...
- Question 40: Which one of the following four statements on factors affect...
- Question 41: A risk associate evaluating his current portfolio of assets ...
- Question 42: Which one of the following four statements about the "market...
- Question 43: Which of the following assets on the bank's balance sheet ha...
- Question 44: Securitization is the process by which banks I. Issue bonds ...
- Question 45: What are some of the drawbacks of correlation estimates? Whi...
- Question 46: What are the add-on losses faced by a bank that is going ban...
- Question 47: A key function of treasuries in commercial/retail banks is: ...
- Question 48: A financial analyst is trying to distinguish credit risk fro...
- Question 49: A bank customer expecting to pay its Brazilian supplier BRL ...
- Question 50: Which one of the following four statements correctly defines...
- Question 51: Floating rate bonds typically have ________ duration which m...
- Question 52: DeltaFin wants to develop a control scoring method for its R...
- Question 53: Which one of the following four regulatory drivers for opera...
- Question 54: A credit risk analyst is evaluating factors that quantify cr...
- Question 55: Which one of the following four statements about hedging is ...
- Question 56: A corporate bond was trading with 2%probability of default a...
- Question 57: Bank Zilo has $2 million in cash and $10 million in loans co...
- Question 58: What is the order in which creditors and shareholders get re...
- Question 59: Interest rate swaps are:
- Question 60: A portfolio consists of two floating rate bonds and one fixe...
- Question 61: An associate from the finance group has been identified as a...
- Question 62: Which one of the following four alternatives lists the three...
- Question 63: Gamma Bank has $300 million in loans and $200 million in dep...
- Question 64: If a bank is long £500 million pounds, short £300 million in...
- Question 65: Banks duration match their assets and liabilities to manage ...
- Question 66: Which one of the following four exotic option types has anot...
- Question 67: As Japan ___ its budget deficits and ___ its dependence on d...
- Question 68: In the United States, foreign exchange derivative transactio...
- Question 69: To estimate a partial change in option price, a risk manager...
- Question 70: According to the largest global poll of foreign exchange mar...
- Question 71: Asset and liability management is typically concerned with a...
- Question 72: A credit analyst wants to determine if her bank is taking to...
- Question 73: Which of the following attributes of duration gap model typi...
- Question 74: Gamma Bank provides a $100,000 loan to Big Bath retail store...
- Question 75: To hedge equity exposure without buying or selling shares of...
- Question 76: Which of the following reports have been suggested by the FD...
- Question 77: Returns on two assets show very strong positive linear relat...
- Question 78: What is a common implicit assumption that is made when compu...
- Question 79: Modified duration of a bond measures:...
- Question 80: The operational risk policy should include: I. The firm's de...
- Question 81: To estimate the price of gold forwards, an investment analys...
- Question 82: By lowering the spread on lower credit quality borrowers, th...
- Question 83: Which of the activities represent examples of market manipul...
- Question 84: Which of the following statements regarding bonds is correct...
- Question 85: Which one of the following statements correctly identifies r...
- Question 86: Which of the following statements presents an advantage of u...
- Question 87: A corporate bond gives a yield of 6%. A same maturity govern...
- Question 88: Which among the following are shortfalls of the static liqui...
- Question 89: Which of the following are conclusions that could be drawn f...
- Question 90: Why do regulatory standards impose formulaic capital calcula...
- Question 91: A large energy company has a recurring foreign currency dema...
- Question 92: Beta Insurance Company is only allowed to invest in investme...
- Question 93: Which one of the following four attributes would likely help...
- Question 94: Which one of the following statements is an advantage of usi...
- Question 95: Alpha Bank estimates its 1-month, 95% VaR is 30 million EUR....
- Question 96: Jack Richardson wants to compute the 1-month VaR of a portfo...
- Question 97: Which of the following statements about endogenous and exoge...
- Question 98: Which one of the four following statements about Basis point...
- Question 99: Which one of the four following statements about drawdowns i...
- Question 100: Which one of the following four statements best describes ch...
- Question 101: A bank customer chooses a mortgage with low initial payments...
- Question 102: Which one of the following four statements about regulatory ...
- Question 103: Which one of the following statements describes Macauley's d...
- Question 104: When considering the advantages of operational risk function...
- Question 105: Gamma Bank has a significant number of retail customers and ...
- Question 106: The value of which one of the following four option types is...
- Question 107: An asset and liability manager for a large financial institu...
- Question 108: Which one of the four following activities is NOT a componen...
- Question 109: A bank owns a portfolio of bonds whose composition is shown ...
- Question 110: Which of the following statements about the interest rates a...
- Question 111: Which one of the following four statements correctly defines...
- Question 112: In the United States, during the second quarter of 2009, tra...
- Question 113: Arnold Wu owns a floating rate bond. He is concerned that th...
- Question 114: Bank Milo has $4 million in cash and $5 million in loans com...
- Question 115: To reduce the variability of net interest income, Gamma Bank...
- Question 116: After entering the securitization business, Delta Bank incre...
- Question 117: Bank Alpha is making a decision about lending 10-year loans ...
- Question 118: A bank customer expecting to pay its Brazilian supplier BRL ...
- Question 119: Which one of the following four statements about economic ca...
- Question 120: To estimate the forward price of oil, a commodity trader wou...
- Question 121: ThetaBank has extended substantial financing to two mortgage...
- Question 122: An endowment asset manager with a focus on long/short equity...
- Question 123: In early March, an energy trader takes a long position in na...
- Question 124: US-based BetaBank have accumulated Japanese yen, Japanese go...
- Question 125: Which of the following factors would typically increase the ...
- Question 126: A risk analyst is considering how to reduce the bank's expos...
- Question 127: Which of the following statements explain how securitization...
- Question 128: A customer asks a broker employed by AlphaBank to buy Eureka...
- Question 129: The skewness of ABC company's stock returns equal -1.5. What...
- Question 130: Over a long period of time DeltaBank has amassed a large equ...
- Question 131: Which one of the following is a reason for a bank to keep a ...
- Question 132: Which of the following bank events could stress the bank's l...
- Question 133: A bank has a Var estimate of $100 million. It is considering...
- Question 134: Which one of the four following statements regarding minimum...
- Question 135: Which of the following would a bank resort to as a "lender o...
- Question 136: Which one of the four following statements describes a speci...
- Question 137: To hedge a foreign exchange exposure on behalf of a client, ...
- Question 138: Which of the following are typical properties of a statistic...
- Question 139: To estimate the responsiveness of a particular equity portfo...
- Question 140: Which one of the following four factors typically drives the...
- Question 141: To estimate the interest charges on the loan, an analyst sho...
- Question 142: After entering the securitization business, Delta Bank incre...
- Question 143: Gamma Bank provides a $100,000 loan to Big Bath retail store...
- Question 144: BetaFin has decided to use the hybrid RCSA approach because ...
- Question 145: Which one of the following four models is typically used to ...
