衍生.docx
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1、Derivatives1.A derivative is best described as a financial instrument that derives its performance by: passing through the returns of the underlying. replicating the performance of the underlying. transforming the performance of the underlying.A. B. C.C is correct. A derivative is a financial instru
2、ment that transforms the performance of the underlying. The transformation of performance function of derivatives is what distinguishes it from mutual funds and exchange traded funds that pass through the returns of the underlying. A is incorrect because derivatives, in contrast to mutual funds and
3、exchange traded funds, do not simply pass through the returns of the underlying at payout. B is incorrect because a derivative transforms rather than replicates the performance of the underlying.2.Compared with exchange-traded derivatives, over-the-counter derivatives would most likely be described
4、as: standardized. less transparent. more transparent.A. B. C.B is correct. Over-the counter-derivatives markets are customized and mostly unregulated. As a result, over-the-counter markets are less transparent in comparison with the high degree of transparency and standardization associated with exc
5、hange-traded derivative markets. A is incorrect because exchange-traded derivatives are standardized, whereas over- the counter derivatives are customized. C is incorrect because exchange-traded derivatives are characterized by a high degree of transparency because all transactions are disclosed to
6、exchanges and regulatory agencies, whereas over-the-counter derivatives are relatively opaque.3. A. B. C.Exchange-traded derivatives are: largely unregulated. traded through an informal network. guaranteed by a clearinghouse against default.C is correct. Exchanged-traded derivatives are guaranteed b
7、y a clearinghouse against default.A is incorrect because traded derivatives are characterized by a relatively high degree of regulation. B is incorrect because the terms of exchange-traded derivatives terms are specified by the exchange.4. A. B. C.Which of the following derivatives is classified as
8、a contingent claim? Futures contracts Interest rate swaps Credit default swapsC is correct. A credit default swap (CDS) is a derivative in which the credit protection seller provides protection to the credit protection buyer against the credit risk of a separate party. CDS are classified as a contin
9、gent claim. A is incorrect because futures contracts are classified as forward commitments. B is incorrect because interest rate swaps are classified as forward commitments.5. A. B. C.In contrast to contingent claims, forward commitments provide the: right to buy or sell the underlying asset in the
10、future. obligation to buy or sell the underlying asset in the future. promise to provide credit protection in the event of default.B is correct. Forward commitments represent an obligation to buy or sell the underlying asset at an agreed upon price at a future date. A is incorrect because the right
11、to buy or sell the underlying asset is a characteristic of contingent claims, not forward commitments. C is incorrect because a credit default swap provides a promise to provide credit protection to the credit protection buyer in the event of a credit event such as a default or credit downgrade and
12、is classified as a contingent claim.6.Which of the following derivatives provide payoffs that are non-linearly related to the payoffs of the underlying? Options Forwards Interest-rate swapsA. B. C.A is correct. Options are classified as a contingent claim which provides payoffs that are non- linearl
13、y related to the performance of the underlying. B is incorrect because forwards are classified as a forward commitment, which provides payoffs that are linearly related to the performance of the underlying. C is incorrect because interest-rate swaps are classified as a forward commitment, which prov
14、ides payoffs that are linearly related to the performance of the underlying.7. A. B. C.An interest rate swap is a derivative contract in which: two parties agree to exchange a series of cash flows. the credit seller provides protection to the credit buyer. the buyer has the right to purchase the und
15、erlying from the seller.A is correct. An interest rate swap is defined as a derivative in which two parties agree to exchange a series of cash flows: One set of cash flows is variable, and the other set can be variable or fixed. B is incorrect because a credit derivative is a derivative contract in
16、which the credit protection seller provides protection to the credit protection buyer. C is incorrect because a call option gives the buyer the right to purchase the underlying from the seller.8. A. B. C.Forward commitments subject to default are: forwards and futures. futures and interest rate swap
17、s. interest rate swaps and forwards.C is correct. Interest rate swaps and forwards are over-the-counter contracts that are privately negotiated and are both subject to default. Futures contracts are traded on an exchange, which provides a credit guarantee and protection against default. A is incorre
18、ct because futures are exchange-traded contracts which provide daily settlement of gains and losses and a credit guarantee by the exchange through its clearinghouse. B is incorrect because futures are exchange-traded contracts which provide daily settlement of gains and losses and a credit guarantee
19、 by the exchange through its clearinghouse.9.Which of the following derivatives is least likely to have a value of zero at initiation of the contract? Futures Options ForwardsA. B. C.B is correct. The buyer of the option pays the option premium to the seller of the option at the initiation of the co
20、ntract. The option premium represents the value of the option, whereas futures and forwards have a value of zero at the initiation of the contract. A is incorrect because no money changes hands between parties at the initiation of the futures contract, thus the value of the futures contract is zero
21、at initiation. C is incorrect because no money changes hands between parties at the initiation of the forward contract, thus the value of the forward contract is zero at initiation.10. A. B. C.A credit derivative is a derivative contract in which the: clearinghouse provides a credit guarantee to bot
22、h the buyer and the seller. seller provides protection to the buyer against the credit risk of a third party. the buyer and seller provide a performance bond at initiation of the contract.B is correct. A credit derivative is a derivative contract in which the credit protection seller provides protec
23、tion to the credit protection buyer against the credit risk of a third party. A is incorrect because the clearinghouse provides a credit guarantee to both the buyer and the seller of a futures contract, whereas a credit derivative is between two parties, in which the credit protection seller provide
24、s a credit guarantee to the credit protection buyer. C is incorrect because futures contracts require that both the buyer and the seller of the futures contract provide a cash deposit for a portion of the futures transaction into a margin account, often referred to as a performance bond or good fait
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