Hull:Options,Futures,andOtherDerivatives,NinthEditionChapter25:CreditDerivativesMultipleChoiceTestBank:Questions1.WhatisthenumberofcompaniesunderlyingtheCDXNAIGindex?A.50B.75C.100D.1252.WhatisthenumberofcompaniesunderlyingtheiTraxxindex?A.50B.75C.100D.1253.WhatistheratingofthecompaniesunderlyingtheiTraxxindex?A.AoraboveB.BBBoraboveC.BBorbelowD.BBBorbelow4.InaCDSwithanotionalprincipalof$100millionthereferenceentitydefaults.Whatisthepayofftothebuyerofprotectionwhentherecoveryrateis30%?A.$100millionB.$30millionC.$130millionD.$70million5.Inaone-yearforwardcontractonaCDSthatwilllastfiveyears,whatusuallyhappensifthereisadefaultduringthefirstyear?A.ThereisapayofftotheforwardprotectionbuyeratthetimeofdefaultB.ThereisapayofftotheforwardprotectionbuyerattheendofoneyearC.ThereisapayofftotheforwardprotectionbuyerattheendofsixyearsD.Thecontractceasestoexist6.WhichofthefollowinghappenswhenthedefaultcorrelationofthecompaniesunderlyingaCDOincreases?A.ThevalueoftheseniortrancheandtheequitytranchetotheprotectionbuyerbothincreaseB.ThevalueoftheseniortrancheandtheequitytranchetotheprotectionbuyerbothdecreaseC.ThevalueoftheseniortranchetotheprotectionbuyerdecreasesandthevalueoftheequitytranchetotheprotectionbuyerincreasesD.Thevalueoftheseniortranchetotheprotectionbuyerincreasesandthevalueoftheequitytranchetotheprotectionbuyerdecreases7.WhichofthefollowingistrueofasyntheticCDO?A.ItiscreatedfromportfoliosofbondsB.ItiscreatedfromportfoliosofCDSsC.ItreferencesastandardportfolioofbondsD.Noneoftheabove8.ACDSwithanumberofreferenceentitiesprovidesforeachreferenceentityapayoffifitdefaults.WhatisanameforthisCDS?A.BinaryCDSB.Add-upBasketCDSC.First-to-DefaultCDSD.n-to-DefaultCDS9.Whichofthefollowingisthemostpopularlifeforacreditdefaultswap?A.1yearB.3yearsC.5yearsD.10years10.IftheCDSspreadforaregular5-yearCDSis120basispoints,whatistheCDSspreadfora5-yearbinaryCDSonthesameunderlyingreferenceentity?Assumearecoveryrateof40%.A.48basispointsB.72basispointsC.200basispointsD.300basispoints11.Forwhatrange...
