文档介绍：: .
mpt disclosure to Dominion.
5.
Answer: A
The level of significance is the probability of rejecting the null hypothesis when it is true. The null
hypothesis will be rejected if the z-statistic is greater than .
Answer: C
Any security with a rating below BBB by S&P or Baa by Moody’s is a speculative or
non-investment grade instrument.
7.
Answer: D
A strap is betting on volatility in a bullish market since it pays off more on the upside.
8.
Answer: A
LTCM focused on relative value, credit spreads, and equity volatility. Relative value strategies
involve arbitraging price differences among similar securities and profiting when the prices
converge. Credit spread strategies are predicated on the notion that risk premiums, or credit
spreads, will move in a certain direction. LTCM was forecasting that large credit spreads would
revert back to lower historical levels. Equity volatility strategies are based on a similar notion of
volatility reverting back to historical levels.
9.
Answer: D
Standard deviation== 160,000 400; 400 / 100 = 40 The researcher is correct that a
possible consequence of increasing the sample size is sampling more than one population. In
addition, increasing sample size will increase its costs. The need for additional precision must be
balanced with cost and the risk of sampling more than one population.
10.
Answer: C
Usage given default is not observable (compared to outstandings and commitments. for example).
The most important factor in determining loss given default is the asset’s seniority claim. The
quality of the underlying collateral is the second most important factor.
11.
Answer: D
All three statements are correct.
12.
Answer: C
This is an example of basis risk, the risk that the price of a hedging instrument and the pric