Become GARP Certified with updated FRM-Part-2 exam questions and correct answers
If the unconditional default probability of a Ba-rated bond during Year 3 is 1.914% and the probability of survival through Year 2 is 97.413%, the probability of a default during Year 3, conditional on no earlier default, is closest to:
Brett Doninger recently placed an order to sell a stock when the market price was $42.12. The market was volatile and, by the time Doninger’s broker sold the stock, the price had fallen to $41.88. In the market, this phenomenon is known as:
In the context of arbitrage trades, if the CDS spread is significantly greater than the bond yield spread, what is the most appropriate action by the investor?
The Merton model is different from Moody’s-KMV Expected Default Frequency approach in two key areas. Which of the following statements refers to one of those differences?
At inception, the tranches in a synthetic CDO are priced to earn a spread that is:
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