2016-FRR試験無料問題集（390題）「GARP Financial Risk and Regulation (FRR) Series 認定」

出題：1

A risk manager has a long forward position of USD 1 million but the option portfolio decreases JPY 0.50 for every JPY 1 increase in his forward position. At first approximation, what is the overall result of the options positions?

A. The options positions hedge the forward position by 25%.

B. The option positions hedge the forward position by 50%.

C. The option positions hedge the forward position by 75%.

D. The option positions hedge the forward position by 100%.

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：2

Interest rate swaps are:

A. Exchange traded derivative contracts that allow banks to take positions in future interest rates.

B. OTC derivative contracts that allow banks and customers to obtain the risk/reward profile of long-term interest rates without relying on long-term funding.

C. Exchange traded derivative contracts that allow banks and customers to obtain the risk/reward profile of long-term interest rates without having to use long-term funding.

D. OTC derivative contracts that allow banks to take positions in series of future exchange rates.

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：3

To estimate the price of gold forwards, an investment analyst focuses on the cost of holding physical gold (bullion) and the cost of shorting the same. Given that physical gold spot price is $1,000, the annual risk-free rate is 5%, and the gold lease rate equals 2% annually, the analyst's best estimate of the gold forward price to equal

A. $1100

B. $1030

C. $950

D. $1070

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：4

Samuel Teng owns a portfolio of bonds and is trying to compute the convexity of his portfolio. Which of the following choices equals the convexity of Samuel's portfolio?

A. Minimum of the convexities of the component bonds

B. Value-weighted average convexity of the component bonds

C. Coupon-weighted average convexity of the component bonds

D. Maximum of the convexities of the component bonds

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：5

Which one of the following statements accurately describes market risk tolerance?

A. Market risk tolerance is the maximum likely gain in the market value of portfolios over a given period of time.

B. Market risk tolerance is the maximum loss in the market value of financial instruments caused by the failure of the counterparty to meet its obligations.

C. Market risk tolerance is the minimum loss the bank is willing to bear due to fluctuations in market prices and rates.

D. Market risk tolerance is the maximum loss the bank is willing to bear due to fluctuations in market prices and rates.

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：6

An associate from the finance group has been identified as an operational risk coordinator (ORC) for her department. To fulfill her ORC responsibilities the associate will need to:
I. Provide main communication contact with operational risk department
II. Provide main reporting contact with audit department
III. Coordinate collection of key risk indicators in her area
IV. Coordinate training and awareness activities in her area

A. II, III, IV

B. I, II

C. I, III, IV

D. I, II, III

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：7

PV01 is a method of describing interest rate risk. Which one of the following is a specific weakness of PV01?

A. PV01 requires a large number of calculations to produce a reasonable estimate of the effect of interest rate changes

B. PV01 overestimates convexity risk

C. PV01 underestimates the effect of small changes in interest rates

D. PV01 is not very good at describing value change due to large changes in interest rates

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：8

A bank considers issuing new capital to increase its Tier 1 capital levels. Which of the following financial instruments would most likely to be considered?

A. Short-term callable debt

B. Short-term debt convertible to non-cumulative preferred shares

C. Long-term and callable debt convertible to equity

D. Convertible preferred shares

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：9

What is a common implicit assumption that is made when computing VaR using parametric methods?

A. The mean and standard deviation of returns change periodically in response to crises.

B. The standard deviations of returns are constant, but the mean changes over time.

C. The expected returns are constant, but the standard deviation changes over time.

D. The mean of and the standard deviations of returns are both constant.

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：10

A corporate bond was trading with 2%probability of default and 60% loss given default. Due to the credit crisis the probability of default increased to 10% and the loss given default increased to 100%. Assuming that the risk premium remained the same how did the credit spread change?

A. Increased by 1000 basis points

B. Increased by 1120 basis points

C. Decreased by 880 basis points

D. Increased by 880 basis points

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：11

An asset-sensitive bank will have a ___ cumulative gap and will benefit from ___ interest rates.

A. Negative; rising

B. Negative; dropping

C. Positive; dropping

D. Positive; rising

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：12

A risk analyst is considering how to reduce the bank's exposure to rising interest rates. Which of the following strategies will help her achieve this objective?
I. Reducing the average repricing time of its loans
II. Increasing the average repricing time of its deposits
III. Entering into interest rate swaps
IV. Improving earnings capacity and increasing intermediated funds

A. III

B. I, II

C. IV

D. I, II, IV

正解：A 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：13

Which one of the following four statements about economic capital of a bank is correct?

A. Economic capital is determined by rules imposed by an external authority.

B. Economic capital measures how the economy is doing compared to the bank.

C. Economic capital is the present value of the earnings generated by the bank in the future.

D. Economic capital reflects the possible losses that could occur based on the bank's own estimates of the risks it is taking.

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：14

Which one of the following four statements regarding the current value of a transaction and its purposes is INCORRECT?

A. For cash settled instrument the final market value is used to settle the transaction with the counterparty

B. Counterparty credit risk calculations are made by analyzing the current values of all deals with the same counterparty.

C. Profit and loss calculations are made by comparing the current values to the intrinsic values.

D. Margin call by futures exchanges are based on the current market value.

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：15

Altman's Z-score incorporates all the following variables that are predictive of bankruptcy EXCEPT:

A. Return on total assets

B. Return on equity

C. Sales to total assets

D. Equity to debt

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：16

Oliver McCarthy owns a portfolio of bonds. Which of the following choices equals the modified duration of Oliver's portfolio?

A. Maximum of the modified durations of component bonds

B. Minimum of the modified durations of the component bonds

C. Value-weighted average modified duration of the component bonds

D. Coupon-weighted average modified duration of the component bonds

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

2016-FRR試験無料問題集「GARP Financial Risk and Regulation (FRR) Series 認定」