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

出題：1

Securitization is a process by which banks:

A. Sell liquid assets

B. Increase the exogenous liquidity of the assets

C. Sell illiquid assets

D. Decrease their endogenous liquidity of the assets

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：2

Which one of the following four exotic option types has another option as its underlying asset, and as a result of its construction is generally believed to be very difficult to model?

A. Chooser options

B. Spread options

C. Binary options

D. Compound options

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：3

Which one of the following four statements about the relationship between exchange rates and option values is correct?

A. As the dollar appreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate increases.

B. As the dollar depreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate increases.

C. As the dollar appreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate decreases.

D. As the dollar appreciates relative to the pound, the right to sell dollars at a fixed pound exchange rate increases.

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：4

A risk associate responsible for the operational risk function wants to evaluate the upward reporting governance structure and to assess its critical features. Which one of the four attributes does not represent a critical feature of the upward reporting governance structure?

A. Relevance

B. Security

C. Independence

D. Importance

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

What is it called when obligors default at the same time?

A. Herd behavior

B. Divergent behavior

C. Speculative bias

D. Default bias

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：6

A portfolio consists of two floating rate bonds and one fixed rate bond.

Based on the information below, modified duration of this portfolio is

A. 4.28

B. 3.00

C. 4.44

D. 2.64

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：7

Under Basel III, what is divided by Total Exposure to calculate the bank's Leverage Ratio?

A. Tier 1 Capital

B. Tier 2 Capital

C. Tier 3 Capital

D. Total regulatory capital

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：8

Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?

A. The time to maturity

B. The underlying interest rates

C. The future volatility of the exchange rates

D. The underlying relevant exchange rates

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：9

Which one of the four following statements about technology systems for managing operational risk event data is incorrect?

A. Operational risk loss event data collection software can be internally developed.

B. Operational risk event databases are always integrated with the other components of the operational risk management program.

C. The implementation of a new operational risk event loss database has to incorporate an analysis of the advantages and disadvantages of external systems.

D. Operational risk event databases are independent elements of the operational risk management framework.

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：10

Which one of the following four global markets for financial assets or instruments is widely believed to be the most liquid?

A. Commodities market

B. Foreign exchange market.

C. Equity market.

D. Fixed income market

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

Which of the following statements presents an advantage of using risk and control self-assessments (RCSA) in the operational risk framework?
I. RCSA provides very accurate scoring of risks and controls due to its subjective nature.
II. RCSA program provides insight into risks that exist in a firm, but that may or may not have occurred before.
III. RCSA program can produce biased but transparent operational risk reporting.
IV. RCSA program allows each department to take ownership of its own risks and controls.

A. II and IV

B. I and III

C. II, III, and IV

D. I, II and III

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：12

What do option deltas measure?

A. The rate of change of the option value with respect to changes in volatility of the underlying instrument.

B. The sensitivity of the option value to changes risk free interest rate.

C. The rate of change of the option value with respect to changes in the price of the underlying instrument.

D. The sensitivity of the option value to the passage of time.

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：13

Using a forward transaction, Omega Bank buys 100 metric tones of aluminum for delivery in six-months' time. However, after two months, the bank becomes concerned with the potential fluctuations in aluminum prices and wants to hedge its potential exposure against a possible decline in aluminum prices. Which one of the following four strategies could the bank use to offset the risk from its current exposure to aluminum as it sets the price for selling the commodity in four-months' time?

A. Sell an aluminum forward contract

B. Buy an aluminum forward contract

C. Sell an aluminum futures contract

D. Buy an aluminum futures contract

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」