最新 [2023年12月04日] 100%合格率を保証します素晴らしい2016-FRR試験問題PDF
2016-FRR認定有効な試験問題集解答で学習ガイド！（最新の345問題)
質問 # 152
Which one of the following four statements about preferred shares is INCORRECT?
- A. Preferred shares are subordinated to debt.
- B. Preferred shares can be perpetual or have maturities far exceeding debt maturities.
- C. Preferred shares represent residual of a corporation after its other liabilities have been paid.
- D. Preferred shares refer to a class of securities that is a cross between equity and debt.
正解：C
質問 # 153
The retail banking business of BankGamma has an expected P & L of $50 million and a VaR of $100 million.
The bank seeks to diversify its revenue, and is considering the opportunity to acquire a credit card business
with an expected P & L of $50 million and a VaR of $150 million. What will be the overall RAROC if the
bank acquires the new business?
- A. 58%.
- B. 50%.
- C. 72%.
- D. 33.3%.
正解：A
質問 # 154
An asset manager for a large mutual fund is considering forward exchange positions traded in a clearinghouse
system and needs to mitigate the risks created as a result of this operation. Which of the following risks will be
created as a result of the forward exchange transaction?
- A. Exchange rate risk
- B. Credit risk
- C. Exchange rate and credit risk
- D. Exchange rate and interest rate risk
正解：D
質問 # 155
To quantify the aggregate average loss for the credit portfolio and its possible constituent subportfolios, a
credit portfolio manager should use the following metric:
- A. Credit VaR
- B. Factor sensitivity
- C. Expected loss
- D. Unexpected loss
正解：C
質問 # 156
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. Coupon-weighted average modified duration of the component bonds
- C. Minimum of the modified durations of the component bonds
- D. Value-weighted average modified duration of the component bonds
正解：D
質問 # 157
Which one of the following four alternatives lists the three most widely traded currencies on the global foreign
exchange market, as of April 2007, in the decreasing order of market share? EUR is the abbreviation of the
European euro, JPY is for the Japanese yen, and USD is for the United States dollar, respectively.
- A. USD, EUR, JPY
- B. EUR, USD, JPY
- C. USD, JPY, EUR
- D. JPY, EUR, USD
正解：A
質問 # 158
Alpha Bank determined that Delta Industrial Machinery Corporation has 2% change of default on a one-year
no-payment of USD $1 million, including interest and principal repayment. The bank charges 3% interest rate
spread to firms in the machinery industry, and the risk-free interest rate is 6%. Alpha Bank receives both
interest and principal payments once at the end the year. Delta can only default at the end of the year. If Delta
defaults, the bank expects to lose 50% of its promised payment. What interest rate should Alpha Bank charge
on the no-payment loan to Delta Industrial Machinery Corporation?
- A. 10%
- B. 9%
- C. 12%
- D. 8%
正解：A
質問 # 159
James Johnson bought a coupon bond yielding 4.7% for $1,000. Assuming that the price drops to $976 when
yield increases to 4.71%, what is the PVBP of the bond.
- A. $870.
- B. $976.
- C. $76.
- D. $26.
正解：D
質問 # 160
For a bank a 1-year VaR of USD 10 million at 95% confidence level means that:
- A. There is a 5% chance that the bank would lose less than USD 10 million in a year.
- B. There is a 5% chance that the worst loss would be USD 10 million in a year.
- C. There is a 5% chance that the least loss would be USD 10 million in a year.
- D. There is a 5% chance that the bank would lose more than USD 10 million in a year.
正解：D
質問 # 161
Asset and liability management is typically concerned with all of the following activities:
I. Maintaining the desired liquidity structure of the bank.
II. Managing the factors affecting the structure and composition of a bank's balance sheet.
III. Effectively transferring the interest rate risk in the banking book to the investment bank at a fair transfer
price.
IV. Focusing on the circumstances impacting the stability of income the bank generates over time.
- A. I, II, IV
- B. II, III
- C. III, IV
- D. I
正解：A
質問 # 162
Most loans and deposits in the interbank market have a maturity of:
- A. More than 3 years but less than 5 years
- B. Less than one year
- C. More than 10 years
- D. More than 5 years but less than 10 years
正解：B
質問 # 163
Which of the following statements about implementation of a successful RCSA program is correct?
- A. To ensure that the RCSA is well designed, it is important to interview participants, stakeholders and
support functions prior to the launching the RCSA. - B. The RCSA scoring methodology should include only financial impacts and not include reputational,
legal, regulatory, client and life safety impacts. - C. Internal loss data help to identify the risks and control weaknesses that need to be addressed in the
RCSA; external events are not helpful in informing the discussions around potential risks. - D. An RCSA is only complete after all possible mitigating actions have been identified and analyzed as a
result of the assessment process.
正解：A
質問 # 164
In additional to the commodity-specific risks, which of the following risks represent the main commodity
derivative risks?
I. Basis
II. Term
III. Correlation
IV. Seasonality
- A. I, II, III, IV
- B. II, III
- C. I, IV
- D. I, II
正解：A
質問 # 165
Which one of the four following statements about the Risk Adjusted Return on Capital (RAROC) is correct?
RAROC is the ratio of:
- A. Profitability to the risk of a trading portfolio or bank business unit.
- B. Profitability to the expected return of a trading portfolio or bank business unit.
- C. Value-at-risk to the profitability of a trading portfolio or a business unit.
- D. Risk to the profitability of a trading portfolio or a business unit within the bank.
正解：A
質問 # 166
Which of the following measure describes the symmetry of a statistical distribution?
- A. Kurtosis
- B. Mean
- C. Skewness
- D. Standard deviation
正解：C
質問 # 167
What is the explanation offered by the liquidity preference theory for the upward sloping yield curve shape?
- A. The short term rates must rise enough to get some borrowers to borrow short-term and some lenders to
lend long-term. - B. The long term rates must rise enough to get some borrowers to borrow short-term and some lenders to
lend long-term. - C. The short term rates must fall enough to get some borrowers to borrow long-term and some lenders to
lend short-term. - D. The long term rates must rise enough to get some borrowers to borrow long-term and some lenders to
lend short-term.
正解：B
質問 # 168
Bank G has a 1-year VaR of USD 20 million at 99% confidence level while bank H has a 1-year VaR of USD
10 million at the same confidence level. Which bank is in a more risky position as measured by VaR?
- A. Bank G is taking twice the risk of bank H as measured by VaR.
- B. Both banks are equally risky since the measurements are with the same confidence level.
- C. Since the confidence levels are the same we cannot make any conclusions.
- D. Bank H is taking twice the risk of bank G as measured by VaR.
正解：A
質問 # 169
John owns a bond portfolio worth $2 million with duration of 10. What positions must he take to hedge this
portfolio against a small parallel shifts in the term structure.
- A. Long position worth $20 million with duration of 1.
- B. Long position worth $2 million with duration of 10.
- C. Short position worth $2 million with duration of 10.
- D. Short position worth $20 million with duration of 1.
正解：C
質問 # 170
Which one of the following four statements on factors affecting the value of options is correct?
- A. As interest rates rise and option's rho is positive, option prices will decrease.
- B. As volatility rises, options increase in value.
- C. As time passes, options will increase in value.
- D. As the value of underlying security increases, the value of the put option increases.
正解：B
質問 # 171
As an example of the balance sheet effect, if rates rise, Delta Bank can expect:
- A. Its fixed rate assets to drop in value, although that effect will be offset by a reduction in the value of its
fixed rate liabilities. - B. Its fixed rate assets to increase in value, while that effect will be amplified by a reduction in the value of
its fixed rate liabilities. - C. Its fixed rate assets to drop in value, while that effect will be amplified by a reduction in the value of its
fixed rate liabilities. - D. Its fixed rate assets to increase in value, although that effect will be offset by a reduction in the value of
its fixed rate liabilities.
正解：A
質問 # 172
ThetaBank has extended substantial financing to two mortgage companies, which these mortgage lenders use
to finance their own lending. Individually, each of the mortgage companies has an exposure at default (EAD)
of $20 million, with a loss given default (LGD) of 100%, and a probability of default of 10%. ThetaBank's risk
department predicts the joint probability of default at 5%. If the default risk of these mortgage companies were
modeled as independent risks, what would be the probability of a cumulative $40 million loss from these two
mortgage borrowers?
- A. 10%
- B. 0.01%
- C. 1%
- D. 0.1%
正解：C
質問 # 173
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