The correct answer is: A).

Recall that: αVaR = -µ_P/L + σ_P/Lz_α ,

Therefore, the 95% VaR is: -14.1 + 28.2Z_0.95 = -14.1 + 28.2 × 1.645 = 32.289

The 99% VaR is: -14.1 + 28.2Z_0.99 = -14.1 + 28.2 × 2.326 = 51.4932

The correct answer is: C).

A Gaussian copula maps the marginal distribution of each variable to the standard normal distribution.

The correct answer is: A).

For Black-Scholes-Merton model and in the absence of arbitrage opportunities, the put-call parity satisfies:
p_BS + S0 e^−qT = c_BS Ke^−rt

For the market prices, put-call parity holds when arbitrage opportunities are absent such that:
p_MKT + S0 e^−qT = c_MKT Ke^−rt

The difference between the two equations is:
p_BS − p_MKT = c_BS − c_MKT

From the question we have that:
c_BS = 0.0249, p_BS = 0.051 and p_MKT = 0.0317

Thus:
0.0501 − 0.0317 = 0.0249 − c_MKT
⇒ c_MKT = 0.0065

The correct answer is: B).

A qualified opinion is a statement issued after an audit is completed by a professional auditor, suggesting that the information provided is limited in scope and/or the company being edited has not maintained GAAP accounting principles.

The presence of the word “except” in the concluding paragraph of an audit opinion is an evidence of a qualified opinion. All other phrases could be found in a classical clean or unqualified auditor’s report, or in other words, a standard format, boilerplate language.

The correct answer is: C).

A tranche of CDO is defined by attachment and detachment points. The attachment point defines the amount of subordination a tranche enjoys. The tranche thickness, measured by subtracting the attachment point from the detachment point, represents the maximum loss that can be sustained.

Tranche attachment and detachment points refer to portfolio losses, not defaults. Assuming a loss given default of 50 percent, the 7 to 10 percent tranche can withstand defaults of up to 14 percent of the portfolio (14% * 50% = 7%, the attachment point) before it sustains losses.

The equity tranche has only 1 detachment point, while the most senior debt has only 1 attachment point.

The correct answer is: C).

The dependency between credit spreads and exposure can be misrepresented leading to unreliable results. For example, instead of a cause-effect relationship, the dependency could be assumed to be correlative.

The correct answer is: B).

The Gramm-Leach-Bliley Act of 1999, also known as the Financial Services Modernization Act of 1999, required financial institutions to “respect the privacy of its customers and to protect the security and confidentiality of those customers’ nonpublic personal information.” In more precise terms, the Act required financial institutions offering consumers loan services, financial or investment advice, and/or insurance, to fully explain their information-sharing practices to their customers. Firms must allow their customers the option to “opt-out” if they do not want their sensitive information shared. While many consider critical information, such as bank balances and account numbers, to be confidential, in reality this data is consistently bought and sold by banks, credit card companies, and others. Gramm-Leach-Bliley required limited privacy protections against such personal data sales, along with pretexting (obtaining personal information through false pretenses).

The correct answer is: D).

By applying the actual/360 convention popular for most money market instruments, and using 153 days between April 1^st and September 1^st.

Therefore:

€280,131,000 (1 + (0.0031 × 153)/360) = €280,500,072

≈ €280.5 Million

The correct answer is: D).

The biases that cause people to overstate the expected returns and understate the risk of illiquid assets include:

Survivorship bias: poor performance and failures are not reported

Infrequent sampling bias: due to infrequent trading the estimates of risk are too low when computed using reported returns.

Selection bias: results from the tendency of returns only to be observed when underlying asset values are high.