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　　11. An analyst wants to test whether the variance of return from telecom stocks is higher than 0.04. For this purpose， he obtains the following data from a sample of 51 telecom stocks. Mean return from telecom stocks = 15% Standard deviation of return from telecom stocks = 24% Mean return from market = 12% Standard deviation of return from market = 13% Based on this information and a 0.05 significance level：
　　A. we can say that the variance of telecom firms is lower than 0.04.
　　B. we can say that the variance of telecom firms is higher than 0.04.
　　C. we cannot say that the variance of telecom firms is lower than 0.04.
　　D. none of the above.
　　Correct answer： B
　　Tests of the variance of a population require the chi-squared test. For this data， chi-squared = (n - 1) x Sample variance / Hypothesized variance = 50 x 0.24^2 / 0.04 = 72. Since the analyst wants to show that the variance is more than 0.04， this will be chosen as the alternative hypothesis and the null hypothesis will be that the variance is lower than or equal to 0.04. The critical value of the chi-squared statistic (for df=50 and p=0.05) is 67.505. Since the test statistic is higher than the critical statistic， we can reject the null hypothesis (variance <= and="" accept="" the="" alternative="" hypothesis="" variance=""> 0.04).
　　12. Which of the following internal controls does NOT effectively reduce operational risk？
　　A.  Separation of trading from accounting and data entry
　　B. Automated reminders of payments required and contract expirations
　　C. A multitude of users can modify trade tickets so that errors may be quickly corrected
　　D. Reconciling results from different systems to ensure data integrity
　　Answer： C
　　Proper practice limits the amount of people who can change trade tickets and what information can be changed once a ticket is written. Double checking work， separating duties， and automatic reminders all help lower operational risk.
　　13. It would be prudent for a trader to direct accounting entries in the following situation：
　　A. Never.
　　B. when senior management of the firm and the Board of Directors are aware and have approved such on an exception basis.
　　C. when audit controls are such that the entries are reviewed on a regular basis to ensure detection of irregularities.
　　D. solely during such times as staffing turnover requires the trader to back-fill until additional personnel can be hired and trained.
　　Answer： A
　　In accordance with the separation of duties principle， it would never be appropriate for a trader to direct the accounting entries.
　　14. Which of the following statements concerning coupon rate structures is FALSE？
　　A. Zero-coupon bonds have only one cash inflow at maturity.
　　B. Accrual bonds， like zero-coupon bonds， always sell at a discount to face value.
　　C. Accrual bonds have only one cash inflow at maturity.
　　D. Step-up notes have coupon rates that increase over time at a pre-specified rate.
　　correct answer：B.
　　Accrual bonds， unlike zero-coupon bonds， do not always sell at a discount to face value. The interest accrues forward and thus the bonds are likely to sell for more than face value.
　　15. Given that the dollar yen volatility is 12 percent and dollar peso volatility is 15 percent，
　　and the correlation between dollar yen and dollar peso is 0.25， the best estimate of the
　　yen peso volatility is：
　　A. 16.7%.
　　B. 19.2%.
　　C. 21.4%.
　　D. 23.1%.
　　Correct answer： A
　　Here we use the * that： (Vol_A/B)^2 = (Vol_A)^2 + (Vol_B)^2 - 2 x Correlation x (Vol_A) x (Vol_B). Therefore， yen/peso volatility = (0.12^2 + 0.15^2 - 2 x 0.25 x 0.12 x 0.15)^0.5 = 16.7%.
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