FRM一级模考题(一)

FRM模考题（一）

1. Value at risk (VAR) can be viewed as a measure of risk capital, which is theeconomic capital required to support a financial activity. Economic capital is theamount of capital that should be set aside as a cushion against:

A. catastrophic losses.

B. expected losses.

C. unexpected losses.

D. expected and unexpected losses.

Solution :C

Economic capital represents a cushion against unexpected losses.

2. A $1,000 par corporate bond carries a coupon rate of 6%, pays couponssemiannually, and has ten coupon payments remaining to maturity. Marketratesare currently 5%. There are 90 days between settlement and the next couponpayment. The dirty and clean prices of the bond, respectively, are closest to:

A. $1,043.76, $1,026.73.

B. $1,056.73, $1,041.73.

C. $1,069.70, $1,056.73.

D. $1,043.76, $1,071.73.

Solution : B

The dirty price of the bond is calculated as N = 10; I/Y = 2.5; PMT = 30; FV = 1,000; CPT →I PV = 1,043.76. Adjusting the PV For the fact that there are only 90 days until the receipt of the first coupon gives $1,043.76 x (1.025)90/180= $1,056.73. Clean price= dirty price - accrued interest = $1,056.73 - $30(90 / 180) =$1,041.73.

3. Which of the following statements regarding option "Greeks" is(are) correct?

I. Vega measures the sensitivity of option prices to changes in volatility.

II. Forward instruments cannot be used to create gamma-neutral positions.

III. Rho is a much more important risk factor for equities than for fixed-incomederivatives.

IV. Theta represents the expected change in delta For a change in the value ofthe underlying.

A. I and III only.

B. I and II only.

C. IV only.

D. I, II, and IV.

Solution: B

Gamma represents the expected change in delta for a change in the value of theunderlying. Large changes in rates have only small effects on equity option prices, so rhois a more important risk factor for fixed-income derivatives.

4. The S&P 500 index is trading at 1,01

5. The S&P 500 pays an expectedcontinuously compounded dividend yield of 2%, and the continuouslycompounded risk-free rate is 4.1%. The value of a 3-month futures contract onthe S&P 500 is closest to:

B. 997.68.

C. 1,020.34.

D. 1,350.59.

Solution : C 1,015e(o.041-0.02)(0.25) =1,020.34.

5. Which of the following possible portfolios cannot lie on the efficient frontier:

A. Portfolio 1 only.

B. Portfolio 3 only.

C. Portfolios 1 and 4.

D. Portfolios 2 and 3.

Solution: C

Portfolio 1 does not lie on the efficient frontier because it has a lower return thanPortfolio 2 but has equal risk. Portfolio 4 does not lie on the efficient frontier because ithas higher risk than Portfolio 3 but has the same return.