2025年最新の2016-FRR問題集レビュー専門クイズ学習材料
2016-FRRテスト準備トレーニング練習試験問題 練習テスト
質問 # 155
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 95% confidence level. Which bank is in a more risky position as measured by VaR?
- A. Since the confidence levels are not the same we cannot make any conclusions.
- B. Both banks are equally risky since the measurements are with the same confidence level.
- C. Bank G is taking twice the risk of bank H as measured by VaR.
- D. Bank H is taking twice the risk of bank G as measured by VaR.
正解：A
解説：
VaR calculations depend heavily on the confidence level chosen. Bank G's 1-year VaR of USD 20 million is calculated at a 99% confidence level, while Bank H's 1-year VaR of USD 10 million is calculated at a 95% confidence level. These different confidence levels mean that the probabilities associated with the potential losses are not directly comparable. The 99% confidence level implies a more conservative risk estimate compared to the 95% confidence level, hence no direct risk comparison can be accurately made.
質問 # 156
In the United States, Which one of the following four options represents the largest component of securitized
debt?
- A. Education loans
- B. Lines of credit
- C. Real estate loans
- D. Credit card loans
正解：C
質問 # 157
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. I, II, IV
- B. I, IV
- C. I
- D. II, III
正解：D
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. I, II, IV
- B. I, IV
- C. I
- D. II, III
正解：A
解説：
* When evaluating a diversified equity portfolio, an endowment asset manager should consider:
* Company-specific projected earnings and earnings risk to understand the performance potential and variability of individual assets.
* Aggregate earnings expectations to gauge the overall market outlook and economic conditions affecting the portfolio.
* Individual asset volatility to assess the risk and potential fluctuations in the value of specific investments within the portfolio.
* Market liquidity, while important, is not typically a primary concern for long/short equity strategies focused on diversified portfolios.
質問 # 159
Which of the following about the ratios between various Tiers of capital is not a requirement of the Basel
Committee?
- A. Lower Tier 2 capital may only equal 50% of core capital.
- B. Upper Tier 2 capital may only equal 30% of core capital.
- C. Tier 2 capital cannot exceed 50% of the bank's total regulatory capital.
- D. Innovative instruments in Tier 1 are limited to a maximum of 15% of Tier 1 capital.
正解：D
質問 # 160
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. IV
- B. I, II
- C. III, IV
- D. I, II and III
正解：D
質問 # 161
The risk management department of VegaBank wants to set guidelines on commodity carry trades. Which of the following strategies should she pursue to achieve a profitable commodity carry?
I. Buy short-term commodity futures and sell longer-dated position when the curve is in contango.
II. Buy short-term commodity futures and sell longer-dated position when the curve is in backwardation.
III. Buy long-term commodity futures and sell shorter-dated positions when the curve is in contango.
IV. Buy long-term commodity futures and sell shorter-dated positions when the curve is in backwardation.
- A. I, IV
- B. II, IV
- C. I, II
- D. I, III
正解：A
解説：
To achieve a profitable commodity carry trade, the strategy should align with the market conditions represented by the shape of the futures curve. The key concepts are contango and backwardation:
* Contango:
* Contango occurs when the futures prices are higher than the spot prices.
* To profit from contango, one should buy short-term futures contracts (which are cheaper) and sell long-term futures contracts (which are more expensive).
* Backwardation:
* Backwardation occurs when the futures prices are lower than the spot prices.
* To profit from backwardation, one should buy long-term futures contracts (which are cheaper) and sell short-term futures contracts (which are more expensive).
Given the statements:
* I. Buy short-term commodity futures and sell longer-dated position when the curve is in contango.
* IV. Buy long-term commodity futures and sell shorter-dated positions when the curve is in backwardation.
Both these strategies align with the correct market conditions for profitable trades.
ReferencesSource: How Finance Works
質問 # 162
To hedge a foreign exchange exposure on behalf of a client, a small regional bank seeks to enter into an offsetting foreign exchange transaction. It cannot access the large and liquid interbank market open primarily to larger banks. At which one of the following exchanges can the smaller bank trade the currency futures contracts?
I. The Tokyo Futures Exchange
II. The Euronext-Liffe Exchange
III. The Chicago Mercantile Exchange
- A. I, II, III
- B. III
- C. I
- D. II, III
正解：A
解説：
A small regional bank seeking to hedge foreign exchange exposure can access currency futures contracts on several exchanges, including the Tokyo Futures Exchange, the Euronext-Liffe Exchange, and the Chicago Mercantile Exchange. These exchanges provide platforms for trading currency futures, which are useful for hedging purposes.
References:Information about the accessibility of currency futures contracts on these exchanges is available in financial market resources and the "How Finance Works" document.
質問 # 163
Beta Insurance Company is only allowed to invest in investment grade bonds. To maximize the interest
income, Beta Insurance Company should invest in bonds with which of the following ratings?
- A. B
- B. A
- C. AAA
- D. AA
正解：B
質問 # 164
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. Frequently; rarely
- B. Hardly ever; rarely
- C. Hardly ever; typically
- D. Frequently; typically
正解：D
解説：
Retail products frequently include embedded options, such as early withdrawal options or prepayment options, which customers may not exercise rationally. In contrast, wholesale products typically carry penalties for repayment or include rights to terminate contracts on terms that are different from those in retail products.
These distinctions are important for asset and liability management because they affect the predictability and stability of cash flows.
質問 # 165
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. $976.
- B. $26.
- C. $76.
- D. $870.
正解：B
質問 # 166
A risk manager has a long forward position of USD 1 million but the option portfolio decreases JPY 0.50 for every JPY 1 increase in his forward position. At first approximation, what is the overall result of the options positions?
- A. The options positions hedge the forward position by 25%.
- B. The option positions hedge the forward position by 75%.
- C. The option positions hedge the forward position by 50%.
- D. The option positions hedge the forward position by 100%.
正解：C
解説：
The risk manager has a long forward position of USD 1 million. The options portfolio decreases by JPY 0.50 for every JPY 1 increase in the forward position. This indicates that the options provide a hedge that is half the size of the forward position because a JPY 1 increase in the forward position is offset by only JPY 0.50 from the options. Thus, the options positions hedge the forward position by 50%.
質問 # 167
Which of the following statements explain how securitization makes the retail assets highly liquid and the balance sheet easier to manage?
I. By securitizing assets any lack of capital can be accommodated by selling the securitized bonds.
II. Any need to diversify credit risk can be achieved by selling bank's own securitized bonds and buying other bonds that increase diversification.
III. Securitization could be used to promote hedging by using limited market instruments.
- A. II
- B. I, II
- C. I, II, III
- D. II, III
正解：B
解説：
Securitization helps banks make their retail assets highly liquid and their balance sheet easier to manage through the following mechanisms:
I: Accommodating Lack of Capital: By securitizing assets, any lack of capital can be accommodated by selling the securitized bonds. This process enables banks to raise funds quickly by selling bonds backed by their assets.
II: Diversifying Credit Risk: Banks can achieve credit risk diversification by selling their own securitized bonds and buying other bonds that increase diversification. This helps spread the risk across different types of assets and reduces the overall credit risk exposure of the bank.
III; Promoting Hedging: Securitization can be used to promote hedging by using limited market instruments.
By securitizing assets, banks can better hedge their positions and manage the risks associated with their assets more effectively.
References: These points align with the principles outlined in the "How Finance Works" document regarding the benefits of securitization for improving liquidity and managing balance sheets.
質問 # 168
Banks duration match their assets and liabilities to manage their interest risk in their banking book. Currently, the bank's assets and liabilities both have a duration of 10. To hedge against the risk of decreasing interest rates, the bank should
I. Increase the duration of the liabilities
II. Increase the duration of the assets
III. Decrease the duration of the liabilities
IV. Decrease the duration of the assets
- A. I and IV
- B. I only.
- C. I and II.
- D. II and III.
正解：A
解説：
To hedge against the risk of decreasing interest rates, a bank should look to reduce the duration of its assets or increase the duration of its liabilities. Decreasing the duration of assets makes them less sensitive to interest rate changes, while increasing the duration of liabilities does the same on the liability side. The bank currently has both assets and liabilities with a duration of 10, so it should decrease the duration of its assets and/or increase the duration of its liabilities to hedge against decreasing interest rates.
質問 # 169
Which one of the following four options does NOT represent a benefit of compensating balances to the bank?
- A. Since the compensating balances cannot be withdrawn at short notice, if at all, they are not considered transaction accounts and are able to provide a stable funding to the bank, reducing its reliance on more volatile external inter-bank based funding sources.
- B. Since the compensating balances reduce the next amount lent to the borrower, the earned return on the loan is increased, further widening the bank's interest rate margin and profitability.
- C. Compensation balances influence the expected loss rate of the bank given the default obligor and improve capital structure by controlling obligor type and avoiding payment delays.
- D. Compensating balances allow the bank to net some of the exposure they may have in case of default, by taking funds from these specific deposit account one the borrower defaults.
正解：C
解説：
Compensating balances refer to minimum balances that borrowers are required to maintain in their accounts with the lender as part of the loan agreement. These balances benefit the bank by providing a stable source of funding and increasing the bank's interest rate margin and profitability. However, they do not directly influence the expected loss rate of the bank or improve capital structure by controlling obligor type and avoiding payment delays. These functions are not typically associated with compensating balances, which is why option C does not represent a benefit of compensating balances.
質問 # 170
Which of the following statements about endogenous and exogenous types of liquidity are accurate?
I. Endogenous liquidity is the liquidity inherent in the bank's assets themselves.
II. Exogenous liquidity is the liquidity provided by the bank's liquidity structure to fund its assets and maturing liabilities.
III. Exogenous liquidity is the non-contractual and contingent capital supplied by investors to support the bank in times of liquidity stress.
IV. Endogenous liquidity is the same as funding liquidity.
- A. I, II, IV
- B. I, II
- C. I, III
- D. II, III
正解：B
解説：
* Statement I: "Endogenous liquidity is the liquidity inherent in the bank's assets themselves." This is correct as endogenous liquidity refers to the natural liquidity of the assets.
* Statement II: "Exogenous liquidity is the liquidity provided by the bank's liquidity structure to fund its assets and maturing liabilities." This is also correct as exogenous liquidity comes from external sources and the bank's liquidity management framework.
* Statement III: Incorrect because exogenous liquidity is not necessarily non-contractual and contingent capital; it is more about external sources like interbank loans and central bank facilities.
* Statement IV: Incorrect as endogenous liquidity is not the same as funding liquidity, which generally refers to the bank's ability to meet its liabilities.
ReferencesBased on detailed descriptions of endogenous and exogenous liquidity concepts in the document.
質問 # 171
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