27. If risk is defined as a potential for unexpected loss, which factors contribute to the...
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27. If risk is defined as a potential for unexpected loss, which factors contribute to the risk of a short call option position? ( ) A. Delta, vega B. Delta, vega, gamma C. Delta, vega, gamma, rho 28. The expected loss to a bank from a default on a swap is ( ) the expected loss from the default on a loan to the counterparty with the same principal. Assume no other transactions between the bank and the counterparty, that the swap is cleared bilaterally, and that no collateral is provided by the counterparty the case of either the swap or the loan. C. equal to A. less than B. more than 29. Suppose that the market price of risk for gold is zero. If the storage costs are 1% per annum and the risk-free rate of interest is 5% per annum, the expected growth rate in the price of gold is ( ) .Assume that gold provides no income. A. 4% B.5% C.6% 30. If an asset price has a lognormal distribution, ( ) A. the volatility of the asset is constant. B. the price of the asset changes smoothly with no jumps. C. both A and B 27. If risk is defined as a potential for unexpected loss, which factors contribute to the risk of a short call option position? ( ) A. Delta, vega B. Delta, vega, gamma C. Delta, vega, gamma, rho 28. The expected loss to a bank from a default on a swap is ( ) the expected loss from the default on a loan to the counterparty with the same principal. Assume no other transactions between the bank and the counterparty, that the swap is cleared bilaterally, and that no collateral is provided by the counterparty the case of either the swap or the loan. C. equal to A. less than B. more than 29. Suppose that the market price of risk for gold is zero. If the storage costs are 1% per annum and the risk-free rate of interest is 5% per annum, the expected growth rate in the price of gold is ( ) .Assume that gold provides no income. A. 4% B.5% C.6% 30. If an asset price has a lognormal distribution, ( ) A. the volatility of the asset is constant. B. the price of the asset changes smoothly with no jumps. C. both A and B
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