無料提供される2016-FRR問題集と2016-FRRリアル試験問題
GARP 2016-FRR実際の問題とブレーン問題集
質問 139
All of the four following exotic options are path-independent options, EXCEPT:
- A. Power options
- B. Asian options
- C. Chooser options
- D. Basket options
正解: B
質問 140
Gamma Bank estimates its monthly portfolio volatility at 5%.The portfolio's annual volatility is closest to
which of the following?
- A. 17%
- B. 8%
- C. 35%
- D. 30%
正解: A
質問 141
Which one of the following four statements best describes challenges of delta-normal method of mapping
options positions?
Delta-normal method understates
- A. Risks of short option positions and overstates risks of long option positions for both calls and puts.
- B. Risks of long and short positions for both calls and puts.
- C. Risks of long option positions for puts and overstates risks of short option positions for calls.
- D. Risks of long option positions for calls and overstates risks of short option positions for puts.
正解: A
質問 142
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 exposure at default (EAD) be?
- A. $50,000
- B. $105,000
- C. $75,000
- D. $25,000
正解: A
質問 143
Which one of the following four statements about regulatory capital for a bank is accurate?
- A. Regulatory capital reflects the economic tradeoffs of the bank as accurately as the bank can represent
them. - B. Regulatory capital is the lowest level of economic capital the bank should have to meet regulatory
requirement. - C. Regulatory capital is determined by rules imposed by an outside authority, such as a supervisor or
central bank. - D. Regulatory capital is less than the regulatory capital requirement.
正解: C
質問 144
The market risk manager of SigmaBank is concerned with the value of the assets in the bank's trading book.
Which one of the four following positions would most likely be not included in that book?
- A. $10,000,000 loan to IBM worth $9,800,000.
- B. $10,000,000 bond issued by IBM worth $11,000,000.
- C. 10,000 shares of IBM worth $10,000,000.
- D. 300,000 options on IBM shares worth $10,000,000.
正解: A
質問 145
Floating rate bonds typically have ________ duration which means they have ________ sensitivity to interest
rate changes.
- A. long, small
- B. long, high
- C. short, small
- D. short, high
正解: C
質問 146
BetaFin, a financial services firm, does not have retail branches, but has fixed income, equity, and asset
management divisions. Which one of the four following risk and control self-assessment (RCSA) methods fits
the firm's operational risk framework the best?
- A. RCSA loss data approach
- B. RCSA scenario analysis approach
- C. RCSA workshop approach
- D. RCSA questionnaire approach
正解: C
質問 147
Which one of the following four statements correctly defines a typical carry trade?
- A. A bank borrows funds in a low-interest currency, accumulates reserves, and lends in another
low-interest currency. - B. A bank borrows funds in a high-interest currency and invests the funds into high-yield emerging market
debt. - C. A bank borrows funds in a high-interest currency and places the funds in a long-term low volatility
investment vehicle. - D. A bank borrows funds in a low-interest currency and places the funds on deposit in a high-interest
currency.
正解: D
質問 148
In the United States, during the second quarter of 2009, transactions in foreign exchange derivative contracts
comprised approximately what proportion of all types of derivative transactions between financial institutions?
- A. 2%
- B. 25%
- C. 7%
- D. 43%
正解: C
質問 149
From the bank's point of view, repricing the retail debt portfolio will introduce risks of fluctuations in:
I. Duration
II. Loss given default
III. Interest rates
IV. Bank spreads
- A. III, IV
- B. I
- C. I, II
- D. II
正解: A
質問 150
Which one of the following four alternatives correctly identifies the purpose of a clearinghouse in trading
activities?
- A. Reduction of operational risk and credit risk
- B. Reduction of counterparty risk and liquidity risk
- C. Reduction of market risk and credit risk
- D. Reduction of basis risk and mark-to-market risk
正解: B
質問 151
Counterparty credit risk assessment differs from traditional credit risk assessment in all of the following
features EXCEPT:
- A. Exposures can often be netted
- B. Exposure at default may be negatively correlated to the probability of default
- C. Counterparty risk creates a two-way credit exposure
- D. Collateral arrangements are typically static in nature
正解: D
質問 152
When considering the advantages of operational risk function owned by the Chief Compliance Officer in a
financial institution, an operational risk manager consultant suggests that this governance approach will have
all of the following advantages except:
- A. In accordance with Basel II Accord, the operational risk function should report directly into the audit
function and strengthen that function. - B. This governance structure maintains an independent operational risk function.
- C. The operational risk function quickly inherits an existing reporting structure, established meeting
schedules and functional reporting cycles from the compliance function. - D. The operational risk function is closely linked in a partnership with the compliance function to leverage
data and assessment activities.
正解: A
質問 153
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. Coupon-weighted average convexity of the component bonds
- B. Value-weighted average convexity of the component bonds
- C. Minimum of the convexities of the component bonds
- D. Maximum of the convexities of the component bonds
正解: B
質問 154
Banks duration match their assets and liabilities to manage their interest risk in their banking book. A bank has
$100 million in interest rate sensitive assets and $100 million in interest rate sensitive liabilities. Currently the
bank's assets have a duration of 5 and its liabilities have a duration of 2. The asset-liability management
committee of the bank is in the process of duration-matching. Which of the following actions would best
match the durations?
- A. Decrease the duration of liabilities by 1 and decrease the duration of assets by 1.
- B. Increase the duration of liabilities by 2 and increase the duration of assets by 1.
- C. Decrease the duration of liabilities by 1 and increase the duration of assets by 1.
- D. Increase the duration of liabilities by 2 and decrease the duration of assets by 1.
正解: D
質問 155
Which of the following risk types are historically associated with credit derivatives?
I. Documentation risk
II. Definition of credit events
III. Occurrence of credit events
IV. Enterprise risk
- A. II, III, IV
- B. I, II, III
- C. I, II
- D. I, IV
正解: B
質問 156
Modified duration of a bond measures:
- A. The present value of the future cash flows of a bond calculated at a yield equal to 1%.
- B. The percentage change in a bond price when the yields change by 1%.
- C. The change in value of a bond when yields increase by 1 basis point.
- D. The percentage change in a bond price when yields increase by 1 basis point.
正解: B
質問 157
What is the order in which creditors and shareholders get repaid in the event of a bank liquidation?
- A. Debt holders, depositors, shareholders.
- B. Depositors, debt holders, shareholders.
- C. Depositors, shareholders, depositors.
- D. Depositors, shareholders, debt holders.
正解: B
質問 158
An endowment asset manager with a focus on long/short equity strategies is evaluating the risks of an equity
portfolio. Which of the following risk types does the asset manager need to consider when evaluating her
diversified equity portfolio?
I. Company-specific projected earnings and earnings risk
II. Aggregate earnings expectations
III. Market liquidity
IV. Individual asset volatility
- A. II, III
- B. I
- C. I, II, IV
- D. I, IV
正解: A
質問 159
Which of the following bank events could stress the bank's liquidity position?
I. Maturing of bank debt
II. Repurchase agreements
III. Futures margins
IV. Staff turnover
- A. I, II and III
- B. IV
- C. III, IV
- D. I, II
正解: A
質問 160
Gamma Bank has a significant number of retail customers and finds its balance sheet shape and structure
difficult to manage. Which one of the following characteristics of a bank with wide retail operations is
INCORRECT?
- A. Attracting and retaining customers often involves offering retail products whose features are different
from wholesale market products. - B. Banks with a wide retail base are typically driven by contractual obligations and not simply relationship
considerations. - C. Pricing of retail products often has more to do with marketing considerations rather than prevailing
market price. - D. The way retail customers behave in relation to the retail banking products they hold often results in the
apparent contractual obligation of the parties providing a poor description of the actual nature of the
obligations.
正解: B
質問 161
Which one of the following statements regarding collateralized mortgage obligations (CMO) is incorrect?
- A. CMOs are pools of mortgages that are divided according to the timing of cash flows.
- B. CMOs have senior tranches which are considered short-term, low-risk instruments by banks
- C. CMOs are asset-backed securities that have pools of collateralized debt obligations (CDOs) as
underlying collateral. - D. CMOs are generally less risky investment than CDOs.
正解: C
質問 162
Foreign exchange rates are determined by various factors. Considering the drivers of exchange rates, which
one of the following changes would most likely strengthen the value of the USD against other foreign
currencies?
- A. The US current account surplus increases
- B. The global demand for US products decreases
- C. The expected US inflation rate increases
- D. The economic performance in the US weakens
正解: A
質問 163
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