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Which concept gives a measure of historical value added per unit of risk taken and can be useful, among other tools, to risk managers?

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Tracking error

Model alpha

Information ratio

Heteroskedasticity

Answer: C

William Sharpe developed the concept of information ratio to describe the value added per unit of risk by a manager or activity. Tracking error is an estimate of how much risk a manager takes as a measure of the deviation from a benchmark.

A Canadian-based tire company is due a $2,500,000 SGD payment from its Singapore-based distributor in two months. The firm prepares to use a forward contract priced at $0.80 CAD/SGD to hedge the exchange rate risk. If the Singapore dollar depreciates over the next two months to a spot rate of $0.73 CAD/SCD, how much more or less will the firm receive in Canadian dollars by hedging, versus an unhedged position?

A. $175,000 CAD more.

B. $175,000 CAD less.

C. $70,000 CAD more.

D. $29,167 SGD less.

Answer: A

Hedged position: $250,000 SGD×$0.80 CAD/SGD = $200,000 CAD

Unhedged position: $250,000×$0.73 CAD/SGD =$182,500 CAD

Past financial disasters have resulted when a firm allows a trader to have dual roles as both the head of trading and the head of the back-office support function. Which of the following case studies did not involve this risk?

I Drysdale Securities

II Daiwa

III Allied Irish Bank

IV Barings

A. I only

B. II and IV

C. I and III

D. I, II, and IV

Answer: C

The rogue traders for both Daiwa and Barings had dual roles as both the head of trading and the head of the back-office support function. This operational risk oversight allowed them to hide millions in losses from senior management. In the Allied Irish Bank case, John Rusnak did not run the back-office operations. The Drysdale Securities case did not deal with a rogue trader.

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