GoShiken 2016-FRRリアル試験問題2016-FRR練習問題集
厳密検証された2016-FRR試験問題集と解答で無料提供の2016-FRR問題と正解付き
質問 # 48
A corporate bond gives a yield of 6%. A same maturity government bond yields 2%. The probability of the
corporate bond defaulting is 2.5%. In case of default, investors expect to lose 60% of their investment. The
risk premium in the credit spread is:
- A. 0.5%
- B. 1.5%
- C. 4.5%
- D. 2.5%
正解：D
質問 # 49
Changes to which one of the following four factors would typically not increase the cost of credit?
- A. Higher risk premium on a fixed income instrument.
- B. Increase in consumption of goods and services.
- C. Increasing inflation rates in a country.
- D. Higher return earned on alternative investments.
正解：B
解説：
The cost of credit is typically influenced by factors that increase the risk or the expected return required by lenders. Increasing inflation rates (A) raise the cost of credit because lenders demand higher returns to compensate for the loss of purchasing power. A higher risk premium on a fixed income instrument (C) directly increases the cost of credit as lenders require more return for taking on additional risk. Similarly, a higher return on alternative investments (D) increases the cost of credit because lenders will demand higher returns to justify lending over these alternatives. However, an increase in the consumption of goods and services (B) does not typically increase the cost of credit. Instead, it often signals a healthy economy, which can lower the perceived risk and cost of borrowing.
質問 # 50
Unico Bank, concerned with managing the risk of its trading strategies, wants to implement the trading strategy that exposes the bank to the lowest market risk. Which one of the following four strategies should Unico take to limit its risk exposure?
- A. A market-maker strategy that allows the traders to quote a buy and sell price to customers and other banks and to trade at the relevant price on the sell side of the market.
- B. A matched book strategy that allows the trading desk to match all customer positions immediately with an equal and opposite position by trading internally or with another bank.
- C. A passive hedging strategy that allows the traders to price transactions with customers and other banks, at the relevant bid price on the market.
- D. A covering strategy that manages positions in the product by executing covering deals or hedging deal at the discretion of the trading des.
正解：B
解説：
A matched book strategy involves matching every position with an offsetting position, effectively minimizing market risk. This strategy ensures that the bank's exposure to market fluctuations is neutralized, which is ideal for limiting risk exposure.
質問 # 51
Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?
- A. The underlying interest rates
- B. The future volatility of the exchange rates
- C. The underlying relevant exchange rates
- D. The time to maturity
正解：B
解説：
Among the variables used in the Black-Scholes model, the future volatility of the exchange rates is typically not known at a point in time. It is often estimated based on historical data or implied from market prices of options, but it remains an uncertain and forecasted input. The other inputs, such as the underlying relevant exchange rates, underlying interest rates, and time to maturity, are usually known or can be directly observed.
References:The inherent uncertainty in predicting future volatility is discussed in the context of option pricing in the "How Finance Works" document.
質問 # 52
Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in
time?
- A. The underlying interest rates
- B. The future volatility of the exchange rates
- C. The underlying relevant exchange rates
- D. The time to maturity
正解：B
質問 # 53
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. This governance structure maintains an independent operational risk function.
- B. The operational risk function is closely linked in a partnership with the compliance function to leverage
data and assessment activities. - C. In accordance with Basel II Accord, the operational risk function should report directly into the audit
function and strengthen that function. - D. The operational risk function quickly inherits an existing reporting structure, established meeting
schedules and functional reporting cycles from the compliance function.
正解：C
質問 # 54
The skewness of ABC company's stock returns equal -1.5. What is the correct interpretation of this?
- A. It indicates higher relative probability of negative returns compared to estimates derived from a normal distribution.
- B. It indicates that the returns are indeed normally distributed.
- C. It indicates higher relative probability of extreme events than non-extreme events compared to estimates from a normal distribution.
- D. It indicates lower probability of extreme negative events compared to the normal distribution.
正解：A
解説：
Skewness measures the asymmetry of the return distribution. A negative skewness value, such as -1.5, indicates that the left tail (negative returns) of the distribution is longer or fatter than the right tail (positive returns). This suggests that there is a higher relative probability of observing negative returns compared to what would be expected under a normal distribution, which is symmetric. In this case, the negative skewness implies a higher chance of experiencing extreme negative returns, making option A the correct interpretation.
質問 # 55
Which one of the following four statements correctly defines a non-exotic call option?
- A. A call option gives the call option buyer the obligation, but not the right, to sell the underlying instrument at a known price in the future
- B. A call option gives the call option buyer the right, but not the obligation, to sell the underlying instrument at a known price in the future
- C. A call option gives the call option buyer the obligation, but not the right, to buy the underlying instrument at a known price in the future.
- D. A call option gives the call option buyer the right, but not the obligation, to buy the underlying instrument at a known price in the future
正解：D
解説：
A non-exotic (vanilla) call option gives the buyer the right, but not the obligation, to purchase the underlying asset at a predetermined price (strike price) on or before a specified expiration date. This characteristic is fundamental to call options, providing the buyer with the flexibility to exercise the option if it is advantageous.
質問 # 56
Which one of the following market risk measures evaluates the bank's earnings sensitivity?
- A. Large exposure risk identification
- B. Value-at-risk back testing
- C. Earnings-at-risk stress testing
- D. Cash flow stress testing
正解：C
質問 # 57
Bank Omega is using futures contracts on a well capitalized exchange to hedge its market risk exposure.
Which of the following could be reasons that expose the bank to liquidity risk?
I. The bank may not be able to unwind the futures contracts before expiration.
II. Prices may move such that a loss results on the hedge.
III. Since futures require margins which are settled every day, the bank could find itself scrambling for funds.
IV. Exchange margin requirements could change unexpectedly.
- A. I, III, IV
- B. I, IV
- C. III, IV
- D. I, II, III, IV
正解：A
解説：
When a bank uses futures contracts on a well-capitalized exchange to hedge its market risk exposure, it can still be exposed to liquidity risks due to several reasons:
I: The bank may not be able to unwind the futures contracts before expiration: This can happen if there is a lack of market participants willing to take the opposite position, making it difficult to close out the position.
II: Prices may move such that a loss results on the hedge: Although this is a risk related to the performance of the hedge, it is not directly related to liquidity risk but more to market risk.
III: Since futures require margins which are settled every day, the bank could find itself scrambling for funds:
Futures contracts require daily settlement of gains and losses (mark-to-market), which means the bank must have sufficient liquidity to cover margin calls, potentially causing liquidity strain if large movements in the futures prices occur.
IV: Exchange margin requirements could change unexpectedly: If the exchange increases margin requirements, the bank would need to post additional collateral, which could strain its liquidity if it does not have sufficient liquid assets readily available.
References: The verified details are aligned with the context given in "How Finance Works" regarding the liquidity risks associated with futures contracts.
質問 # 58
A credit analyst wants to determine a good pricing strategy to compensate for credit decisions that might have
been made incorrectly. When analyzing her credit portfolio, the analyst focuses on the spreads in each loan to
determine if they are sufficient to compensate the bank for all of the following costs and risks EXCEPT.
- A. The inherent risk of lending to this borrower while providing a return on the risk capital used to the
support the loan. - B. The overhead cost of maintaining the loan and the account.
- C. The opportunity cost of risk-adjusted marginal cost of capital.
- D. The marginal cost of funds provided.
正解：C
質問 # 59
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 shares of IBM worth $10,000,000.
- C. 300,000 options on IBM shares worth $10,000,000.
- D. $10,000,000 bond issued by IBM worth $11,000,000.
正解：A
質問 # 60
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
- B. I, II, IV
- C. II, III
- D. III, IV
正解：B
質問 # 61
Which of the following factors can cause obligors to default at the same time?
I. Obligors may be harmed by exposures to similar risk factors simultaneously.
II. Obligors may exhibit herd behavior.
III. Obligors may be subject to the sampling bias.
IV. Obligors may exhibit speculative bias.
- A. I, II
- B. I
- C. II, III
- D. III, IV
正解：A
質問 # 62
Which one of the following four statements regarding the basic Net Interest Income model is INCORRECT?
- A. The amount of intermediated funds can be a function of interest rate levels.
- B. Effective repricing date can be different than contractual repricing.
- C. Assets and liabilities have the same interest rate sensitivities.
- D. Net interest income risk does not address the impact of changing interest rates on bank equity value.
正解：C
質問 # 63
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. 12%
- B. 10%
- C. 8%
- D. 9%
正解：B
解説：
To determine the appropriate interest rate to charge, Alpha Bank needs to cover the risk-free rate, the spread, and the expected loss due to default. The formula used is: Risk-free rate + Spread + (Probability of Default x Loss Given Default). Substituting the given values: 6% (risk-free rate) + 3% (spread) + (0.02 x 0.50) = 6% +
3% + 1% = 10%.
質問 # 64
Which one of the following four attributes would likely help a trader using exchange-traded options to
establish a leveraged position?
- A. Higher degrees of exposure at less cash cost
- B. Option positions have the same cash risks as a margined short futures purchase.
- C. Unlimited losses for long option positions
- D. Option positions have the same credit risks as a margined long forward.
正解：A
質問 # 65
A credit analyst wants to determine if her bank is taking too much credit risk. Which one of the following four
strategies will typically provide the most convenient approach to quantify the credit risk exposure for the
bank?
- A. Assessing aggregate exposure at default at various time points and at various confidence levels
- B. Using stress testing techniques to forecast underlying macroeconomic factors and bank's idiosyncratic
risks - C. Simplifying individual credit exposures so that they can be combined into a simplified expression of
portfolio risk for the bank - D. Analyzing distribution of bank's credit losses and mapping credit risks at various statistical levels
正解：A
質問 # 66
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