Int Bank Fin Sup Reg mock exam (MCQ quiz, all questions carry equal weight)
国际银行代写 Part A (choose the most appropriate answer in each case) (50%) (x) Broadlyclassified, a financial intermediary performs
Flexible start time within a 24-hour window, the proposed timescale for completion is 1h + 0.5h = 1.5h.
Part A (choose the most appropriate answer in each case) (50%)
(x) Broadlyclassified, a financial intermediary performs
a. a brokeragefunction
b. a qualitative asset transformationfunction
c. as a monetary policystabilizer
d. a securities underwritingfunction
e. both a and b
(x) Whichof the following statements is (are) true about the brokerage function?
a. bringingtogether transactors of financial claims with complementary needs
b. thebroker has special information and can reuse that information
c. thecost of using a brokerage service to an individual is the same as that which he must spend without the help of a broker
d. thebrokerage function usually results in a mismatch of assets and liabilities
e. both a and b
Plus further questions
Part B (choose the most appropriate answer in each case) (25%) 国际银行代写
Use the following information for questions xx-xx
Suppose bank A has two loans, each of which is due to be repaid one period hence and whose cash flows are independent and identically distributed random variables. Each loan will repay $250 to the bank with probability 0.8 and $125 with probability 0.2. However, while bank A knows this, prospective investors cannot distinguish this bank’s loan portfolio from that of bank B that has the same number of loans, but each of its loans will repay $250 with probability 0.5 and $125 with probability 0.5. The prior belief of investors is that there is a 0.4 probability that bank A has the higher-valued portfolio and 0.6 probability that it has the lower-valued portfolio.
Suppose that bank A wishes to securitize these loans, and it knows that if it does so without credit enhancement, the cost of communicating the true value of its loans to investors is 8% of the true value. Explore bank A’s securitization alternatives. Assuming that a credit enhancer is available and that the credit enhancer could (at negligible cost) determine the true value of the loan portfolio, what sort of credit enhancement should bank A purchase? Assume everybody is risk neutral and that the discount rate is zero.
(x) Suppose the bank does not communicate its information to investors, the market value of its securitized loan portfolio will be
a. $400
b. $405
c. $410
d. $415
e. $420
Plus further questions
Part C (choose the most appropriate answer in each case) (25%) 国际银行代写
Use the following information for questions xx-xx
Suppose that each of two investments has a 0.9% chance of a loss of $10 million and a 99.1% chance of a loss of $1 million. The investments are independent of each other.
(x) What is the VaR for one of the investments when the confidence level is99%?
a. $0.5 million
b. $1 million
c. $2 million
d. $5 million
e. $10 million
Plus further questions
