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frm一级题库2023
一、单项选择题
1.在2023年FRM考试中，一级考试的合格分数线是多少？
2. A. 400
3. B. 500
4. C. 600
5. D. 700
6.FRM一级考试中，风险管理基础占比多少？
7. A. 15%
8. B. 25%
9. C. 35%
10. D. 45%
11.FRM一级考试中，数量分析占比多少？
12. A. 10%
13. B. 15%
14. C. 20%
15. D. 25%
16.FRM一级考试中，金融市场与产品占比多少？
17. A. 20%
18. B. 25%
19. C. 30%
20. D. 35%
21.FRM一级考试中，估值与风险建模占比多少？
22. A. 15%
23. B. 20%
24. C. 25%
25. D. 30%
二、多项选择题
1.下列哪些科目是FRM一级考试的重要内容？
2. A. 风险管理基础
3. B. 数量分析
4. C. 公司金融
5. D. 金融市场与产品
6. E. 估值与风险建模
7.在FRM一级考试中，下列哪些知识点是考生需要掌握的？
8. A. 市场风险的管理方法
9. B. 信用风险的计算方式
10. C. 操作风险的识别与评估
11. D. 企业价值的评估方法
12. E. 对冲策略的有效性分析
三、简答题
1.请简述FRM一级考试的主要目的。
2.在FRM一级考试中，考生应具备哪些基本能力？。
FRM一级模拟题1 . The l-year US dollar interest rate is 3% and the l-year Canadian dollar interest rate is 4.5%. The current USD/CAD spot exchange rate is l.5000. Calculate the l-year forward rate.A. 1.5225B. 1.5218C. 1.5207D. 1.51992 . A risk manager determines that the semiannual spot rates for l, 2,3 and4 years are 5%; 6%, 6.5%, and 6.75% respectively. Based on this information, the l-year forward rate two years from now is closet to:A. 6.25%B. 6150%C. 6.97%D. 7.4g%Answer: D3 . A1-year 7.25% coupon bond is trading at a price of 98, a 2-year 6.1% coupon bond is trading at 99, and a 3-year 7.55% coupon bond is trading at 101 .'All coupons and rates are given using the annual Actual/Actual convention. Using this information the l-year forward rate 2 years from now is closest to:A. 6.57%B. 7.14%C. 8.24%D. 8.2g%Answer: D4 . The price of a three-year zero coupon government bond is 85.16. The price of a similar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4? Answer: D5 . A buffalo farmer is concerned that the price he can get for his buffalo herd will be less than he has forecasted. To protect himself from price declines in the herd, the farmer has decided to hedge with live cattle futures. Specifically, he has entered into the appropriate number of cattle future positions for September delivery that he believes will help offset any buffalo price declines during the winter slaughter season. The appropriate position and the likely sources of basis risk in the hedge are, respectively:A. Short; choice of futures delivery date.B. Short; choice of futures asset.C. Short; choice of futures delivery date and asset.D. Long; choice of futures delivery date and asset.Answer: CThe farmer needs to be short the futures contracts. The two sources of basis risk confronting the farmer wⅢresult from the fact that he is using a cattle contract to offset the price movement of his buffalo herd, Cattle prices and buffalo prices may not be perfectly positively correlated. As a result, the correlation between buffalo 'and cattle prices will have an impact on the basis of the cattle futures contract and spot buffalo meat. The delivery date is a problem in this situation, because the farmer's hedge horizon is winter, which probably will not commence until December or January. In order to maintain a hedge during this period, the farmer will have to enter into another futures contract, which will introduce an additional source of basis risk.。
fr考试试题及答案FR考试试题及答案一、选择题（每题2分，共20分）1. 以下哪个选项是FR考试中不涉及的领域？A. 金融分析B. 风险管理C. 人力资源管理D. 投资组合管理答案：C2. FR考试中，以下哪个工具不是用于评估信用风险的？A. 信用评分模型B. 压力测试C. 敏感性分析D. 期权定价模型答案：D3. 在FR考试中，以下哪个因素不是影响市场风险的因素？A. 利率变动B. 汇率变动C. 股价波动D. 员工满意度答案：D4. FR考试中，以下哪个不是流动性风险管理的方法？A. 资产负债匹配B. 建立紧急流动性基金C. 增加员工培训D. 多元化投资组合答案：C5. 在FR考试中，以下哪个不是操作风险的来源？A. 人为错误B. 系统故障C. 市场波动D. 法律变更答案：C6. FR考试中，以下哪个不是风险管理的基本原则？A. 识别风险B. 评估风险C. 转移风险D. 忽视风险答案：D7. 在FR考试中，以下哪个不是风险管理框架的组成部分？A. 风险识别B. 风险评估C. 风险监控D. 风险消除答案：D8. FR考试中，以下哪个不是风险管理策略？A. 风险避免B. 风险转移C. 风险接受D. 风险增加答案：D9. 在FR考试中，以下哪个不是风险管理工具？A. 衍生品B. 保险C. 风险分散D. 市场调研答案：D10. FR考试中，以下哪个不是风险管理的目标？A. 保护资产B. 增加收益C. 确保合规性D. 减少损失答案：B二、填空题（每题2分，共20分）1. FR考试中，风险管理的核心目标是_________和_________。
答案：保护资产；减少损失2. 在FR考试中，_________风险是指由于市场因素（如利率、汇率、股价等）的变动而对企业财务状况产生影响的风险。
答案：市场风险3. FR考试中，_________风险是指由于企业内部操作失误、欺诈、系统故障等原因导致的风险。
答案：操作风险4. 在FR考试中，_________风险是指由于企业信用状况变化而影响其融资成本和能力的风险。
FRM一级练习题（2）1、If the daily, 95% confid ence l evel value at risk (VaR) of a portfolio is correctly estimated to be USD 10,000, one would expect that:A. In 1 out of 20 days, the portfolio value will decline by USD 10,000 or l ess.B. In 1 out of 95 days, the portfolio value will decline by USD 10,000 or l ess.C. In 1 out of 95 days, the portfolio value will decline by USD 10,000 or more.D. In 1 out of 20 days, the portfolio value will decline by USD 10,000 or more.2、By reducing the risk of financial distress and bankruptcy, a firm's use of derivatives contracts to hedge its cash fl ow uncertainty will:A. Lower its value due to the transaction costs of derivatives trading.B. Enhance its value since investors cannot hedge such risks by themselves.C. Have no impact on its value as investors can costl essly diversify this risk.D. Have no impact as only systematic risks can be hedged with derivatives.3、An analyst at CAPM Research Inc. is projecting a return of 21% on portfolio A. The market risk premium is 11%, the volatility of the market portfolio is 14%, and the risk-free rate is 4.5%. Portfolio A has a beta of 1.5. According to the Capital Asset Pricing Model (CAPM), which of the foll owing statements is true?A. The expected return of portfolio A is greater than the expected return of the market portfolio.B. The expected return of portfolio A is less than the expected return of the market portfolio.C. The expected return of portfolio A has l ower volatility than the market portfolio.D. The expected return of portfolio A is equal to the expected return of the market portfolio.4、Suppose portfolio A has an expected return of 8% and volatility of 20%, and its beta is 0.5. Suppose the market has an expected return of 10% and volatility of 25%. Finally, suppose the risk-free rate is 5%. What is Jensen's alpha for portfolio A?A. 10%B. 1%C. 0.5%D. 15%5、Which of the foll owing statements regarding Metallgesellschaft's failure is incorrect?A. The futures and swap positions Metallgesellschaft entered into introduced significant credit risk for the company.B. An oil market move from a state of contango to normal backwardation and margin calls created a major cash crunch for Metallgesellschaft.C. Metallgesellschaft engaged in a stack-and-roll hedge, and as spot prices began to decrease more than futures prices, roll over losses could not be recovered.D. Because of the size of its position in heating and gasoline oil futures, Metallgesellschaft was exposed to market liquidity risk and had difficulty liquidating its position.6、Which of the foll owing statements is incorrect?A. Existing risk models often rely on historical data and are most precise for short horizons, like days.B. Market crises often involve a dramatic withdrawal of liquidity from the market.C. During crisis periods, firms will often make multipl e losses that exceed daily VaRs, and these losses can be large enough to substantially weaken them.D. When evaluating risks associated with a potential crisis period, existing risk models generally fail to effectively incorporate the risk of a decrease in liquidity but do effectively capture the distribution of large losses over an extended horizon beyond one day.7、If cov(z, x + y) = 0 , which of the foll owing must be true?A. cov(z, x) = 0, cov(z, y) = 0B. cov(z, x) * cov(z, y) = 0C. cov(z, x) ! 0, cov(z, y) ! 0D. None of the above8、Angela Santori buys two stocks, stock X and stock Y. Suppose that the only information she has about the return distributions is that the probability of a stock price decrease in one year for stock X is 23% and for stock Y is 39%. What is the highest possibl e probability that both stock prices increase in one year?A. 61%B. 46.97%C. 23%D. 77%9、John is forecasting a stock's performance in 2010 conditional on the state of the economy of the country in which the firm is based. He divides the economy's performance into three categories of "good," "neutral," and"poor" and the stock's performance into three categories of " increase," "constant," and "d ecrease."He estimates:1、The probability that the state of the economy is good is 20%. If the state of the economy is good, theprobability that the stock price increases is 80% and the probability that the stock price decreases is 10%.2. The probability that the state of the economy is neutral is 30%. If the state of the economy is neutral, theprobability that the stock price increases is 50% and the probability that the stock price decreases is 30%.3. If the state of the economy is poor, the probability that the stock price increases is 15% and theprobability that the stock price decreases 70%.Billy, his supervisor, asks him to estimate the probability that the state of the economy is neutral given that the stock performance is constant. John's best assessment of that probability is closest to:A. 20%B. 15.5%C. 19.6%D. 38.7%10、You built a linear regression model to analyze annual salaries for a developed country. You incorporated two independent variables, age and experience, into your model. Upon reading the regression results, you noticed that the coefficient of "experience" is negative, which appears to be counterintuitive. In addition, you have discovered that the coefficients have l ow t-statistics but the regression mod el has a high R2. What is the most likely cause of these results?A. Incorrect standard errorsB. HeteroskedasticityC. Serial correlationD. Multicollinearity参与FRM的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM 考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。
FRM一级练习题（1）1、An investment manager is given the task of beating a benchmark. Hence the risk shoul d be measured in terms ofA. Loss relative to the initial investmentB. Loss relative to the expected portfolio valueC. Loss relative to the benchmarkD. Loss attributed to the benchmark2、Based on the risk assessment of the CRO, Bank United's CEO decid ed to make a large investment in a levered portfolio of CDOs. The CRO had estimated that the portfolio had a 1% chance of l osing $1 billion or more over one year, a loss that would make the bank insolvent. At the end of the first year the portfolio has lost $2 billion and the bank was cl osed by regulator. Which of the foll owing statement is correct?A. The outcome d emonstrates a risk management failure because the bank did not eliminate the possibility of financial distress.B. The outcome demonstrates a risk management failure because the fact that an extremely unlikely outcome occurred means that the probability of the outcome was poorly estimated.C. The outcome demonstrates a risk management failure because the CRO failed to go to regulators to stop the shutd own.D. Based on the information provid ed, one cannot determine whether it was a risk management failure.3、An analyst at CARM Research Inc. is projecting a return of 21% on Portfolio A. The market risk premium is 11%, the volatility of the market portfolio is 14%, and the risk-free rate is 4.5%. Portfolio A has a beta of 1.5. According to the capital asset pricing model which of the foll owing statements is true?A. The expected return of Portfolio A is greater than the expected return of the market portfolio.B. The expected return of Portfolio is less than the expected return of the market portfolio.C. The return of Portfolio A has l ower volatility than the mark t portfolio.D. The e peered return of Portfolio A is equal to the expected return of the market portfolio.4、Suppose Portfolio A has an expected return of 8%, volatility of 20%, and beta of 0.5. Suppose the market has an expected return of 10% and volatility of 25%. Finally suppose the risk-free rate is 5%. What is Jensen’s Alpha for Portfolio A?A. 10.0%B. 1.0%C. 0.5%D. 15%5、Which of the foll owing statement about the Sharpe ratio is false?A. The Sharpe ratio consid ers both the systematic and unsystematic risk of a portfolio.B. The Sharpe ratio is equal to the excess return of a portfolio over the risk-free rate divided by the total risk of the portfolio.C. The Sharpe ratio cannot be used to evaluate relative performance of undiversified portfolios.D. The Sharpe ratio is derived from the capital market line.6、A portfolio manager returns 10% with a volatility of 20%. The benchmark returns 8% with risk of 4%. The correlation between the two is 0.98. The risk-free rate is 3%. Which of the foll owing statement is correct?A. The portfolio has higher SR than the benchmark.B. The portfolio has negative IR.C. The IR is 0.35.D. The IR is 0.29.7、In perfect markets risk management expenditures aimed at reducing a firm' diversifiable risk serve toA. Make the firm more attractive to sharehol ders as long as costs of risk management are reasonable.B. Increase the firm's value by lowering its cost of equity.C. Decrease the firm's value whenever the costs o f such risk management are positive.D. Has no impact on firm value.8、By reducing the risk of financial distress and bankruptcy, a firm's use of d erivatives contracts to hedge it cash fl ow uncertainty willA. Lower its value due to the transaction costs of derivative trading.B. Enhance its value since investors cannot hedge such risks by themselves.C. Have no impact on its value as investor costless diversify this risk.D. Have no impact as only systematic risks can be hedged with derivatives.参与FRM的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM 考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。
FRM一级模拟题1 . A stock currently trades at $10. At the end of three months, the stock will either be $11 0r $9. The continuously compounded risk-free rate of interest is3.5 percent per year. The value of a 3-month European call option with astrike price of $10 is closest to:A. $1.07B. $0.54C. $0.81D. $0.95Answer: B2.The current price of a non-dividend paying stock-is $75. The annual volatility of the stock is 18.25%, and the current continuously compounded risk-free interest rate is 5 %. A 3-year European call option exists that has a strike price of $90. Assuming that 'the price of the stock will rise or fall by a proportional amount each year, and that the probability that the stock will rise in any one year is 60 %, what is the value of the European call option?A. $22.16B. $12.91C. $3.24D. $7.36Answer: D3 . You have been asked to find the value of an Asian option on the short rate. The Asian option gives the holder an amount equal to the average value of the short rate over the period to expiration less the strike rate. To value this option with a one-factor binomial model of interest rates, what method would you recommend using?A. The backward induction method, since it is the fastest.B. The simulation method, using 'path averages since the option is path-dependent.C. The simulation method, using path averages since the option is path-independent.D. Either the backward induction method or the simulation method, since both methods return the same value.Answer: BThe payoff for an Asian option (or average price option) on the short rate is dependent on the path of the average value of short rates. Furthermore, Asian options must be valued using simulation techniques because they cannot be exercised early.4 . Suppose you believe that Company A's stock price is going to decline from its current level of $82.50 sometime during the next5 months. For $510.25 you could buy a 5-month put option giving you the right to sell 100 shares at a price of $83.00 per share. If you bought the put option contract for $510.25 and Company A's stock price actually dropped to $63.00, your profit net of the premium paid would beA. $1,950.00B. $1,439.75C. $1,489.75D. $2,000.00Answer: C5 . We buy an SPX put (multiplieF$250) at l,250 for a premium of 20 points. The S&P500 closes at l,235 0n the settlement day. What is our profit/loss from this trade?A. $0B. $500C. -$1,250D. -$3,750Answer: CIn return for buying this option, we paid a premium of 20x $250 = $5,000. As the settlement level is lower than the strike we make (1,250 - 1,235)x 250 = $3,750. Subtracting the premium from the profit made at settlement, our net loss is $1,250.。
frm一级考试真题一级考试主要是看理解与掌握金融资产定价理论与方法，同时也是对金融资产定价相关知识的一个检验。
一级考试最大的特点是题目的难度较大；但相对来说难度也是中等的。
本次的试题以“新冠肺炎疫情”为主题，考察了金融资产定价理论与方法中涉及到的风险评估与风险管理。
本题共有11个问题：新冠肺炎疫情对金融资产估值影响的分析方法以及影响？新冠肺炎疫情对市场利率与金融资产定价体系会有什么影响？金融资产定价模型有哪些关键要素？1.对于新冠肺炎疫情的分析，以下哪个因素会影响新冠肺炎的估值？对于疫情的相关分析，需要考虑两个变量：政府对疫情的反应程度(paradox)和新冠肺炎对经济的影响(predictive)。
对于政府做出的反应程度，需要考虑两个因素：一是政府对疫情管控力度是否足够(rasmust);二是新冠肺炎对经济的影响(value)。
答案：政府对疫情反应程度对疫情结束后股市的估值产生巨大影响，进而影响到股市盈利水平。
此外，疫情在不同国家之间存在较大差异。
所以，应该考虑各国政府采取的不同应对措施对股市价值产生影响而决定股市估值水平。
2.对新冠肺炎疫情估值影响，下列哪种分析方法能充分说明？【答案】 C。
解析：对于新冠肺炎疫情，目前采用的技术并不能完全预测风险变化结果。
对于风险调整后的收益（长期),其影响主要体现在两个方面：对未来现金流折现）的影响；以及投资价值损失）。
但并不是所有的疫情冲击都会对收益产生影响（有正面影响的也有负面影响）。
对未来现金流（长期）影响最大的是疫情冲击导致的投资价值下降问题。
因此，虽然疫情冲击可以直接影响现金流（长期),但短期内还是会对投资价值产生一定影响。
对于投资价值损失）的影响，根据 FRM理论（最优经济参数）并考虑企业正常运营可能面临的不确定性和非线性风险后，最终确定长期投资价值影响系数并求得相应的参数范围。
因此本题可以说采用了最优经济参数作为判断标准进行相关分析。
3.从疫情爆发到疫苗研发成功，至少需要一个周期？答：如果想要研发出一种有效的疫苗，至少需要一个周期。
Financial Markets and Products & Valuation and Risk Models1.In managing a portfolio of domestic corporate bonds, which of the following risksis least important?A.Interest rate risksB.Concentration risksC.Spread risksD.Foreign exchange risksAnswer: De a stated rate of 9% compounded periodically to answer the following threequestions. Select the choice that is the closest to the correct answer.(1) The semi-annual effective rate is:A.9.00%B.10.25%C.9.20%D.9.31%Answer: C(2) The quarterly effective rate is:A.9.00%B.9.31%C.9.20%D.9.40%Answer: B(3) The continuously compounded rate is:A.9.42%B.9.20%C.9.45%D.9.67%Answer: A3.The following Treasury zero rates are exhibited in the marketplace: 6 months = 1.25% 1 year = 2.35%1.5 years =2.58% 2 years = 2.95%Assuming continuous compounding, the price of a 2-year Treasury bond that paysa 6 percent semiannual coupon is closest to:A.105.20B.103.42C.108.66D.105.90Answer: D4. A two-year zero-coupon bond issued by corporate XYZ is currently rated A. Oneyear from now XYZ is expected to remain at A with 85% probability, upgraded to AA with 5% probability, and downgraded to BBB with 10% probability. The risk free rate is flat at 4%. The credit spreads are flat at 40, 80, and 150 basis points for AA, A, and BBB rated issuers, respectively. All rates are compounded annually.Estimate the expected value of the zero-coupon bond one year from now (for USD 100 face amount). Fixed Income Securities:D 92.59D 95.33D 95.37D 95.42Answer: C5.Assuming the long-term yield on a perpetual note is 5%, compute the dollar valueof a 1 bp. Increase in the yield (DV01) for a perpetual note paying a USD 1,000,000 annual coupon.A.-20,000B.-30,000C.-40,000D.-50,000Answer: C6.Given the following portfolio of bonds:What is the value of the portfolio’s DV01 (Dollar value of 1 basis point)?A.8,019B.8,294C.8,584D.8,813Answer: C7.Assuming other things constant, bonds of equal maturity will still have differentDV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value:A.Premium bonds, par bonds, zero coupon bondsB.Zero coupon bonds, Premium bonds, par bondsC.Premium bonds, zero coupon bonds, par bondsD.Zero coupon bonds, par bonds, Premium bondsAnswer: A8.Which of the following statements about standard fixed rate government bondswith no optionality is TRUE?I.Higher coupon implies shorter duration.II.Higher yield implies shorter duration.III.Longer maturity implies larger convexity.A.I and II onlyB.II and III onlyC.I and III onlyD.I, II, and IIIAnswer: D9.Which of the following is not a property of bond duration?A.For zero-coupon bonds, Macaulay duration of the bond equals its years tomaturity.B.Duration is usually inversely related to the coupon of a bond.C.Duration is usually higher for higher yields to maturity.D.Duration is higher as the number of years to maturity for a bond selling atpar or above increases.Answer: C10.Estimated price changes using only duration tend to:A.Overestimate the increase in price that occurs with a decrease in yield forlarge changes in yield.B.Underestimate the decrease in price that occurs with a increase in yield forlarge changes in yield.C.Overestimate the increase in price that occurs with a decrease in yield forsmall changes in yield.D.Underestimate the increase in price that occurs with a decrease in yield forlarge changes in yield.Answer: D11.A portfolio consists of two positions: One position is long $100M of a two yearbond priced at 101 with a duration of 1.7; the other position is short $50M of a five year bond priced at 99 with a duration of 4.1. What is the duration of the portfolio?A.0.68B.0.61C.-0.68D.-0.61Answer: D12.A zero-coupon bond with a maturity of 10 years has an annual effective yield of10%. What is the closest value for its modified duration?A.9B.10C.100D.Insufficient InformationAnswer: A13.A portfolio manager uses her valuation model to estimate the value of a bondportfolio at USD 125.482 million.The term structure is ing the same model,she estimates that the value of the portfolio would increase to USD 127.723 million if all the interest rates fell by 30bp and would decrease to USD 122.164 million if all the interest rates rose by ing these estimates,the effective duration of the bond is closest to :A. 8.38B. 16.76C. 7.38D. 14.77Answer: C14.A portfolio manager has a bond position worth USD 100 million. The position hasa modified duration of eight years and a convexity of 150 years. Assume that theterm structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points?D -2,046,875D -2,187,500D -1,953,125D -1,906,250Answer: C15.An investment in a callable bond can be analytically decomposed into a:A.Long position in a non-callable bond and a short position in a put optionB.Short position in a non-callable bond and a long position in a call optionC.Long position in a non-callable bond and a long position in a call optionD.Long position in a non-callable and a short position in a call optionAnswer: D16.A European bank exchanges euros for USD, lends them at the U.S. risk-free rate,and simultaneously enters into a forward contract to sell the loan proceeds for euros at loan maturity. If the net effect of these transactions is to earn the risk-free euro rate, it is an example of:A.ArbitrageB.Spot-forward equalityC.Interest rate parityD.The law of one priceAnswer: C17.At the inception of a six-month forward contract on a stock index, the value of theindex was $1,150, the interest rate was 4.4%, and the continuous dividend was1.8%. Three months later, the value of the index is $1,075. Which of the followingstatement is True? The value of the:A.long position is $82.41.B.long position is $47.56.C.short position is $47.56.D.long position is -$82.41.Answer: D18.Assuming the 92-day and 274 day interest rate is 8% (act/360, money market yield)compute the 182-day forward rate starting in 92 days (act/360, money market yield).A.7.8%B.8.0%C.8.2%D.8.4%Answer: B19.The 1-year US dollar interest rate is 3% and the 1-year Canadian dollar interestrate is 4.5%. The current USD/CAD spot exchange rate is 1.5000. Calculate the 1-year forward rate.A. 1.5225B. 1.5218C. 1.5207D. 1.5199Answer: B20.The price of a three-year zero coupon government bond is 85.16. The price of asimilar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4?A. 5.4%B. 5.5%C. 5.8%D. 6.7%Answer: D21.The clearinghouse in a futures contract performs all but which of the followingroles? The clearing house:A.guarantees traders against default from another party.B.splits each trade and acts as a buyer to futures sellers and as a seller tofutures buyers.C.allows traders to reverse their position without having to contract the otherside of the position.D.guarantees the physical delivery of the underlying asset to the buyer offuture contracts.Answer: D22.A weakening of the basis is a consequence of the:A.Spot price increasing faster than the futures price over time.B.Spot price moving according to hyper-arithmetic Brownian motion.C.Futures price increasing faster than the spot price over time.D.Futures price moving according to hyper-arithmetic Brownian motion. Answer: C23.Which of the following statements best describes marking-to-market of a futurescontract? At the:A.End of the day, the maintenance margin is increased for traders who lost anddecreased for traders who gained.B.Conclusion of each trade, the gains or losses from all previous trades in thefutures contract are tallied.C.Maturity of the futures contract, the gains or losses are tallied to the trader’saccount.D.End of the day, the gains or losses are tallied to the trader’s account. Answer: D24.A trader buys one wheat contract (underlying = 5,000 bushels) at a price of $3.05per bushel. The initial margin on the contract is $4,500 and the maintenance margin is $3,750. At what price will the trader receive a maintenance margin call?A.$2.30B.$2.90C.$3.20D.$3.80Answer: B25.The S&P 500 index is trading at 1,025. The S&P 500 pays an expected dividendyield of 1.2% and the current risk-free rate is 2.75%. The value of a 3-month futures contract on the S&P 500 index is closest to:A.$1,028.98B.$1,108.59C.$984.86D.$1,025.00Answer: A26.The current spot price of gold is $325/oz and the price of 90-day gold futurescontract (nominal amount of 100 oz) is $315. If 90-day Treasury bills are trading at yields of 3.55% - 3.58% and storage and delivery costs are ignored, what is the potential arbitrage profit per contract?A.$1,266B.$1,286C.$1,334D.$1,344Answer: C27.Which of the following statements describing the role of a convenience yield inpricing commodity futures is true? The convenience yield:I.will cause contango in the futures pricing relationship.II.Effectively reduces the cost of carry in the futures pricing relationship.III.Eliminates the potential for arbitrage between the futures and spot price.IV.Accounts for additional costs for storing an asset in the futures pricing relationship.A.I onlyB.II onlyC.II, III, and IV onlyD.I and II onlyAnswer: B28.A firm is going to buy 10,000 barrels of West Texas Intermediate Crude Oil. Itplans to hedge the purchase using the Brent Crude Oil futures contract. The correlation between the spot and futures prices is 0.72. The volatility of the spot price is 0.35 per year. The volatility of the Brent Crude Oil futures price is 0.27 per year. What is the hedge ratio for the firm?A. 0.9333B. 0.5554C. 0.8198D. 1.2099Answer: A29.The hedge ratio is the ratio of derivatives to a spot position (or vice versa thatachieves an objective such as minimizing or eliminating risk. Suppose that the standard deviation of quarterly changes in the price of a commodity is 0.57, the standard deviation of quarterly changes in the price of a futures contract on the commodity is 0.85, and the covariance between the two changes is 0.3876. What is the optimal hedge ratio for a 3.-month contract?A.0.1893B.0.2135C.0.2381D.0.2599Answer: D30.Consider an equity portfolio with market value of USD 100M and a beta of 1.5with respect to the S&P 500 Index. The current S&P 500 index level is 1000 and each futures contract is for delivery of USD 250 times the index level. Which of the following strategy will reduce the beta of the equity portfolio to 0.8?A.Long 600 S&P 500 futures contractsB.Short 600 S&P 500 futures contractsC.Long 280 S&P 500 futures contractsD.Short 280 S&P 500 futures contractsAnswer: D31.Corporates normally use FRAs to:A.Lock-in the cost of borrowing in the futureB.Lock-in the cost of lending in the futureC.Hedge future currency exposuresD.Create future currency exposuresAnswer: A32.An investor has entered into a forward rate agreement(FRA) where she hascontracted to pay a fixed rate of 5 percent on $5,000,000 based on the quarterly rate in three months. If interest rates are compounded quarterly, and the floating rate is 2 percent in three months, what is the payoff at the end of the sixth month?The investor will:A.make a payment of $37,500.B.receive a payment of $37,500.C.make a payment of $75,000.D.receive a payment of $75,000.Answer: A33.Consider the following 6x9 FRA ，Assume the buyer of the FRA agrees to acontract rate of 6.35% on a notional amount of 10 million USD ，Calculate the settlement amount of the seller if the settlement rate is 6.85%. Assume a 30/360 day count basis.A.–12,500B.–12,290C.+12,500D.+12,290Answer: B34.XYZ Corporation plans to issue a 10-year bond 6 months from now. XYZ wouldlike to hedge the risk that interest rates might rise significantly over the next 6 months. In order to effect this, the treasurer is contemplating entering into a swap transaction. Under the swap, she should:A.Pay fixed and receive LIBORB.Pay LIBOR and receive fixedC.Either swap (a or b above) will workD.Neither swap (a or b above) will workAnswer: A35.Consider the following plain vanilla swap. Party A pays a fixed rate 8.29% perannum on a semiannual basis (180/360), and receives from Party B LIBOR+30 basis point. The current six-month LIBOR rate is 7.35% per annum. The notional principal is $25M. What is the net swap payment of Party AA.$20,000B.$40,000C.$80,000D.$110,000Answer: C36.A trader executes a $420 million 5-year pay fixed swap（duration 4.433） with oneclient and a $385 million 10year receive fixed swap（duration 7.581） with another client shortly afterwards. Assuming that the 5-year rate is 4.15 % and 10-year rate is 5.38 % and that all contracts are transacted at par, how can the trader hedge his net delta position?A.Buy 4,227 Eurodollar contractsB.Sell 4,227 Eurodollar contractsC.Buy 7,185 Eurodollar contractsD.Sell 7,185 Eurodollar contractsAnswer: B37.Assume an investor with a short position is about to deliver a bond and has fourbonds to choose from which are listed in the following table. The last settlement price is $95.75 (this is the quoted futures price). Determine which bond is the cheapest-to-deliver.Bond Quoted Bond Price Conversion Factor1 99 1.012 125 1.243 103 1.064 115 1.14A. Bond 1B. Bond 2C. Bond 3D. Bond 4Answer: C38.What is the lower pricing bound for a European call option with a strike price of80 and one year until expiration? The price of the underlying asset is 90, and the1-year interest rate is 5% per annum. Assume continuous compounding of interest.A.14.61B.13.90C.10.00D. 5.90Answer: B39.According to Put-Call parity, buying a call option on a stock is equivalent to:A.Writing a put, buying the stock, and selling short bonds (borrowing).B.Writing a put, selling the stock, and buying bonds (lending).C.Buying a put, selling the stock, and buying bonds (lending).D.Buying a put, buying the stock, and selling short bonds (borrowing). Answer: D40.Jeff is an arbitrage trader, and he wants to calculate the implied dividend yield ona stock while looking at the over-the-counter price of a 5-year put and call (bothEuropean-style) on that same stock. He has the following data:• Initial stock price = USD 85• Strike price = USD 90• Continuous risk-free rate = 5%• Underlying stock volatility = unknown• Call price = USD 10• Put price = USD 15What is the continuous implied dividend yield of that stock?A. 2.48%B. 4.69%C. 5.34%D.7.71%Answer: C41.The current price of a stock is ＄55. A put option with ＄50 strike price thatexpires in 3 months is available. If N(d1)=0.8133, N(d2)=0.7779, the underlying stock exhibits an annual standard deviation of 25 percent, and current risk free rates are 3.25 percent, the Black-Scholes value of the put is closet to:A.$0.75B.$1.25C.$1.50D.$5.00Answer: A42.Which of the following is the riskiest form of speculation using options contracts?A.Setting up a spread using call optionsB.Buying put optionsC.Writing naked call optionsD.Writing naked put optionsAnswer: C43.A long position in a put option can be synthetically produced by:A.Long position in the underlying and a short position in a call.B.Short position in the underlying and a long position in a call.C.Long position in the underlying and a long position in a put.D.Short position in the underlying and a short position in a put.Answer: B44.ABEX Corporation common stock is selling for ＄50.00 per share. Both anAmerican call option and a European call option are available on ABEX common, and each have identical strike prices and expiration dates. Which of the following statements concerning these two options is TRUE?A.Because the American and European options have identical terms and arewritten against the same common stock, they will have identical optionpremiums.B.The greater flexibility allowed in exercising the American option willnormally result in a higher market value relative to an otherwise identicalEuropean option.C.The American option will have a higher option premium, because theAmerican security markets are larger than the European markets.D.The European option will normally have a higher option premium because oftheir relative scarcity compared to American options.Answer: B45.Put option values increase as a result of increases in which of the followingfactors?I.V olatilityII.DividendsIII.Stock PriceIV.Time to expirationA.I, II, and IV onlyB.I, III, and IV onlyC.II and IV onlyD.I and III onlyAnswer: A46.Your firm has no prior derivatives trades with its counterparty Super Bank. Yourboss wants you to evaluate some trades she is considering. in particular, she wants to know which of the following trades will increase your firm’s credit risk exposure to Super Bank:I.Buying a put optionII.Selling a put optionIII.Buying a forward contractIV.Selling a forward contractA.I and II onlyB.II and IV onlyC.III and IV onlyD.I, III, and IV onlyAnswer: D47.Which of the following statements about a floor is true?A.floor is a put option and protects against a fall in interest ratesB.floor is a call option and protects against a fall in interest ratesC.floor is a put option and protects against a rise in interest ratesD.floor is a call option and protects against a rise in interest ratesAnswer: A48.You are given the following information about a call option:• Time to maturity = 2 years• Continuous risk-free rate = 4%• Continuous dividend yield = 1%• N(d1) = 0.64Calculate the delta of this option.A.-0.64B.0.36C.0.63D.0.64Answer: C49.Call and put option values are most sensitive to changes in the volatility of theunderlying when:A.both calls and puts are deep in-the-money.B.both puts and calls are deep out-of-the-money.C.calls are deep out-of-the-money and puts are deep in-the-money.D.both calls and puts are at-the-money.Answer: D50.What is the reason for undertaking a Vega hedging? To minimize the:A.Possibility of counterparty default risk.B.Potential loss as a result of a change in the volatility of the underlying sourceof risk.C.Adverse effect due to the government regulation.D.Potential loss as a result of a large movement in the underlying source ofrisk.Answer: B51.Suppose an existing short option position is delta-neutral, but has a gamma of−600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to maintain the position gamma-neutral and delta-neutral, which of the following is the appropriate strategy to implement?A. Buy 400 options and sell 300 shares of the underlying asset.B. Buy 300 options and sell 400 shares of the underlying asset.C. Sell 400 options and buy 300 shares of the underlying asset.D. Sell 300 options and buy 400 shares of the underlying asset.Answer: A52.W hich of the following is not an assumption of the BS options pricing model?A. The price of the underlying moves in a continuous fashionB. The interest rate changes randomly over timeC. The instantaneous variance of the return of the underlying is constantD. Markets are perfect,i.e.short sales are allowed,there are on transaction costs or taxes,andmarkets operate continuously.Answer: B53.If risk is defined as a potential for unexpected loss, which factors contribute to therisk of a short call option position?A.Delta, vega, rhoB.Vega, rhoC.Delta, vega, gamma, rhoD.Delta, vega, gamma, theta, rhoAnswer: C54.If risk is defined as a potential for unexpected loss, which factors contribute to therisk of a long straddle position?A.Delta, vega, rhoB.Vega, rhoC.Delta, vega, gamma, rhoD.Delta, vega, gamma, theta, rhoAnswer: B55.Long a call on a stock and short a call on the same stock with a higher strike priceand same maturity is called:A. A bull spreadB. A bear spreadC. A calendar spreadD. A butterfly spreadAnswer: A56.Consider a bullish spread option strategy of buying one call option with a $30exercise price at a premium of $3 and writing a call option with a $40 exercise price at a premium of $1.50. If the price of the stock increases to $42 at expiration and the option is exercised on the expiration date, the net profit per share at expiration (ignoring transaction costs) will be:A.$8.50B.$9.00C.$9.50D.$12.50Answer: A57.An investor sells a June 2008 call of ABC Limited with a strike price of USD 45for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD40 for USD 5. What is the name of this strategy and the maximum profit and lossthe investor could incur?A.Bear Spread, Maximum Loss USD 2, Maximum Profit USD 3B.Bull Spread, Maximum Loss Unlimited, Maximum Profit USD 3C.Bear Spread, Maximum Loss USD 2, Maximum Profit UnlimitedD.Bull Spread, Maximum Loss USD 2, Maximum Profit USD 3Answer: D58.Which of the following actions would be most profitable when a trader expects asharp rise in interest rates?A.Sell a payer swaption.B.Buy a payer swaption.C.Sell a receiver swaption.D.Buy a receiver swaption.Answer: B59.Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades atUSD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer shouldA.sell 2,602 sharesB.sell 1,493 sharesC.purchase 1,493 sharesD.purchase 2,602 sharesAnswer: D60.A risk manager for bank XYZ, Mark is considering writing a 6 month American put optionon a non-dividend paying stock ABC. The current stock price is USD 50 and the strike price of the option is USD 52. In order to find the no-atbitrage price of the option, Mark uses a two-step binomial tree model. The stock price can go up or down by 20% each period. Mark’s view is that the stock price has an 80% probability of going up each period and a 20% probability of going down. The risk-free rate is 12% per annum with continuous compounding.What is the risk-neutral probability of the stock price going up in a single step?A. 34.5%B. 57.6%C. 65.5%D. 80.0%Answer: B61.Given the following 30 ordered simulated percentage returns of an asset, calculatethe VaR and expected shortfall (both expressed in terms of returns) at a 90% confidence level.-16, -14, -10, -7, -7, -5, -4, -4, -4, -3, -1, -1, 0, 0, 0, 1, 2, 2, 4, 6, 7, 8, 9, 11, 12, 12, 14, 18, 21, 23A.VaR (90%) = 10, Expected shortfall = 14B.VaR (90%) = 10, Expected shortfall = 15C.VaR (90%) = 14, Expected shortfall = 15D.VaR (90%) = 18, Expected shortfall = 22Answer: B62.What is the correct interpretation of a $3 million overnight VaR figure with 99%confidence level?A.The institution can be expected to lose at most $3 million in 1 out of next100 days.B.The institution can be expected to lose at least $3 million in 95 out of next100 days.C.The institution can be expected to lose at least $3million in 1 out of next 100days.D.The institution can be expected to lose at most $6 million in 2 out of next100 days.Answer: C63.In the presence of fat tails in the distribution of returns, VaR based on thedelta-normal method would (for a linear portfolio):A.underestimate the true VaRB.be the same as the true VaRC.overestimate the true VaRD.cannot be determined from the information providedAnswer: A64.Value at risk (VaR) measures should be supplemented by portfolio stress testingbecause:A.VaR does not indicate how large the losses will be beyond the specifiedconfidence level.B.stress testing provides a precise maximum loss level.C.VaR measures are correct only 95% of the time.D.stress testing scenarios incorporate reasonably probable events.Answer: A65.Assume we calculate a one-week VaR for a natural gas position by rescaling thedaily VaR using the square-root rule. Let us now assume that we determine the “true” gas price process to be mean reverting and recalculate the VaR. Which of the following statements is true?A.The recalculated VaR will be less than the original VaRB.The recalculated VaR will be equal to the original VaRC.The recalculated VaR will be greater than the original VaRD.There is no necessary relation between the recalculated VaR and the originalVaRAnswer: A66.If a portfolio with a VaR of 200 is combined with a portfolio with a VaR of 500,the VaR of the combination could be:I.Less than 200.II.Less than 500.III.More than 200.IV.More than 500.A.I and IIB.III and IVC.I, II and IVD.II, III and IVAnswer: D67.Consider the following portfolio consisting only of stock Alpha. Stock Alpha has amarket value of $635,000 and an annualized volatility of 28%. Calculate the VaR assuming normally distributed returns with a 99% confidence interval for a 10-day holding period and 252 business days in a year. The daily expected return is assumed to be zero.A.$56,225B.$69,420C.$82,525D.$96,375Answer: C68.Babson Bank is interested in knowing the risk exposure of their assets for variousprobabilities and time horizons. Babson has estimated that the annual variance (based on a 250 day year) of their $638 million asset portfolio is 151.29. If Z1%, Z5%, Z10%, are 2.32, 1.65, and 1.28, respectively, which of the following statements is false? The maximum dollar loss that can be expected to be exceeded:A.5% of the time in any six month period is $64.74 millionB.1% of the time on any given day is $11.51 millionC.10% of the time in any given quarter is $50.22 millionD.1% of the time in any given week is $25.25 millionAnswer: A69.The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR usinga 10-day horizon is:D 316 million if returns are not independently and identically distributedD 316 million if returns are independently and identically distributedD 100 million since VaR does not depend on any day horizonD 31.6 million irrespective of any other factorsAnswer: B70.If stock returns are independently, identically, normally distribution and the annualvolatility is 30%, then the daily VaR at the 99% confidence level of a stock market portfolio is approximately。
FRM一级模拟题1 . The l-year US dollar interest rate is 3% and the l-year Canadian dollar interest rate is 4.5%. The current USD/CAD spot exchange rate is l.5000. Calculate the l-year forward rate.A. 1.5225B. 1.5218C. 1.5207D. 1.51992 . A risk manager determines that the semiannual spot rates for l, 2,3 and4 years are 5%; 6%, 6.5%, and 6.75% respectively. Based on this information, the l-year forward rate two years from now is closet to:A. 6.25%B. 6150%C. 6.97%D. 7.4g%Answer: D3 . A1-year 7.25% coupon bond is trading at a price of 98, a 2-year 6.1% coupon bond is trading at 99, and a 3-year 7.55% coupon bond is trading at 101 .'All coupons and rates are given using the annual Actual/Actual convention. Using this information the l-year forward rate 2 years from now is closest to:A. 6.57%B. 7.14%C. 8.24%D. 8.2g%Answer: D4 . The price of a three-year zero coupon government bond is 85.16. The price of a similar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4? Answer: D5 . A buffalo farmer is concerned that the price he can get for his buffalo herd will be less than he has forecasted. To protect himself from price declines in the herd, the farmer has decided to hedge with live cattle futures. Specifically, he has entered into the appropriate number of cattle future positions for September delivery that he believes will help offset any buffalo price declines during the winter slaughter season. The appropriate position and the likely sources of basis risk in the hedge are, respectively:A. Short; choice of futures delivery date.B. Short; choice of futures asset.C. Short; choice of futures delivery date and asset.D. Long; choice of futures delivery date and asset.Answer: CThe farmer needs to be short the futures contracts. The two sources of basis risk confronting the farmer wⅢresult from the fact that he is using a cattle contract to offset the price movement of his buffalo herd, Cattle prices and buffalo prices may not be perfectly positively correlated. As a result, the correlation between buffalo 'and cattle prices will have an impact on the basis of the cattle futures contract and spot buffalo meat. The delivery date is a problem in this situation, because the farmer's hedge horizon is winter, which probably will not commence until December or January. In order to maintain a hedge during this period, the farmer will have to enter into another futures contract, which will introduce an additional source of basis risk.X。
FRM一级考前必做100真题1、An operational risk manager uses the Poisson distribution to estimate the frequency of losses in excess of USD 2 million during the next year. It is observed that the frequency of losses greater than USD 2 million is three per year on average over the last 10 years. Assuming that this observation is indicative of future occurrences and that the probability of one event occurring is independent of all other events, what is the probability of five losses in excess of USD 2 million occurring during the next two years?A.10.08%B.14.04%C.14.62%D.16.06%Answer: D2. A growing regional bank has added a risk committee to its board. One of the first recommendations of the risk committee is that the bank should develop a risk appetite statement. What best represents a primary function of a risk appetite statement?A.To quantify the level of variability for each risk metric that a firm is willing to accept.B.To state specific new business opportunities a firm is willing to pursue.C.To assign risk management responsibilities to specific internal staff members.D.To state a broad level of acceptable risk to guide the allocation of the firm’s resources. Answer: D3. A bank uses a 4-grade scale for its internal credit model. The 1-year rating transition probabilities for this model are given by:If a newly issued bond is rated “A” by this model, what is the probability that it will be rated “B”or lower two years from now?A.9%B.10%C.18%D.19%Answer: C4. A risk analyst observes that an emerging market stock index has hit a new all-time high witha value of 10,000, measured in the emerging market’s currency. The analyst suggests buying futures on the index as a hedge on the firm’s short exposure to this market. If the interest rate is 4% annually in this market and the average annualized dividend yield on the index for the next six months is 1%, what is the approximate price of a 6-month futures contract on the index in the emerging market’s currency?A.9,700B.9,850C.10,150D.10,300Answer: C5、You are evaluating the historical performance of four equity funds benchmarked to the BSESENSEX Index, as shown in the table below:Which fund has the highest information ratio?A.Fund AB.Fund BC.Fund CD.Fund DAnswer: B6. A risk analyst is analyzing several indicators for a group of countries. If he specifically considers the Gini coefficient in his analysis, in which of the following factors is he most interested?A.Standard of living.B.Peacefulness.C.Perceived corruption.D.Income inequalityAnswer: D7. Credit risk analysts at an investment bank are preparing a report on a company. After concluding their research, they estimate a 60% probability that the company will have its credit rating downgraded within one year by a major agency. If including in the report, which of the following would be a violation of the GARP code of Conduct?A. A discussion of a possible trade in the debt of two competing firms that could potentially beacquired by the company.B.An analysis of trading in the company’s debt by its major bondholders.C. A statement that the company’s debt is almost certain to be downgraded.D. A valuation matrix projecting several potential valuations for the company’s debt based onpotential credit ratings at the end of one year.Answer: C8. A portfolio manager holds USD 25 million in various US Treasury securities and is concernedabout interest rate volatility in the next few months. She has decided to use June US Treasury bond futures to hedge this risk. The current price for the futures contract is 94-30 and the duration of the cheapest to deliver bond is currently 9.50, which the portfolio manager expects will decrease to 9.25 by the maturity of the futures contract. Given a current duration of the portfolio of 2.30, which the portfolio manager expects will remain constant throughout the hedging period, what is the most appropriate position to take in the futures contract?A.Short 61 contracts.B.Short 63 contracts.C.Short 65 contracts.D.Short 67 contracts.Answer: C9. A French industrial firm is considering hedging the exchange rate risk associated with incoming cash flow streams from three Asian countries. What is correct with respect to the hedge decision?A.The firm could hedge this risk by buying put options on each currency, but this wouldeliminate any upside to the firm if the currency moves in its favor.B.If the firm has a high risk appetite for country risk, it should generally choose to hedge eachcurrency stream.C. A cash flow stream in a foreign currency can be hedged by purchasing debt denominated inthat currency.D.If the firm chooses to hedge, this may reduce the value of the firm at the time the hedge ismade.Answer: CQuestions 10 and 11 refer to the following informationA relative-value trader specializing in US Treasury notes and TIPS (Treasury Inflation Protect Securities) expects an environment of falling real yields and increasing inflation. Therefore, he expects TIPS to outperform Treasury notes, and he buys USD 100 million in face value of TIPS and sells short Treasury notes to keep his position DV01-neutual. The trader observes the followingyields and DV01s for a 10-year maturity TIPS and a 10-year maturity Treasury note:10、How much in face value of Treasury notes should the trader short to hedge the DV01 of the TIPS position?A. USD 91.92 millionB. USD 95.93 millionC. USD 104.25millionD. USD 108.79 millionAnswer: D11. A week later, nominal yields increase by 10bps and the market’s expectation of inflation decreases by 10bps. Which of the following statements correctly describes the impact on the aggregate portfolio resulting from these changes?A.Since the increase in the nominal yield perfectly offsets the decrease in expected inflation,there is no impact.B.Since the DV01-neutral hedge immunizes the position against small changes in expectedinflation and nominal yields, there is no impact.C.Since the DV01-neutral hedge immunizes the portfolio against small changes in the spreadbetween nominal and real yields, there is no impact.D.Since changes in the real yield and the nominal yield are not one-to-one, there is an impact. Answer: D12. What is a limitation of the mean-variance framework for measuring financial risk?A.The mean-variance approach ignores the first two moments of the underlying distribution.B.The mean-variance approach ignores the skewness and kurtosis of the underlyingdistribution.C.The mean-variance approach restricts the underlying distribution to a non-negative Fishburnmeasure.D.The mean-variance approach requires that the underlying distribution have an entropymeasure between 0 and 1.Answer: B13. An analyst is pricing a 2-year European put option on a non-dividend-paying stock using a binomial tree with two time steps of one year each. The stock price is currently USD 38, and the strike price of the put is USD 40. What is the value of the put closest to, assuming that the annual risk-free rate will remain constant at 2% over the next two years and the annual stock volatility is 15%D 3.04D 3.48D 3.62D 3.81Answer: B14. On September 10, a trader opens a long position in 100 December S&P 500 futures contracts. The initial margin requirement is USD 2 million, and CME requires a maintenance margin of USD 1.5 million. Assume that the position is kept open until September 14 and no withdrawals take place. The following table summarizes the daily change in value of the position for that period:On what dates will additional margin be required?A.September 12, but not September 13B.September 13, but not September 12C.September 12 and September 13D.Neither September 12 nor September 13Answer: A15. In futures trading, clearinghouses play an important role. Which of the tasks can one expect the clearing houses to fulfill in the settlement process of futures?A.In case of physical settlement. The clearinghouses guarantees that the longs will receive thespecified merchandise.B.The clearinghouse performs the function of receiving delivery notices from longs andassigning the notices to shorts.C.When a seller wants to make a delivery, he or she instructs the clearinghouse to submit anotice of intention to deliver.D.When the clearinghouse receives a delivery notice, it must immediately identify a buyer toreceive the delivery.Answer: D16. Bond A and Bond B have the same rating and the same probability of default. It is also estimated that:●The probability that both Bond A and Bond B will default during the next year is 5%; and●If Bond A defaults next year, there is a 50% probability that Bond B will also default.What is the probability that neither Bond A nor Bond B will default over the next year?A.75%B.80%C.85%D.95%Answer: C17. The chief risk officer of an international bank is instructing his direct reports on best practicesfor conducting country risk analysis and presenting the findings to senior executives .Which of the following recommendations would be considered the most questionable?A. Risk analysis should be consistent, using rigorous frameworks that allow for valid cross-county comparison.B. Risk reports should be concise, with easy to understand conclusion that have sufficient detail to make them meaningfulC. Risk reports should be informative, providing the end user the rationable behind any assessment without and “black boxes’ that are difficult to understand ,D. Risk analysis should be open –ended, presenting several scenarios and taking no particular position on any issue that could bias decision-makers.Answer: D18. A portfolio manager has recently purchased a 10-year investment-grade corporate bond. Which of the following tasks must typically be performed by the corporate trustee listed in the bond’s indenture?A.Act in a fiduciary capacity for the bond issuer.B.Ensure that the bond issuer’s reported financial ratios meet the requirements in theindenture.C.Change the terms of the indenture to provide protection for the bond purchaser.D.Monitor the bond issuer’s balance sheet to ensure covenant compliance.Answer: B19. A portfolio manager bought 1,000 call options on a non-dividend-paying stock with a strike price of USD 100 for USD 5 each. The current stock price is USD 104 with a daily stock return volatility of 2.89%, and the delta of the option is 0.7. Using the delta-normal approach to calculate VaR, what is the approximate 1-day 95% VaR of this option?D 238D 3,461D 4,944D 7,063Answer: B20. The enterprise risk management process includes several stages. Which of the following procedures would take place during the risk assessment stage?A.Developing the following year’s budget for the risk management function.ing simulation analysis to estimate VaR.C.Purchasing insurance to mitigate a specific risk factor.D.Selecting a risk strategy compatible with the firm’s risk appetite.Answer: B21. Two portfolios that have the same expected return are benchmarked to the same market index. In comparing these two portfolios, which of the following statements about performance measures is correct?A.The portfolio with the higher beta will have the higher Treynor ratio.B.Jensen’s alpha is particularly well0suited for comparing portfolios with different levels ofrisk.C.The portfolio with the higher volatility will have the higher Sharpe ratio but the lowerTreynor ratio.D.There is an exact linear relationship between the Treynor ratio and Jensen’s alpha for eachportfolio.Answer: D22. A risk manager is estimating the 1-day 95% VaR on a domestic equity portfolio using a 100-day lookback period. The mean return, estimated from the historical data, is 0% with a standard deviation of 2%. The six most extreme negative returns over the lookback period, along with the time they occurred, are:Over a period of 10 days after the risk manager computed the portfolio’s VaR, four new extreme declines occurred: -25%,-4.1%, -7.8% and -9.5%. On the other six days, the portfolio experienced positive returns. The risk manager must now update the previous VaR estimate to account for these changes. Assuming the portfolio has a current value of USD 100 million, what is the updated 1-day 95% VaR using the historical approach?D 3.28 millionD 4.70 millionD 10 milliond 25 millionAnswer: B23. At large financial institutions, the board of directors plays a key a key role in the process of creating a culture of risk management .As part of this role ,one function that should be fulfilled by the board of directors is to:A. Establish a policy to address individual risk factors by reducing, hedging, or avoiding exposure to each riskB. Develop risk reports and communicate them to organizational division leaders to conform with best practicesC. Address issues that could potentially represent a conflict of interest by creating committees composed exclusively of executive board membersD. Monitor the effectiveness of the company’s governance practices and make any necessary changes to ensure proper complianceAnswer: C24. A portfolio manager needs to hedge a USD 115 million liability. The portfolio manager isdeciding between investing only in the 3%-coupon Treasury bond in the table below, or in a portfolio consisting of the shorter maturity 2%-coupon Treasury bond and the longer maturity 4.5%-coupon Treasury bonds.The convexity of the barbell portfolio that will match the duration and price of the bullet position will be closest to:A.60B.74C.83D.93Answer: D25. A bank uses a continuously-compounded annual interest rate of 5% in one of its risk models. What is the equivalent interest rate the bank should use if it converts to semi-annual compounding in the model?A. 4.94%B.5%C. 5.06%D. 5.12%Answer: C26. An analyst is looking to combine two stocks with annual returns that are jointly normally distributed and uncorrelated. Stock A has a mean return of 7% and a standard deviation of returns of 20%; Stock B has a mean return of 12% and a standard deviation of returns of 15%. If the analyst combines the stocks into an equally weighted portfolio, what is the probability that the portfolio return over the next year will be greater than 12%?A.42.07%B.44.32%C.55.67%D.57.93%Answer: A27. An investor holds an American call option on a dividend paying stock with the following characteristics●Current stock price ,S=USD 50●Strike price, K=USD 50●Time to expiration ,T=2 mouthsA divided, D, of USD 1 per share has just been announced ,with an ex-dividend date, t, of one month from now, Assuming the risk-free rate, r, is 1.5% and the option stays at-the-money, is it optimal to exercise the option right before the ex-dividend date?A.Yes, because S < K*exp(-r(T-t)) + DB.Yes, because D>K*(1-exp(-r(T-t)))C.No, because the call option is at-the-money ,and early exercise is only optimal when it is deep in-the-moneyD.No, because unlike an American put option, it is never optimal to exercise an American call option early.Answer: B28. A company has 500.000 shares of stock outstanding. Oneworld,a single stock futures(SSF) exchange, is the only exchange that trades in SSFs for this stock. There is currently open interest in the July 2014 futures contract representing 500.000shares .Since OneWorld function as a typical futures exchange on 10,000shares of the company’s stock?A. This is allowed and open interest in this SSF contract may increaseB. A position limit will prevent the new SSF order from being accepted by the exchangeC. This particular trade setup is a common method of market manipulation and would likely be reviewed by regulatorsD. The cash outlay would be greater than buying 10,000 shares of this stockAnswer: A29. In the EWMA model, the half0life is defined as the time, T, at which λT = 1/2, where λ is the decay factor of the EWMA model. A risk analyst is using a specific EWMA model to calculate volatility and determines that the half-life of the model is 23 days. Based on the above information, which weight will be applied to the return that is five days old?A.0.026B.0.031C.0.781D.0.859Answer: A30. Options have just started trading for a non-dividend-paying stock. The stock is trading at USD 50. The risk-free rate is 1.5% per year. The prices of some 1-year European options on the stock are displayed in the table below. What arbitrage opportunity exists given these prices?A.Sell two calls with strike USD 40; buy one call with strike USD 50; sell one call with strike USD60B.Buy one call with strike USD 40; sell two calls with strike USD 50; buy one call with strike USD60C.Sell two calls with strike USD 40; buy one call with strike USD 50; buy one call with strikeUSD 60D.Buy one call with strike USD 40; sell two calls with strike USD 50; sell one call with strike USD60.Answer: B31. A firm uses an EWMA model to estimate the daily volatility of the return of a security. The following table shows the beginning-of-day estimate of the daily volatility, the end-of-day closing price, and the daily return, for each day during the past week:Assuming the mean daily return is zero and using the information above, what is the value of the smoothing parameter used by the firm in its EWMA model?A.0.93B.0.894C.0.96D.0.98Answer: C32. A quantitative risk analyst is comparing the computational efficiency of different estimators generated using Monte Carlo simulation. Relevant information is summarized in the following table:Which of the estimators is most computationally efficient?A.Estimator AB.Estimator BC.Estimator CD.Estimator DAnswer: C33. An investor holds a portfolio of stocks A and B. The current value, estimated annual expected return. And estimated annual standard deviation of returns are summarized in the table below：If the correlation coefficient of the returns on stocks A and B is 0.3,then the expected value of the portfolio at the end of this year ,within two standard deviations ,will be between：D 69,00 and USD 134,400D 71,800 and USD 145,400D 78,200 and USD 139,000D 81,400 and USD 135,800Answer: C34. An economic analyst as calculated the probabilities of three possible states for the economy next year：growth ,normal ,and recession .A bank analyst has estimated the possible returns on two stocks, A and B, in each of the three scenarios shown in the following table：Given that the standard deviation of the estimated returns on stocks A and B are 16.0%and9.8%,respectively,what is the covariance of the estimated returns on stocks A and B?A、-0.0187B、-0.0156C、0.0156D、0.0178Answer: C35. A manufacturing company has identified several growth opportunities and is seeking to raise capital in order to expand. The company currently has the following metrics:●Total debt: USD 100 million●Total equity: USD 100 million●Debt to equity ratio: 1●Levered equity beta: 1.75●Current effective tax rate: 25%Management has submitted a proposal to issue additional debt in the amount of USD 100 million to pursue these opportunities. This strategy would also result in the company’s effective tax rate decreasing from 25% to 15%. Assuming there are no changes to the company’s unlevered asset beta or the market value of the company’s equity, the resulting levered equity beta would be within which of the following ranges?A.0.75 and 1.75B. 1.75 and 2.50C. 2.50 and 3.25D. 3.25 and 4.00Answer: C36. You are examining a pool of senior secured loans and observe that 10% of the loans are delinquent in their interest payments. The outstanding balance on 60% of the delinquent loans exceeds the value of the collateral pledged to secure them and the outstanding balance on 30% of the non-delinquent loans exceeds the value of the collateral pledged to secure them. If you randomly select a loan from the pool and observe that its collateral value is less than theoutstanding balance, what is the probability that the loan is delinquent?A.6%B.9%C.18%D.54%Answer: C37.The following table lists the annual risk-free rate, the return on an equity fund ,and the return on the market portfolio for the past three years：Using a linear regression, the beta relating the excess returns of the equity fund to the excess returns of the market portfolio is estimated to be 0.60.What is the best estimate of Jensen’s alpha of this equity fund over this 3-year period？A.-3.07%B.-1.00%C.0.33%D.4.34%Answer: C38. The rating agencies have analyzed the creditworthinesss of a casino operator and determined that the company currently has adequate capacity to meet financial commitments. But this capacity could be adversely impacted by negative economic conditions. Any further credit rating reduction would move the casino operator into the speculative category, which of the following S&P/Moody’s ratings has the casino operator been assigned?A.AA/AaB.A/AC.BBB/BaaD.BB/BaAnswer: C39. Details from an interest rate swap confirmation executed under an ISDA Master Agreement are shown below. Assuming no defaults, no netting of payments, and that 3-month LIBOR remains below the initial floating coupon level, how many total payments between the two parties will be made over the life of the swap?A.7B.14C.21D.22Answer: B40. Futures exchanges and clearinghouses require that members put up margin in varioussituations to limit the risk to the exchange that might develop through futures trading. Which of the following statements is correct?A.Original margin requirements generally reflect the price volatility of futures contracts.B.Guaranty deposit is defined as the deposit that the clearing member must make by the startof the trading session.C.Variation margin is defined as the deposit that the clearing member must make when atrade is initiated.D.Original margin represents the deposit that the clearing member must maintain at theclearinghouses as long as it remains a member.Answer: A41. A Mexican pharmaceutical producer enters into a swap agreement to hedge the interest rate risk of payments it will need to make every six months for the next two years. It agrees to pay 3% per year on a notional principal of MXN 100 million and receive 6-month LIBOR for two years at 6-month intervals. If the current 6-month LIBOR rate is 2.75% per year, and 6-month LIBOR in six months turns out to be 3.15% per year, what is the company’s cash flow from the payment occurring at the end of month 12?A.MXN 72,816B.MXN 75,000C.MXN 150,000D.MXN 200,000Answer: B42. A risk analyst is asked to calculate the 1-day 99% VaR of a portfolio as well as to estimate the number of daily exceedances that are expected over the next year. Assuming 250 trading days in a year, what is the expected number of days of exceedances for this model within a year?A. 3B. 5C.13D.25Answer: AQUESTIONS 43 AND 44 REFER TO THE FOLLOWING INFORMATIONA bank analyst run an ordinary least squares regression of the daily returns of the stock on the daily returns on the S&P 500 index using the last 750 trading days of data. The regression results are summarized in the following tables:R2 = 87.86%Analysis of Variance43. T he bank analyst wants to test the null hypothesis that the beta of the portfolio is 1.2 at a 5% significance level. According to the regression results, the analyst would:A.Reject the null hypothesis because the t-statistic is greater than 1.64B.Fail to reject the null hypothesis because the t-statistic is greater than 1.64C.Reject the null hypothesis because the p-value is greater than 5%D.Fail to reject the null hypothesis because the p-value is greater than 5%Answer: A44. A colleague of the bank analyst suggested adding the returns on the Dow Jones Industrial Average (DJIA) index as an additional explanatory variable. The new regression results show that the R2increased and the adjusted R2decreased. What conclusion can be drawn from these results?A.The increased R2 gives an inflated estimate of how well the regression fits the data.B.The decreased adjusted R2 suggests that the coefficient of the returns on the DJIA is notsignificant.C.The increased R2 indicates an improvement in the regression.D.The decreased adjusted R2 suggests the existence of omitted variable bias in this regression. Answer: B45. Studying previous financial disasters provides lessons learned that can help improve processes and controls in order to help prevent future disasters. Which of the following case studies correctly identifies a lesson learned from the given financial disaster?A.The Metallgesellschaft case shows the necessity of procedures that may lead to thedetection of fictitious trade entries.B.The Societe Generale case highlights the importance of correctly measuring the correlationbetween large positions.C.The Barings Bank case demonstrates why firms should restrict the use of leverage in tradingDerivatives.D.The Long-Term Capital Management case shows the importance of taking into account thatcorrelations can increase sharply during crises.Answer: D46. An operational risk analyst is attempting to analyze a bank’s loss severity distribution. However, historical data on operational risk losses is limited. Which of the following is the best way to address this issue?A. Generate additional data using Monte Carlo simulation and merge it with the bank’s operational losses.B. Estimate the parameters of a Poisson distribution to model the loss severity of operational losses.C. Estimate relevant probabilities using expected loss information that is published by credit rating agencies.D. Merge external data from other banks with the banks with the bank’s internal data after making appropriate scale adjustments.Answer: D47. A risk manager oversees the risk measurement of two portfolios. Portfolio A has a VaR of USD 5 million and an ES of USD 10 million. Portfolio B has a VaR of USD 7 million and an ES of USD 15 million. When combining portfolios A and B, the risk manager observes that the VaR of the aggregate portfolio is USD 15 million and the ES is USD 20 million. This is because:A.ES is subadditive, while VaR is not subadditive.B.VaR is subadditive, while ES is not subadditive.C.VaR satisfies positive homogeneity, while ES does not satisfy positive homogeneity.D.ES satisfies positive homogeneity, while VaR does not satisfy positive homogeneity. Answer: A48. You are conducting an ordinary least squares regression of the returns on stocks Y and X as Y = a + b×X + ε based on the past three year’s daily adjusted closing price data. Prior to conducting the regression, you calculated the following information from the data:What is the slope of the resulting regression line?A.0.35B.0.45C.0.59D.0.77Answer: C49. A risk analyst is estimating the regression R x = α + βY ×R Y + βZ×R Z + ε, where R x is the return of stock X, R Y is the return of stock Y, and R Z is the return of stock Z, using 20 years of daily return。
