FRMExam完整版真题试题.docx
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FRMExam完整版真题试题.docx
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FRMExam完整版真题试题
Question1
Whichtypeofoptionproducesdiscontinuouspayoffprofiles.meaningthatthepayoffdoesnotincreaseordecreasecontinuouslywiththeunderlyingassetvalue?
a.Chooseroptions
b.Barrieroptions
c.Binaryoptions
d.Lookbackoptions
Question2
TheexchangerateoftheCanadiandollarfortheu.s.dollarcanevolvetooneoftwopossiblevaluesoverthenextperiodwithequalprobability.thetableshowsthepossiblevaluesfortheu.s.dollarpriceoftheCanadiandollarandtheCanadiandollarpriceoftheu.s.dollarinoneperiod.usingthistable.determinewhichofthestatementsbelowarecorrect.
LevelCAD|USDUSD|CAD
Current1.00000001.000000
UP1.10000000.9090909
DOWN0.90000001.1111111
a.E[CAD|USDRate]=1/E[USD|CADRate]
b.E[USD|CADRate]
1/E[CAD|USDRate]
c.E[USD|CADRate]
1/E[CAD|USDRate]
d.E[CAD|USDRate]=E[USD|CADRate]
Answerquestions3and4basedonthefollowinginformation
AriskmanagerforABCbankhascompiledthefollowingdateregardingabondtraderandanequitytrader.Assumethatthereturnsarenormallydistributedandthatthereare52tradingweeksperyear.ABCbankcomputesitscapitalusinga99%VaR.theafter-taxprofitsareall-inclusive.
ABCBankDate—USDmillions
After-taxnetbookweeklytax
Profitmarketvaluevolatilityrate
Bondtrader
Equitytrader
USD8USD1201.1%40%
USD18USD1801.94%40%
Question3
UsingtheABCbankdate.calculatetheannualrisk-adjustedreturnoncapital(RAROC)forthebondtrader?
a.25.24%
b.36.08%
c.60.15%
d.84.92%
Question4
UsingtheABCbankdate.whichofthefollowingstatementsarecorrectinrelationtotheequitytrader?
Theequitytraderhasanannual.after-taxVaRata99%confidoncelevelofUSD33.2million.
IncomparingtheRAROCforbothtraders.theequitytraderisperformingbetterthanthebondtrader.
a.Ⅰonly
b.Ⅱonly
c.Both
d.Neither
Question5
Thestand-aloneeconomiccapitalrequirementsforinsurancecompaniescanbebrokendownintothreemajorrisk;creditrisk,market/ALMriskandoperatingandotherrisks.analyzingtherisk.profilesofalifeinsurer;aP&Cinsurer.Adiversifiedinsurer,andapropertyinsurerthehighestmarket/ALMriskwouldbefora:
a.Lifeinsurer
b.P&Cinsurer
c.Diversifiedinsurer
d.Propertyinsurer
Question6
companyXYZ’spensionfundhasliabilitiesofUSD100millionandassetsofUSD120million.Theannualgrowthoftheliabilitieshasanexpectedvalueof5%with3%volatility.thereturnoftheassetshasanexpectedvalueof8%with12%volatility.Thecorrelationbetweenassetreturnandliabilitygrowthis0.3.whatisthe95%surplus-at-risk?
a.USD27.6million
b.USD22.7million
c.USD13.8million
d.USD18.1million
Question7
consideranall-equityfirmwithequitycapitalizationofUSD2billion.Thefirm’sCFOconsidersthefollowingthreefinancingstrategies
1.issuezero-couponseniordebtwithprincipalamountofUSD1billionpayablein10yearsandpurchaseinsuranceforUSD100millionthatwillpaylossesontheseniordebttoinvestorsinexcessofUSD500million
2.issuezero-couponjuniordebtwithprincipalamountofUSD500millionpayables10yearsandissuezero-couponseniordebtwithprincipalamountofUSD500millionpayables10years
3.issuezero-couponseniordebtwithprincipalamountofUSD1billionpayable10yearswithaputoptionattachedthatgivesinvestorstherighttoputdebttothefirmatmaturityfortheprincipalamount
whichofthesesstrategieswouldhavethemostriskyseniordebt?
a.Strategy1
b.Strategy2
c.Strategy3
d.Seniordebtsareequallyriskyinallthreestrategies
Question8
gammaindustriesincissuesaninversefloaterwithafacevalueofUSD50.000.000thatpaysasemiannualcouponof1150%minusLIBROgammaindustriesintendstoexecuteanarbitragestrategyandearnaprofitbysellingthenotes.Usingtheproceedstopurchaseabondwithafixedsemiannualcouponrateof6.75%ayearandthenhedgetheriskbyenteringintoanappropriateswap.Gammaindustriesreceivesaquotefromaswapdealerwithafixedrateof5.75%andafloatingrateofLIBOR.WhatwouldbethemostappropriatetypeofswapofGammaindustries,Inc.,toenterintotohedgeitsrisk?
a.Pay-fixed,receive-fixedswap
b.Pay-floating,receive-fixedswap
c.Pay-fixed,receive-floatingswap
d.Theriskcannotbehedgedwithaswap
Question9
aportfoliomanagerentersintoatotalofreturnswapasthetotalreturnreceiver.Underwhichofthefollowingsituationswouldtheportfoliomangerberequiredtomakeanetoutlaytothecounterparty?
a.Ifthetransactionwasinitiatedasahedge.Thennooutlaywasrequired
b.Iftherewereacapitalgainonthereferenceasset
c.Ifthemarketvalueofthereferenceassetdecreasedsignificantly
d.Ifthespreadbetweenthereferenceassetandthebenchmarkassetchanged
Question10
whichofthefollowingstatementsaboutcombatingmodelriskareincorrect?
1Ifapositionisknowtohaveconsiderablemodelrisk.Afirmcanlimititsexposurebyimposingatighterpositionlimit
2Ifwealwayschoosethemodelthattakesintoaccountthelargestnumberofreal-worldfactorsthataffectprices.Thefirm’sexposuretomodelriskwillbereduced
3Runningregularstresstestsorscenarioanalysestotestthevolatility.Correlationandliquidityassumptionsinmodelhelpsreducemodelrisk
4Riskmanagersshouldcheckthetrader’spricingmodeltoensurethatmodelcalibrationisup-to-dateandthatmodelsareupgradedinlinewithmarketbestpracticeandtoensurethatobsoletemodelsareidentifiedandtakenoutofuse
a.Nonearetrue
b.Ⅱonly
c.Ⅰ,ⅢandⅣ
d.Ⅰ,ⅡandⅢ
Question11
Whichtypeofdistributionproducesthelowestprobabilityforavariabletoexceedaspecifiedextremevalue“X”Whichisgreaterthanthemean,assumingthedistributionallhavethesamemeanandvariance?
a.Aleptokurticdistributionwithakurtosisof4.
b.Aleptokurticdistributionwithakurtosisof8.
c.Anormaldistribution.
d.Aplatykurticdistribution.
Question12
AnAmericaninvestorholdsaportfolioofFrenchstocks.Themarketvalueofportfoliois€10million,withabetaof1.35relativetoCACindex.InNovember,thespotvalueoftheCACindexis4750.TheexchangerateisUSD1.25/€.Thedividendyield.aurointerestratesanddollarinterestratesareallequalto4%.Whichofthefollowingoptionstrategieswouldbethemostappropriatetoprotecttheportfolioagainstadeclineoftheeuro?
MarchEurooptions(allpricesinUSdollarper€)
StrikeCalleuroPuteuro
1.250.0180.022
a.BuycallswithapremiumofUSD160,000.
b.BuyputswithapremiumofUSD220,000.
c.SellcallswithapremiumofUSD180,000.
d.SellputswithapremiumofUSD220,000.
Question13
Inanattempttoprovideguidanceonanadditionalstepstobetakenbytheprivatesectortopromotetheefficiency,effectivenessandstabilityoftheglobalfinancialsystem.ThecounterpartyriskmanagementpolicyGroupII(GRMPGII)publishedareportinJuly2005containingrecommendationsandguidingprinciples.AccordingtotheGRMPGIIreport,whichofthefollowingstatementsrelatingtoEmergingIssueisincorrect?
a.GRMPGIIrecommendsthatfiduciariestakingonrisksassociatedwithcomplexproductsshouldhavetheabilitytoaggregateriskacrosstheirentirepoolofassetsinordertounderstandportfolio-levelimplications.
b.GRMPGIIrecommendsthathedgefunds.onavoluntarybasis,adopttherelevantrecommendationsandguidingprinciplescontainedintheir(GRMPGII)report.
c.Asaguidingprincipleinsellingstructuredproductstoretailinvestors,financialintermediariesshouldconsiderwhetherdisclosureappropriatelyconveysthefactthatsecondarymarketvalue,atmaturity,willbelessthantheissueprice.
d.Asaguidingprinciple,seniormanagementshouldconductperiodicreviewsofthefinancialintermediary’sinternalcontrolsforthesaleofcomplexproductsretailinvestors.
Question14
Whichstatementbestdescribescorrelationsanvariancesintimesoffinancialcrisis?
a.Thereareonlymarginalchangesincorrelationsandvariancesintimesofcrisis,andthereforetheydonotneedtobefactoredintoriskmanagement.
b.Thediversificationbenefitsdecreasebecausecorrelationsincrease,andthereforeyourrisklevelincreases.
c.Thediversificationbenefitsincreasebecausecorrelationsdecrease,andthereforeyourriskleveldecreases.
d.VaRestimatesusingtheRiskmetricsapproachprovidefortheeffectsofincreasedcorrelationsduringperiodscrisis,andthereforetheeffectsarefactoredintocurrentpositions.
Question15
Assumethemarginalmonthlydefaultrates(conditionalonnopreviousdefault)forafirmare2%eachmonthduringthefirstyearand3%eachmonthduringthesecondyear.Whatisthemarginalprobabilityofdefaultingoverthethesecondyear,conditionalonnothavingdefaultedthefirstyear?
a.Insufficientinformationtoanswerthequestion
b.30.6%
c.36.0%
d.47.4%
Question16
GiventworandomvariablesXandY,WhatisthevarianceofX,GivenVariance[Y]=100.
Variance[4X-3Y]=2,700andthecorrelationbetweenXandYis0.5?
a.56.3
b.113.3
c.159.9
d.225.0
Question17
Aportfoliohasanaveragereturnoverthelastyearof13.2%.Itsbenchmarkhasprovidedanaveragereturnoverthesameperiodof12.3%.Theportfolio’sstandarddeviationis15.3%,itsbetais1.15,itstrackingerrorvolatilityis6.5%anditssemi-standarddeviationis94%.Lastly,therisk-freerateis4.5%.Calculatetheportfolio’sinformationRatio(IR).
a.0.569
b.0.076
c.0.138
d.
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