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FRM一级模考

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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 is
3.5 percent per year. The value of a 3-month European call option with a
strike price of $10 is closest to:
A. $1.07
B. $0.54
C. $0.81
D. $0.95
Answer: B
2.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. $22.16
B. $12.91
C. $3.24
D. $7.36
Answer: D
3 . 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: B
The 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 next
5 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 be
A. $1,950.00
B. $1,439.75
C. $1,489.75
D. $2,000.00
Answer: C
5 . 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. $0
B. $500
C. -$1,250
D. -$3,750
Answer: C
In 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.。

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VB模拟题2013

VB模拟题2013

Visual Basic6.0等级考试模拟试卷第一套模拟试卷一、选择题1．当一个工程含有多个窗体时，单击“启动”按钮，运行的窗体是（）。

A) 正在编辑的窗体B) 第一个添加的窗体C) 最后一个添加的窗体D) 在"工程属性"对话框中指定的窗体2．以下声明语句中错误的是（）。

A) Deflnta-z B) Dim var='ABC'C) Const varl=123 D) Static var3 As Integer3．设a=8，b=6，c= -1；执行语句Print a>b>c后，窗体上显示的是（）。

A) 1 B) True C) False D) 出错信息4．以下能判断是否到达文件尾的函数是（）。

A) LOF B) BOF C) LOC D) EOF5．下列（）语句是合法的。

A) x>3=y B) x+y=5 C) x=y>3 D) x=y+6．执行语句X = InputBox("请输入圆的半径",0,"求圆的面积")，在弹出对话框后输入5回车,则下列叙述正确的是（）。

A) 0是默认值B) X的值是字符"5"C) X的值是数字5 D) 对话框标题是"求圆的面积"7．被一个对象所识别的外界动作被称为（）。

A) 事件B)方法C)过程D)属性8．为了使标签Label1不可见，正确的属性设置为（）。

A) Label1.Visible=True B) Label1.Visible=1C) Label1.Visible=0 D) Label1.Visible=False9．在图形模式下，点亮坐标为X,Y的像素所用的语句是（）。

A) Locate X,Y B) Pset X,Y,5 C) Position X,Y D) Pset(X,Y)10．复选框的Value属性为0时，表示（）。

frr和frm的区别

frr和frm的区别

frr和frm的区别
FRM和FRR是两种不同的金融风险管理证书，它们各自具有不同的特点。

FRM，即金融风险管理师证书，是一个高级证书，它涵盖了广泛的金融风险管理知识和技能，包括定量分析、风险管理基础、金融市场与产品、估值与风险模型等多个方面。

这个证书的考试难度较大，因为它不仅要求考生掌握理论知识，还要求他们具备实际应用能力。

FRM证书持有者通常能够在金融机构中担任高级风险管理职位，如风险管理经理或风险管理总监等。

而FRR，即金融风险与监管证书，是一个中级证书，它主要关注金融风险和监管方面的知识，包括市场风险、信用风险、操作风险和资产负债管理等。

这个证书的考试难度相对较低，更注重对基础知识的理解和应用。

FRR证书持有者通常能够在金融机构中承担更具体的风险管理职责，如风险评估、监控和报告等。

综上所述，FRM和FRR在证书级别、考试难度和职业发展方向等方面存在明显的差异。

考生可以根据自己的需求和职业规划选择适合自己的证书进行备考。

关于CreditMetrics模型的计算举例

关于CreditMetrics模型的计算举例

资产组合的VAR 计算步骤（一）对于单个资产VAR 的计算Credit Metrics 组合模型中，按以下步骤计算单个资产VAR：第一步：确定信用等级评价系统，可以在给定某一公司的信用质量及给定的某一时间水平下，确定公司信用质量从某一信用等级向另一信用等级转移的概率。

第二步：确定度量信用风险的期限，通常情况下为一年；第三步：确定每一信用等级的公司在给定的时间水平下的远期折现曲线，进而确定违约情况下贷款的价值，及确定相应的“回收率”；第四步：计算由信用等级迁移所引起的组合价值的远期分布。

举例：一笔5年期的固定贷款利率，利率为6%，贷款总额为100，目前信用等级为BBB 级。

则该笔贷款的市值为：44433322211)1(106)1(6)1(6166s r s r s r s r P ++++++++++++= 其中：i r 表示零息债券的无风险利率；i s 表示信用价差。

同时一年期的信用等级的迁移概率矩阵为：年末的等级迁移概率年初信用级别 AAA AA A BBB BB B CCC D AAA 98.01 8.330.68 0.06 0.12 0 0 0 AA 0.7 96.56 7.79 0.64 0.06 0.14 0.02 0 A 0.09 2.27 91.05 5.52 0.74 0.26 0.01 0.06 BBB 0.02 0.33 5.95 86.93 5.36 1.17 0.12 0.18 BB 0.03 0.14 0.67 7.73 80.53 8.84 1.00 1.06 B 0 0.11 0.24 0.43 6.48 83.46 4.07 5.2 CCC0.220.221.32.3811.2464.8619.79资料来源：Credit Metrics 技术文档，JP. .Morgan ，1997（穆迪公司的一年期的信用等级的迁移概率矩阵）假设债务人在于发放贷款的金融机构来说，这笔贷款在第一年结束时的市值是：66.108)0532.1(106)0493.1(6)0432.1(6)0372.1(66432=++++=P迁移到其它信用等级的情形，可以以此类推。

20110416 FRM一级模考题第一套答案

20110416 FRM一级模考题第一套答案

9. Answer: D
Standard deviation = 160, 000 = 400; 400 / 100 = 40 The researcher is correct that a
possible consequence of increasing the sample size is sampling more than one population. In addition, increasing sample size will increase its costs. The need for additional precision must be balanced with cost and the risk of sampling more than one population.
15. Answer: B Indemnified bonds will hedge adverse internal firm events, such as a large underwriting loss for an insurance company, so Statement II is incorrect. Catastrophe options are traded on the Chicago Board of Trade so Statement III is incorrect.
14. Answer: D The expected value of the portfolio after two years is: (10)(1 - 0.03)(1 - 0.03) ($1,000,000) = $9,409,000. Therefore, the expected cumulative loss is: $10,000,000 - $9,409,000 = $591,000.