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

出題：1

Which one of the four following statements about Basis point values is correct?
Basis point value:

A. Provides a quick estimate of the sensitivity of the bank's banking book, to increasing volatility in interest rates.

B. Is a widely used statistical tool used to measure market risk.

C. Is a risk sensitivity measure used to measure the point spread risk in the banking book.

D. Refers to the change in the value of a fixed income position for a very small change yields.

正解：D 解答を投票する

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出題：2

In the United States, stock investors must comply with the Regulation T of the Federal Reserve Bank and may borrow up to ___ of the value of the securities from their brokers.

A. 40%

B. 60%

C. 30%

D. 50%

正解：D 解答を投票する

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出題：3

Nijenhaus Bruch is currently creating a program of operational loss data collection at a bank with a large branch network. Which minimal data standards should this collection approach include to meet minimum loss data collecting standards?

A. Reports should capture the date of the event, the amount of loss, and recoveries of gross loss amounts.

B. Reports should only include the actual loss date.

C. Reports should capture both the date of the event and the amount of loss.

D. Reports should be designed to be shared with external data loss consortia recipients.

正解：A 解答を投票する

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出題：4

According to Basel II what constitutes Tier 3 capital?

A. Subordinated debt issues that pay interest.

B. Hybrid debt capital instruments that are similar to equity.

C. Debt capital that can only be used to support market risk in the trading book of the bank.

D. Preference shares that confer on issuers the right to defer payment of a fixed dividend.

正解：C 解答を投票する

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出題：5

Which one of the following is a typical source of funding for a commercial bank's assets?

A. Cash

B. Consumer deposits

C. Commercial lending

D. Commodities markets

正解：B 解答を投票する

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出題：6

In analyzing market option pricing dynamics, a risk manager evaluates option value changes throughout the entire trading day. Which of the following factors would most likely affect foreign exchange option values?
I. Change in the value of the underlying
II. Change in the perception of future volatility
III. Change in interest rates
IV. Passage of time

A. I, II, III, IV

B. I, II

C. I, II, III

D. II, III

正解：A 解答を投票する

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出題：7

An asset and liability manager for a large financial institution has to recognize that retail products ___ include embedded options, which are often not rationally exercised, while wholesale products ___ carry penalties for repayment or include rights to terminate wholesale contracts on very different terms than are common in retail products.

A. Hardly ever; rarely

B. Hardly ever; typically

C. Frequently; rarely

D. Frequently; typically

正解：D 解答を投票する

出題：8

Which of the following factors is included within the Basel definition of operational risk?

A. Pandemic risk

B. Reputational risk

C. Strategic risk

D. Legal risk

正解：D 解答を投票する

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出題：9

James Johnson bought a 3-year plain vanilla bond that has yield of 4.7% and 4% coupon paid annually, for
$87,139. Macauley's duration of the bond is 2.94 years. Rate volatility is 20% of the yield. The bond's annualized volatility is therefore:

A. 2.81%.

B. 2.90%.

C. 3.15%.

D. 2.64%.

正解：C 解答を投票する

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出題：10

James Arthur is a customer of a bank who has taken a floating rate loan from the bank. He is concerned that the rates may rise in the future increasing his payment amount. Which of the following instruments should he buy to hedge against the rise in interest rates?

A. Interest rate floor

B. Index amortizing swap

C. Interest rate swap that receives fixed and pays floating

D. Interest rate cap

正解：D 解答を投票する

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出題：11

Gamma Bank provides a $100,000 loan to Big Bath retail stores at 5% interest rate (paid annually). The loan is collateralized with $55,000. The loan also has an annual expected default rate of 2%, and loss given default at 50%. In this case, what will the bank's expected loss be?

A. $750

B. $1,300

C. $1,000

D. $500

正解：C 解答を投票する

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出題：12

Which of the following factors can cause obligors to default at the same time?
I). Obligors may be harmed by exposures to similar risk factors simultaneously.
II). Obligors may exhibit herd behavior.
III). Obligors may be subject to the sampling bias.
IV). Obligors may exhibit speculative bias.

A. I, II

B. III, IV

C. II, III

D. I

正解：A 解答を投票する

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出題：13

Present value of a basis point (PVBP) is one of the ways to quantify the risk of a bond, and it measures:

A. The percentage change in bond price when the yields change by 1%.

B. The change in value of a bond when yields increase by 0.01%.

C. The present value of the future cash flows of a bond calculated at a yield equal to 1%.

D. The percentage change in bond price when yields change by 1 basis point.

正解：B 解答を投票する

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出題：14

Which one of the following four statements about market risk is correct? Market risk is

A. The exposure to an adverse change in the credit quality in portfolios or of financial instruments.

B. The maximum likely loss in the market value of portfolios and financial instruments caused by the failure of the counterparty to meet its obligations.

C. The exposure to an adverse change in the market value of portfolios and financial instruments caused by a change in market prices or rates.

D. The maximum likely loss in the market value of portfolios and financial instruments over a given period of time.

正解：C 解答を投票する

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