305627
Pregunta 1
Pregunta
If different business and financial markets are known to be correlated:
Respuesta
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Value at Risk (VaR) is the best mechanism to reduce risk
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Such risks should be avoided by the treasury management committee
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Enterprise wide risk is the addition of individual risks
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The treasurer should not manage risks in isolation
Pregunta 2
Pregunta
A risk may be 'accepted and reduced' through
Respuesta
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Internal controls
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Monitoring
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Insurance
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Derivatives
Pregunta 3
Pregunta
In a Risk Management Framework, what activity is most likely to follow Risk Evaluation?
Respuesta
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Risk Identification
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Risk Reporting
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Risk Response
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Risk Assessment
Pregunta 4
Pregunta
You are a treasurer of a listed volume house builder. Which of the following benchmarking information is most likely to be DIFFICULT to obtain?
Respuesta
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Average six moth LIBOR
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Industry norm for interest cost as a proportion of input costs
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Budgeted interest as a proportion of EBITDA for your company
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Average interest cover of three main listed competitors
Pregunta 5
Pregunta
A company expects a $10 million receipt in one month's ( 30 days ) time and will invest these funds for three months (91 days) until they are required in the business.
By taking out an FRA, which of the following BEST describes the 'risk response' that Company A has taken to the $ interest rate risk?
Respuesta
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Avoid
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Accept and retain (monitor)
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Accept and reduce ( internal controls)
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Accept and transfer (hedge)
Pregunta 6
Pregunta
In a typical risk management framework, which of the following tasks would be the most likely to be carried out at the Risk Assessment stage?
Respuesta
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Assess when to control, avoid or transfer risk
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Classify risk by source
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Carry out detailed scenario analysis
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Prioritise risks
Pregunta 7
Pregunta
In a probability/impact matrix, the severity of consequence is LEAST likely to be measured in terms of:
Respuesta
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Earnings per share
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Net debt: EBITDA
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Probability of occurrence
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Value at Risk
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Absolute loss per even
Pregunta 8
Pregunta
In a typical risk management framework, which of the following activities would be most likely to include a VaR calculation?
Respuesta
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Risk Identification
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Risk Assessment
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Risk Evaluation
Pregunta 9
Pregunta
Which of the following time horizons are LEAST appropriate when assessing the frequency of a risk even in a Probability/Impact Matrix
Respuesta
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Days, for FX exposure in financial service business
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Minuties, for risk of delay in batch processing
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Hours, for EPS measurement for a service industry
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Weeks, for commodity prices relevant to a manufacturer
Pregunta 10
Pregunta
Treasury policy is most likely to prohibit:
Respuesta
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Maintaining a forward contract after the corresponding exposure has expired
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Choosing not to hedge a known future foreign currency cash inflow or outflow
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Choosing to delay hedging a material highly probable future transaction
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Purchasing option contracts to hedge known future income streams
Pregunta 11
Pregunta
An investment portfolio of USD shares has a value of USD 100 million and daily value standard deviation of EUR 250,000. The current exchange rate is EUR/USD 1.48, What is the best estimate of the daily Value at Risk at a 95 confidence level in EUR? Before you start on this type of question:
Make a note of the currency for the amount of VaR.
Make a note of the given standard deviation. Is it in the same currency as the amount of the VaR? If yes, you can ignore any forex rate details.
Respuesta
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41,000
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61,000
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279,000
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280,000
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410,000
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610,000
Pregunta 12
Pregunta
A US company holds USD 10 million of EUR dominated assets. The EUR/USD 30 day standard deviation is 1.6%, the EUR/USD spot rate is 1.6000, and the z score at 95% confidence is 1.65. what is the best estimate of the 95% 30 day value at risk on the EUR denominated assets?
Respuesta
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$95,000
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$155000
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$165000
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$265000
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$420000
Pregunta 13
Pregunta
A US company holds USD 10 million of EUR dominated assets. The EUR/USD 30 day standard deviation is 1.6%, the EUR/USD spot rate is 1.6000, and the z score at 95% confidence is 1.65. what is the best estimate of the 95% 30 day value at risk on the EUR denominated assets?
Respuesta
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$95,000
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$155000
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$165000
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$265000
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$420000
Pregunta 14
Pregunta
What is the daily VaR at 95% confidence level for a USD 5 million exposure against GBP if the standard deviation for the daily change in USD/GBP is 0.5000%
Respuesta
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USD 2,375
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USD 4,125
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USD 5,825
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USD 23,750
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USD 41,250
Pregunta 15
Pregunta
An asset has a current value of 25 with a one-month standard deviation of 3. Its value follows a normal distribution. The best estimate of the probability of the investment being worth between 22 and 28 in one month's time is:
Respuesta
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16%
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32%
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34%
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66%
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68%
Pregunta 16
Pregunta
Red expects to convert USD 50 million into EUR in 6 months. Current rates are:
EUR/USD spot rate 1.1598
EUR/USD 6 months forward rate 1.1669
If the 6 month EUR/USD standard deviation is 6% what is the best estimate of the EUR value at risk on this receipt, in EUR, at a 99% confidence level?
Respuesta
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4 million
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5 million
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6 million
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7 million
Pregunta 17
Pregunta
The two dimensions of a risk occurrence are
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uncertainty and VaR
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Probability and Impact
Pregunta 18
Pregunta
Is it true that:
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Deterministic models predict future outcomes precisely
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VaR CANNOT take account of asset correlations
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Debt/EBITDA is NOT used to measure risk
Pregunta 19
Pregunta
EUR/GBP spot is currently 0.7000, has a 30 day standard deviation of 8%, and can be assumed to be normally distributed. At a confidence level of 95%, EUR 7 million due to be received in 30 days will be worth at least GBP million:
Respuesta
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4.0
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4.3
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4.9
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5.7
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6.1
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7.0
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