FRM第一套題(7融風險管理師(FRM)國際認證自測自練)

1、單選題1.On a multiple choice exam with four choices for each of six questions, what is the probability that a stude nt gets less tha n two questi ons correct simply by guess ing? (D)A. 0.46%B. 23.73%C. 35.60%D 53.39%2.A portfolio man ager en ters into a total rate of retur n swap as the total retur n r

2、eceiver. Under which of the following situations would the portfolio manager be required to make a net outlay to the coun terparty? (C)A. If the tran sact ion was in itiated as a hedge, the n no outlay was required.B.There was a capital gain on the reference asset.C. The market value of the refere n

3、ee asset decreased sig nifica ntly.D. The spread betwee n the reference asset and the ben chmark asset cha nged.3.Which type of distributi on produces the lowest probability for a variable to exceed a specified extreme value X which is greater tha n the mean assu ming the distributi ons all have the

4、 same mean and varia nee? (D)A. A leptokurtic distribution with a kurtosis of 4.B. A leptokurtic distribution with a kurtosis of 8.C. A no rmal distributi on.D. A platykurtic distributi on4.Give n two ran dom variables X and Y, what is the Varia nee of X give n Varia nceY =100,Varia nee 4X - 3Y = 2,

5、700 and the correlation between X and Y is 0.5? (D_A. 56.3B. 113.3C. 159.9D 225.05.Which of the follow ing reduce a credit exposure by shorte ning the effective maturity of a positi on? (A)I. Liquidity putII. Credit triggerA. Both land IIB. I but not IIC. II but not ID. Neither of I or II6.In a secu

6、ritized tran sacti on, over-collateralizati on results whe n (D)A. The origi nator puts aside some cash in a reserve acco unt to absorb credit losses.B. A securitizati on tran sacti on carves up the cash flows gen erated from the asset pool into various pieces.C. The in terest payme nts and other fe

7、es received on the assets in the pool exceed the in terest payment made on the ABS plus the fee paid to service the assets along with miscellaneous expe nses.s curre ntD. The value of the assets in the pool exceeds the amount of Asset Backed Security (ABS) in volved.7.The payoff of some hedge fund s

8、trategies is commonly identified with the payoff of opti on strategies.The payoff of a long look-back straddle corresp ond best to the payoff of (C)_A. A trend following strategy.B. A fixed-income arbitrage strategy.C. A fixed-i ncome con verge nee strategy.D. A spread tradi ng strategy.8.Suppose th

9、e rate on 1-year zero-coup on corporate bonds is 13.5% and the implied probability of default is 3.96%. Assume LGD is 100%. Based on the giveninformation, the 1-year T-bill rate is closest to: (B)_A. 4.49%B. 9.00%C. 6.74%D. 6.00%9.A portfolio man ager wants to hedge his bond portfolio aga inst cha n

10、ges in in terest rates. He intends tobuy a put option with a strike price below the portfolioprice in order to protect against rising interest rates. He also wants to sell a call opti on with a strike price above the portfolioordecuareed pcicehiecost of buying the put opti on. What strategy is the m

11、an ager using? (C)A. Bear spreadB. Stra ngleC. CollarD. Straddle10. Paul Graham, FRM is analyzing the sales growth of a baby product launched three years ago by a regi onal compa ny. He assesses that three factors con tribute heavily towards the growth and comes up with the following results:Y = b +

12、 1.5 X 1 + 1.2X2 + 3X3Sum of Squared Regression SSR = 869.76Sum of Squared Errors SEE = 22.12Determine what proportion of sales growth is explained by the regression results. (QA. 0.36B. 0.98C. 0.64D. 0.5511. Which of the following is not a limitation of using the Capital Asset Pricing Model to meas

13、ure equity requireme nts for operati onal risk? (D)A. Measureme nt error in separately measuri ng levered and un-levered beta.B. Time lags in variables like tax and regulation being reflected in historical beta estimates.C. Requires detailed knowledge of profit and loss accounting to go from beta to

14、 a specific measure of operati onal risk.D. All of the above.12.Bank Omega s foreign currency trading desk is composed of 2 dealers; dealer A, who holds a long positi on of 10 milli on CHF aga inst the USD, and dealer B, who holds a long positi on of 10 milli on SGD aga inst the USD. The curre nt sp

15、ot rates for USD/CHF and USD/SGD are 1.2350 and 1.5905 respectively.Using the varia nce/covaria nee approach, you worked out the 1 day, 95%VAR of dealer A to be USD77,632 and that of dealer B to be USD27,911. If the correlation coefficient between the SGD and CHF is +0.602 and assuming that these ar

16、e the only trading exposures for dealer A and dealer B, what would you report as the 1 day, 95%VAR of Bank Omega s foreigncurre ncy tradi ng desk using the varia nce/covaria nee approach? (A)A. USD 97,027B. USD 105,543C. USD 113,932D. Cannot be determ ined due to in sufficie nt data13. All else bein

17、g equal, which of the following options would cost more than plain van ilia options? (B)I. lookback opti onsII. barrier opti onsIII. Asia n opti onsIV. chooser opti onsA. I o nlyB. I and IVC. II a nd IIID. I, III a nd IV14. Un der the Internal rat in gs-based approach of the Basel II accord for secu

18、ritizati on exposures, an Asset-backed commercal paper s (ABCP), which of the following does Thickness of exposure (B)efer to?A. The average number of years the bank has been associated with the borrower as a lender.B. It is the ratio of the nominal size of the tranche of interesttional amount ofto

19、the noexposures in the pool.C. It is the ratio of the amount of all securitizati on exposures subord in ate to the tran che inquestion to the amount of exposures in the pool.D. The average amount of the exposure (intern ati on al) to the gibbprrowers in the pool con verted to Euros.15. Assuming othe

20、r things constant, bonds of equal maturity will still have different DV01 per USD 100 Face Value. Their DV01 per USD 100 Face Value will be in the followi ng seque nee of Highest Value to Lowest Value: (B)_A. Zero Coup on Bon ds, Par Bon ds, Premium BondsB. Premium Bon ds, Par Bon ds, Zero Coup on B

21、ondsC. Premium Bon ds, Zero Coup on Bon ds, Par Bon ds,D. Zero Coup on Bon ds, Premium Bon ds, Par Bonds16. The risk-neutral default probability and the real-world (or physical) default probability are used in the analysis of credit risk. Which one of the following stateme nts on their uses is corre

22、ct?但)A. Real-world default probability should be used in seenario analyses of potential future losses from defaults, and real-world default probability should also be used in valuing creditderivatives.B. Real-world default probability should be used in seenario analyses of potential future losses fr

23、om defaults, but risk -n eutral default probability should be used in val uing credit derivatives.C. Risk-neutral default probability should be used in seenario analyses of potential future losses from defaults, and risk-neutral default probability should also be used in valuing credit derivatives.D

24、. Risk-neutral default probability should be used in seenario analyses of potential future losses from defaults, but real-world default probability should also be used in valuing credit derivatives.17. You are given the following information about a call option:? Time to maturity = 2 years? Continuo

25、us risk-free rate = 4%? Con tin uous divide nd yield = 1%? N(di) = 0.64Calculate the delta of this optio n. (QA. -0.64B. 0.36C. 0.63D. 0.6418. Which of the following statements about American options is false? (CLA. American options can be exercised at any time until maturityB. American options are

26、always worth at least as much as European optionsC. American options can easily be valued with Monte Carlo simulationD. America n opti on s can be valued with bi no mial treesQuestions 19 and 20 use the following information.Con sider a stock that pays no divide nds, has a volatility of 25% per annu

27、m and an expected retur n of 13% per annum. Suppose that the curre nt share price of the stock, S0, is USD 30. You decide to model the stock price behavior using a discrete-time vers ion of geometric Brownian motion and to simulate paths of the stock price using Monte Carlo simulation. Let t denote

28、the time interval used and let St denote the stock price at time interval t. So, accord ing to your model,st + 1 = st (1 + 0.13 t + 0.25 t ) where is a sta ndard no rmal variable.19. To impleme nt this simulati on, you gen erate a path of the stock price by starti ng at t =0, gen erat ing a sample f

29、or , updat ing the stock price accord ing to the model,in creme nti ng t by 1, and repeat ing this process un til the end of the horiz on is reached.Which of the followi ng strategies for gen erat ing a sample for will impleme nt this simulati on properly? (A)_A. Gen erate a sample for by using the

30、in verse of the sta ndard no rmal cumulative distribution of a sample value drawn from a uniform distribution between 0 and 1.B. Gen erate a sample for by sampli ng from a no rmal distributi on with mea n 0.13 andsta ndard deviati on 0.25.C. Gen erate a sample for by using the in verse of the sta nd

31、ard no rmal cumulative distribution of a sample value drawn from a uniform distribution between 0 and 1. Use Cholesky decomposition to correlate this sample with the sample from the previous time in terval.D. Gen erate a sample for by sampli ng from a no rmal distributi on with mea n 0.13 andsta nda

32、rd deviati on 0.25. Use Cholesky decompositi on to correlate this sample with the sample from the previous time in terval.20. You have implemented the simulation process discussed above using a time interval t = 0.001, and you are an alyz ing the followi ng stock price path gen erated by your implem

33、e ntatio n. (B)Given this sample, which of the following simulation steps most likely contains an error?A. Calculation to update the stock price.B. Gen erati on of ran dom sample value for .C. Calculati on of the cha nge in stock price duri ng each period.D. None of the above.21. Under the comprehen

34、sive approach for foundation IRB, which of the following methods is used for calculati ng the effective loss give n default (LGD*) where:? LGD* is the effective loss given default(considering risk mitigation measures) ? LGD is that of the senior un secured exposure before recog niti on of collateral

35、 (45%); ? E is the curre nt value of the exposure (i.e. cash lent or securities lent cr posted);? E* is the exposure value after risk mitigati on? IRB-I nternal Rat ing Based Approach(A)A. LGD* = LGD x (E* / E)B. LGD* = LGD x (E* )*(E)C. LGD* = LGD x (E* + E)D. LGD* = LGD x (E* - E)22. Suppose a 20-

36、year annual coup on bond has a DV01 of 0.14865. Also suppose a 12-year annual coup on bond, which will be used as the hedgi ng in strume nt, has a DV01 of 0.09764. If the yield beta is 1.10, which of the following statementsaccurately describes the situation? CA. The hedgi ng in strume nt is sig nif

37、ica ntly more volatile tha n the positi on in the 20-year bond, and the hedge ratio is 1.67467.B. The positi on in the 20-year bond is sig nifica ntly more volatile tha n the hedgi ng in strume nt, and the hedge ratio is 0.72253.C. In order to have a perfectly hedged position, for every USD 1 of the

38、 20-year bond, USD1. 67467 of the 12-year bo nd should be shorted.D. In order to have a perfectly hedged position, for every USD 1 of the 20-year bond, USD 0.72253 of the 12-year bond should be shorted.23. Which of the following statements about the differences between market andoperational value-at

39、-risk at financial institutions are correct? (A)_I.The distribution of operational risk events must include sufficient mass in the extreme tail, making an assumpti on of a log no rmal distributi on in valid.II. The typical time horizon of market VaR calculations is 1 day, whereas the typical time ho

40、rizon of operational VaR calculations is 1 year.III. Since prices are sufficiently available for liquid assets at all times, the market risk of liquid assets can be modeled using continuous distributions, but the nature of operational risk eve nts requires using discrete distributi ons.IV. Market Va

41、R requires a higher con fide nce level tha n operati onal VaR.A. I, II, and IIIB. I, II a nd IVC. I, II, III a nd IVD. III a nd IV24. Which of the following is not a modeling approach to credit scoring? (D)A. k-n earest n eighbor classifier models.B. Logit and Probit models.C. Fisher lin ear discrim

42、 inant an alysis.D. Bayesia n vector autoregressi on.25. Suppose an existing short option position is delta-neutral, but has a gamma ofn egative 600. Also assume that there exists a traded opti on with a delta of 0.75 and a gamma of 1.50. In order to maintain the position gamma-neutral and delta-neu

43、tral, which of the followi ng is the appropriate strategy? (A)_A. Buy 400 opti ons and sell 300 shares of the un derl ying asset.B. Buy 300 opti ons and sell 400 shares of the un derly ing asset.C. Sell 400 opti ons and buy 300 shares of the un derly ing asset.D. Sell 300 opti ons and buy 400 shares

44、 of the un derly ing asset.26. Which of the followi ng is not a true stateme nt about in ternal credit rat in gs? (D)A. The a-ahe-po in t-i n- time ” approach makes heavy use of econo metric modeli ng that relates curre nt finan cial variables to estimated default risk.B. The “ througthie-cycle ” ap

45、proach is forwa-1(d)ok ing and attempts to in corporate future econo mic seen arios into curre nt default risk estimates.C. “Atthe-point-in-time ” credit scores volatility is much higher than-the-cycle throughscore volatility.D. A sound in ternal system uses at-the-po in t-i n-time scori ng for smal

46、l-to-medium-sizeds operatcompa nies and private firms and through-the-cycle scori ng for large firms.27. Firm A has equity volatility of .3 and debt to firm value (debt to capitalization) of 4 Firm B has the same debt to firm value but its asset volatility is .3. Which statement about firms A and B

47、is true? (D)_A The capital of Firm A is less tha n the leverage of Firm B.B The volatility of Firm A s operations is greater than the volatility of Firm BC The equity of Firm B is less risky than the equity of Firm A. D The equity of Firm A is less risky than the equity of Firm B.28. One of the requ

48、irements while using IRB is full integration of the internal model into the overall man ageme nt in formati on systems of the in stituti on and in the man ageme nt of the banking book equity portfolio. Which of the follow ing best describes this requireme nt? (D)A Establishi ng in vestme nt hurdle r

49、ates and evaluat ing alter native in vestme nts.B Measuri ng and assess ing equity portfolio performa nee (in cludi ng the risk-adjusted performa nee).C Allocati ng econo mic capital to equity holdi ngs and evaluat ing overall capital adequacy as required un der Pillar 2.D All of the above.29. Fund

50、A which pursues energy trading derivatives strategies is considering merging with Fund B, an equity derivatives trading operation. One of the primary drivers behi nd the merger talks is the possibility of sav ings on the tech no logy and operations staff supporting each firm s trading environment. C

51、ertain thfe facts un derly ing the merger discussi ons are as follows:Yearly Operati ons Cost Yearly Tran sact ion Volume Avg. Cost of Productio nFund A 2,000,000 4 Bln .05%Fund B 1,200,000 6 Bln .02%Assu ming Fund A and Fund B decided to merge and determ ine that through the comb in ati on they can

52、 support their comb ined tradi ng activities at a total cost of 2,500,000, what would be the average cost of tech no logy and operati ons for the combi ned firm. (D)A .52% due to disec ono mies of scopeB .25% due to econo mies of scaleC .52% due to disec ono mies of scale D .25% due to econo mies of

53、 scope30. You are hired as the credit risk manager for a large bank. You find that the bankcredits are poorly diversified. The bank has an extremely large exposure to one firm with a BB rat ing. All its other loa ns have the equivale nt of an AAA rati ng. You recommend that the bank diversify its cr

54、edit exposures. After the bank follows your advice, you are summoned to the CEO s office and fired. The CEOtlseiysfollowed your advice, acquired many small exposures to firms with BB ratings to replace the large exposure, and all it did was to make the bank riskier because its credit VaR in creased.

55、 The bank measures its credit VaR as the maximum loss of pr in cipal over one year at the 1% level. You seek advice from a con sulta nt to make sure not to repeat the mistake you made. Which of the following explanationsprovided by the con sulta nt is correct? (C)A VaR n ecessarily falls as diversif

56、icati on in creases. Con seque ntly, the bank s software tocompute VaR must be flawed.B The bank did not diversify since it replaced one exposure with a BB rati ng with multiple exposures with a BB rati ng.C The VaR would not have in creased had the bank measured it as a shortfall relative to the ex

57、pected value of the banking book.D The VaR would not have in creased had the bank not used the n ormal distributi on for the portfolio return.31. Assume we estimate volatility and calculate a one day VaR. If volatility is mean revert ing what can we say about the t day VaR? (D)A It is less than the

58、t * one day VaRB It is equal to t * one day VaRC It is greater than the t * one day VaRD It could be greater or less than the t * one day VaR32. Your firm is holding a short position in an Argentinean bond with a notional valueof ARS 5,000,000 and a coupon yield of 5.5%. Your model predicts the bo n

59、d syield will decrease over the coming year. You are asked to hedge the position. Your recomme ndati on is to: (B)A Buy a credit default swapB Sell a credit-spread put opti onC Short a credit-spread forwardD Buy a total rate of return swap33. Imagine a stack-and-roll hedge of monthly commodity deliv

60、eries that you continue for the n ext five years. Assume the hedge ratio is adjusted to take into effect the mistiming of cash flows but is not adjusted for the basis risk of the hedge. In which of the following situations is your calendar basis risk likely to be greatest? (A)_A. Stack and roll in t