本次英国代考主要为金融相关的限时测试

A 部分 – 20 道多项选择题,占总考试的 40%。

每个问题选择一个答案。多选标记系统如下:

每个正确答案你得 2 分
每答错一个扣 ⅔ 分
对于每个空白答案,您的得分为零

每个问题您只能选择一个答案。

B 部分 – 两个练习,占总考试的 60%(每次练习 30 分)。

回答三个练习中的两个。

如果回答了两个以上的练习,则只会按照出现的顺序标记前两个练习。

考试期间只能使用大学认可的计算器。

A 部分:回答所有问题。

多项选择题

每个问题选择一个答案。请使用提供的 MCQ 答卷。

多选标记系统如下:

每个正确答案你得 2 分
每答错一个扣 ⅔ 分
对于每个空白答案,您的得分为零

每个问题您只能选择一个答案。

信用违约掉期(6 题)

1) 一个完整运行的 CDS 合约的价差可以表示为:

a) 1 – 假定恢复
b) 违约的累积概率 x(1 – 假设恢复)
c) 违约 x 回收的累积概率
d) 平均年度违约概率 x(1- 假设恢复)

2) 以下哪一项不是公司 CDS 合同的标准信用事件?

a) 破产
b) 未付款
c) 否认/暂停
d) 重组

5)CDS最具流动性的期限通常是:

a) 3 年
b) 5 年
c) 7 年
d) 10 年

4) 风险年金等于:

a) 点差变动 1 个基点导致 CDS 盯市的变化
b) 参考实体违约的风险和两个 CDS 息票流的净差额停止。
c) 1bp 年金流的风险现值
d) 一年内 CDS 交易的市值变化。

5) 对于固定息票加预付 CDS 交易,以下哪项是正确的?

a) 当报价价差高于固定息票时,保护的买方支付预付款。
b) 当报价价差高于固定息票时,保护卖方支付预付款。
c) 平价差总是比等价的平价差宽。
d) 平价差总是比等价的平价差更小。

6) 以下哪项不构成标准 CDS 合同中的可交付义务?

a) 债券
b) 贷款
c) 短期商业票据
d) 贸易应付款项

SECTION A – 20 Multiple Choice Questions worth 40% of the total examination.

Choose one answer on each question. The system for multiple choice marking is as follows:

  • You score 2 marks for each correct answer
  • ⅔ of a mark is deducted for each incorrect answer
  • You score zero for each blank answer

You must choose ONLY ONE answer per question.

 

SECTION BTwo exercises worth 60% of the total examination (30 marks per exercise).

Answer TWO out of the THREE exercises.

If more than two exercises are answered, only the first two, in the order they are presented, will be marked.

 

Only college approved calculators may be used during the exam.

 

SECTION A: Answer ALL questions.

Multiple Choice Questions

Choose one answer on each question. Please use the MCQ answer sheet provided.

The system for multiple choice marking is as follows:

  • You score 2 marks for each correct answer
  • ⅔ of a mark is deducted for each incorrect answer
  • You score zero for each blank answer

You must choose ONLY ONE answer per question.

 

Credit Default Swaps (6 questions)

 

1) The spread of a full running CDS contract can be expressed as:

  1. a) 1 – Assumed Recovery
  2. b) Cumulative Probability of Default x (1 – Assumed Recovery)
  3. c) Cumulative Probability of Default x Recovery
  4. d) Average Annual Probability of Default x (1- Assumed Recovery)

 

2) Which of the following is not a standard Credit Event for a corporate CDS contract?

  1. a) Bankruptcy
  2. b) Failure to Pay
  3. c) Repudiation/Moratorium
  4. d) Restructuring

 

5) The most liquid tenor of CDS is typically:

  1. a) 3y
  2. b) 5y
  3. c) 7y
  4. d) 10y

 

4) The risky annuity is equal to:

  1. a) The change in CDS mark-to-market for a 1bp move in spreads
  2. b) The risk that the Reference Entity defaults and the net difference in two CDS coupon streams ceases.
  3. c) The risky present value of a 1bp annuity stream
  4. d) The change in the mark-to-market of a CDS trade over 1 year.

 

5) Which of the following is true for a fixed coupon plus upfront CDS trade?

  1. a) The buyer of protection pays an upfront amount when the quoted spread is higher than the fixed coupon.
  2. b) The seller of protection pays an upfront amount when the quoted spread is higher than the fixed coupon.
  3. c) The flat spread is always wider than the equivalent par spread.
  4. d) The flat spread is always tighter than the equivalent par spread.

 

6) Which of the following does not constitute a deliverable obligation in a standard CDS contract?

  1. a) Bonds
  2. b) Loans
  3. c) Short term commercial paper
  4. d) Trade payables

 


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