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質問 122
Which one of the following statements correctly identifies risks in foreign exchange forwards?
- A. Short-term forward price fluctuations are driven by changes in the spot exchange rate, since most
inter-country interest rates differentials are significant, and the effect of compounding is large for short
periods of time. - B. Long-term forward price fluctuations are driven by changes in the spot exchange rate, since most
inter-country interest rates differentials are significant, and the effect of compounding is small for short
periods of time. - C. Short-term forward price fluctuations are driven by changes in the spot exchange rate, since most
inter-country interest rates differentials are small, and the effect of compounding is small for short
periods of time. - D. Long-term forward price fluctuations are driven by changes in the spot exchange rate, since most
inter-country interest rates differentials are small, and the effect of compounding is large for short
periods of time.
正解: C
質問 123
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 124
Which one of the following four statements regarding the basic Net Interest Income model is INCORRECT?
- A. Assets and liabilities have the same interest rate sensitivities.
- B. Effective repricing date can be different than contractual repricing.
- C. Net interest income risk does not address the impact of changing interest rates on bank equity value.
- D. The amount of intermediated funds can be a function of interest rate levels.
正解: A
質問 125
A credit associate extending a loan to an obligor suspects that the obligor may change his behavior after the
loan has been originated. The obligor in this case may use the loan proceeds for purposes not sanctioned by the
lender, thereby increasing the risk of default. Hence, the credit associate must estimate the probability of
default based on the assumptions about the applicability of the following tendency to this lending situation:
- A. Adverse selection
- B. Speculation
- C. Short bias
- D. Moral hazard
正解: D
質問 126
Of all the risk factors in loan pricing, which one of the following four choices is likely to be the least
significant?
- A. Loss given default
- B. Duration of default
- C. Exposure at default
- D. Probability of default
正解: B
質問 127
Which of the following statements about a bank's behavior regarding Risk Adjusted Return on Capital
(RAROC) is correct?
I. A bank should always seek to maximize their overall RAROC.
II. A bank should consider investing in a business even with negative RAROC if it increases the RAROC of
the bank as a whole.
III. A bank should minimize its overall RAROC by controlling the absolute and relative amount of risk of its
businesses.
IV. A bank should maximize its RAROC by always investing in a new business that maximizes the RAROC
for that business unit.
- A. II and IV
- B. I, II and III
- C. II, III, and IV
- D. I and II
正解: D
質問 128
The Sarbanes-Oxley Act includes one of the following four requirements for financial institutions in the
United States:
- A. Market discipline requirements
- B. Capital allocation requirements
- C. Regulatory response to systemic risk requirements
- D. Risk and control requirements
正解: D
質問 129
An options trader for a large institutional investor takes a long equity option position. Which of the following
risks need to be considered when taking this position?
I. All the risks of underlying equities
II. Perceived volatility changes
III. Future dividends yields
IV. Risk-free interest rates
- A. III, IV
- B. I, II
- C. I, II, III, IV
- D. II, III
正解: C
質問 130
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 may happen to the Delta's initial credit parameter and the value of its loan if the machinery industry
experiences adverse structural changes?
- A. Probability of default and loss at default may decrease simultaneously, while duration rises causing the
loan value to decrease. - B. Probability of default and loss at default may decrease simultaneously, while duration falls causing the
loan value to decrease. - C. Probability of default and loss at default may increase simultaneously, while duration falls causing the
loan value to decrease. - D. Probability of default and loss at default may increase simultaneously, while duration rises causing the
loan value to decrease.
正解: C
質問 131
A portfolio manager is interested in computing risk measures for his bond investment portfolio. Which of the
following measures the sensitivity of duration to interest rates?
- A. Convexity.
- B. Credit spread.
- C. Yield curve
- D. Modified duration.
正解: A
質問 132
An asset-sensitive bank will have a ___ cumulative gap and will benefit from ___ interest rates.
- A. Negative; dropping
- B. Positive; rising
- C. Positive; dropping
- D. Negative; rising
正解: B
質問 133
Which of the following measure describes the symmetry of a statistical distribution?
- A. Skewness
- B. Standard deviation
- C. Mean
- D. Kurtosis
正解: A
質問 134
Alpha Bank, a small bank,has a long position with larger BetaBank and has an identical short position with
another larger bank GammaBank. Each large bank requires a 20% initial collateral to support the trade. As
prices fluctuate in either direction, one large bank will require additional collateral from the small bank, while
the risk of loss to the other large bank will increase. By running the trades through a clearinghouse, the small
bank can achieve all of the following objectives EXCEPT:
- A. Protecting against the risk of the failure of one of the large banks
- B. Mitigating option hedging risks and altering margin requirement
- C. Protecting itself against increases in future collateral demands
- D. Eliminating the collateral requirement
正解: B
質問 135
Which of the following are among the main uses of risk reports?
I. Identification of exceptional situations that require managerial attention.
II. Display the relative risk among different trades.
III. Specify how RAROC will be maximized within the bank.
IV. Estimate the overall risk levels of the bank.
- A. II and IV
- B. II, III, and IV
- C. I, II and IV
- D. II and III
正解: C
質問 136
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. Value-weighted average modified duration of the component bonds
- C. Minimum of the modified durations of the component bonds
- D. Coupon-weighted average modified duration of the component bonds
正解: B
質問 137
What is a difference between currency swaps and interest rate swaps?
- A. Currency swaps do not require the exchange of notional principal on maturity.
- B. Currency swaps generate foreign exchange rate risk in addition to interest rate risk.
- C. Currency swaps allow banks and customers to obtain the risk/reward profile of long-term interest rates
without having to use long-term funding. - D. Currency swaps are OTC derivative contracts.
正解: B
質問 138
What does correlation between two variables measure?
- A. Association between the two variables and the strength of a possible statistical relationship.
- B. The proportion of variability in one of the variables that is explained by the other.
- C. Symmetry of a joint distribution of the two variables.
- D. Extreme returns of both variables.
正解: A
質問 139
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. I, II
- B. I, II, IV
- C. IV
- D. III
正解: B
質問 140
As Japan ___ its budget deficits and ___ its dependence on debt, the Japanese currency, JPY, would ___ in
value against other currencies.
- A. Increases, reduces, appreciate
- B. Reduces, increases, depreciate
- C. Reduces, reduces, depreciate
- D. Reduces, reduces, appreciate
正解: D
質問 141
Which of the following reports have been suggested by the FDIC that banks should produce in addition to the
usual probabilistic analysis and stress tests in order to gauge liquidity issues?
I. Cash flow gaps
II. Funding availability
III. Critical assumptions used in credit projections
- A. I
- B. I, II
- C. I, III
- D. I, II, III
正解: D
質問 142
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