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Free CFA Fixed Income Practice Questions & Answers

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Question 271

A tranche covers losses from 0–3% of a 100‑name index. Each name has 1% notional. One name defaults with 40% recovery. How much of the tranche is hit?

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Question 272

A tranche covers 3–7%. After a 0.6% loss, how much subordination remains?

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Question 273

A 5‑name FTD basket has pairwise correlation ρ = 1. What is the FTD default probability?

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Question 274

A 5‑name STD basket with ρ = 1 has STD probability equal to:

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Question 275

A 3‑name FTD basket has PDs 2%, 4%, 6%. Correlation increases. FTD spread:

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Question 276

A 3‑name STD basket with same PDs sees correlation increase. STD spread:

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Question 277

A 125‑name index CDS has spread 100 bps. What is the approximate average single‑name spread?

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Question 278

A tranche covers 0–3%. Expected portfolio loss is 2%. Expected tranche loss?

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Question 279

A tranche covers 3–7%. Expected portfolio loss = 5%. Expected tranche loss?

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Question 280

A 10‑name FTD basket has identical PD = 2%. Approximate FTD PD?

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Question 281

A 10‑name STD basket with PD = 2% each. Approximate STD PD?

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Question 282

A 125‑name index CDS has notional 100M. One name defaults. New notional?

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Question 283

A tranche covers 7–10%. Portfolio loss = 9%. Tranche loss?

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Question 284

A 3‑name basket has joint default probability 1%. What is correlation?

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Question 285

A Gaussian copula with ρ = 0 implies:

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Question 286

A Gaussian copula with ρ = 1 implies:

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Question 287

A 5‑name FTD basket has PD = 3% each, ρ = 0. What is FTD PD?

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Question 288

A 5‑name STD basket with same PDs. STD PD?

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Question 289

A tranche covers 0–5%. Portfolio loss = 7%. Tranche loss?

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Question 290

A tranche covers 5–10%. Portfolio loss = 7%. Tranche loss?

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Question 291

A tranche covers 10–15%. Portfolio loss = 7%. Tranche loss?

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Question 292

A 125‑name index CDS has spread 80 bps. Recovery = 40%. Approximate average hazard rate?

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Question 293

A 125‑name index CDS has notional 200M. Two names default. New notional?

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Question 294

CDS Hazard Rate CDS spread = 180 bps, recovery = 40%. Approx hazard rate?

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Question 295

CDS Protection Payment Notional = 20M, auction price = 30%. Payout?

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Question 296

CVA (Discrete) EE = [5M, 4M, 3M], PD per year = 2%, LGD = 60%, DF = 0.97, 0.94, 0.91. Compute CVA.

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Question 297

Hazard = 2%, recovery = 40%. Spread?

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Question 298

Credit Spread Bond yield = 6.1%, risk‑free = 3.7%. Spread?

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Question 299

Hazard Rate Spread = 240 bps, recovery = 40%. Hazard?

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Question 300

CDS Protection Payment Notional = 12M, auction price = 25%. Payout?

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Free CFA Fixed Income Practice Questions & Answers

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