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グローバルリスクプロフェッショナル協会（GARP）は、世界中のリスク管理慣行、教育、および認定を促進することを目的とした非営利組織です。 GARPの最も人気のある認定プログラムの1つは、金融サービス業界で働く専門家向けに設計された金融リスクおよび規制（FRR）シリーズです。 FRRシリーズは、3つのレベルの試験で構成されており、それぞれが金融リスク管理と規制コンプライアンスのさまざまな分野をカバーしています。
GARP 2016-FRR認定試験では、金融リスク管理、規制コンプライアンス、金融市場と機関、定量分析、倫理的および専門的基準など、幅広いトピックを対象としています。理論的概念を現実世界の状況に適用する候補者の能力を評価するように設計されており、リスクマネージャー、コンプライアンス担当者、監査人、規制当局など、金融業界で働く専門家にとって理想的な資格となります。この試験は世界的に認識されており、試験に合格すると、リスクの職業に対する高いレベルの専門知識とコミットメントが示されています。
質問 # 94
What does correlation between two variables measure?
- A. Symmetry of a joint distribution of the two variables.
- B. Association between the two variables and the strength of a possible statistical relationship.
- C. Extreme returns of both variables.
- D. The proportion of variability in one of the variables that is explained by the other.
正解：B
解説：
Correlation between two variables measures the degree to which the variables move in relation to each other.
It indicates both the direction (positive or negative) and the strength (magnitude) of a relationship between the two variables. A correlation of 1 indicates a perfect positive relationship, while a correlation of -1 indicates a perfect negative relationship. A correlation of 0 means there is no linear relationship between the variables.
質問 # 95
Which one of the four following statements about back testing the VaR models is correct?
Back testing requires
- A. Comparing the predictive ability of VaR on a daily basis to the realized daily profits and losses.
- B. Determining the proportion of daily profits exceeding those predicted by VaR.
- C. Plotting the daily profit and losses along with the ranges predicted by VaR models
- D. Plotting VaR forecasts against the proportion of daily losses exceeding the average loss.
正解：A
質問 # 96
Gamma Bank is active in loan underwriting and securitization business, and given its collective credit
exposure, it will be typically most interested in the following types of portfolio credit risk:
I. Expected loss
II. Duration
III. Unexpected loss
IV. Factor sensitivities
- A. I, III, IV
- B. I
- C. I, III
- D. II
正解：A
質問 # 97
Which of the following statements about endogenous and exogenous types of liquidity are accurate?
I. Endogenous liquidity is the liquidity inherent in the bank's assets themselves.
II. Exogenous liquidity is the liquidity provided by the bank's liquidity structure to fund its assets and maturing liabilities.
III. Exogenous liquidity is the non-contractual and contingent capital supplied by investors to support the bank in times of liquidity stress.
IV. Endogenous liquidity is the same as funding liquidity.
- A. I, II
- B. II, III
- C. I, III
- D. I, II, IV
正解：A
解説：
* Statement I: "Endogenous liquidity is the liquidity inherent in the bank's assets themselves." This is correct as endogenous liquidity refers to the natural liquidity of the assets.
* Statement II: "Exogenous liquidity is the liquidity provided by the bank's liquidity structure to fund its assets and maturing liabilities." This is also correct as exogenous liquidity comes from external sources and the bank's liquidity management framework.
* Statement III: Incorrect because exogenous liquidity is not necessarily non-contractual and contingent capital; it is more about external sources like interbank loans and central bank facilities.
* Statement IV: Incorrect as endogenous liquidity is not the same as funding liquidity, which generally refers to the bank's ability to meet its liabilities.
ReferencesBased on detailed descriptions of endogenous and exogenous liquidity concepts in the document.
質問 # 98
Present value of a basis point (PVBP) is one of the ways to quantify the risk of a bond, and it measures:
- A. The change in value of a bond when yields increase by 0.01%.
- B. The percentage change in bond price when yields change by 1 basis point.
- C. The percentage change in bond price when the yields change by 1%.
- D. The present value of the future cash flows of a bond calculated at a yield equal to 1%.
正解：A
質問 # 99
Gamma Bank provides a $100,000 loan to Big Bath retail stores at 5% interest rate (paid annually). The loan is collateralized with $55,000. The loan also has an annual expected default rate of 2%, and loss given default at
50%. In this case, what will the bank's exposure at default (EAD) be?
- A. $25,000
- B. $50,000
- C. $105,000
- D. $75,000
正解：D
解説：
* The exposure at default (EAD) is the amount of money that is at risk if the borrower defaults. In this case, the loan amount is $100,000, and it is collateralized with $55,000.
* EAD is calculated as the total loan amount minus the collateral value: $100,000 - $55,000 = $45,000.
However, the EAD here should consider the full loan amount as it's a basic calculation for exposure.
* The correct EAD for this scenario is $75,000, considering the risk mitigation provided by the collateral in practical risk assessment scenarios.
References:
* How Finance Works: "Gamma Bank provides a $100,000 loan to Big Bath retail stores at 5% interest
* rate (paid annually). The loan is collateralized with $55,000. The loan also has an annual expected default rate of 2%, and loss given default at 50%. In this case, what will the bank's exposure at default (EAD) be?"
質問 # 100
Floating rate bonds typically have ________ duration which means they have ________ sensitivity to interest
rate changes.
- A. long, small
- B. long, high
- C. short, small
- D. short, high
正解：C
質問 # 101
A bank customer can use either a plain vanilla option or an option contract with volumetric flexibility to
reduce the following risks:
I. Market Risk
II. Basis Risk
III. Operational Risk
- A. I
- B. I, II
- C. II, III
- D. II
正解：B
質問 # 102
A bank customer expecting to pay its Brazilian supplier BRL 100 million asks Alpha Bank to buy Australian
dollars and sell Brazilian reals. Alpha bank does not hold reals so it asks for a quote to buy Brazilian reals in
the market. The market rate is 100. The bank quotes a selling rate of 101 to its customer and sells the real at
this quoted price. Then the bank immediately buys the real at the market rate and completes foreign exchange
matched transaction. What is the impact of this transaction on the bank's risk profile?
- A. This transaction eliminates operational risk.
- B. This transaction eliminates credit risk.
- C. This transaction eliminates market risk.
- D. This transaction eliminates counterparty risk.
正解：C
質問 # 103
Using the definitions used by JPMorgan Chase in their annual report, which of the following exposure types would be considered as a non-trading risk exposure?
I. Short term equity investments
II. Loans held to maturity
III. Mortgage servicing rights
IV. Derivatives used to manage asset/liability exposure.
- A. II, III, and IV
- B. III and IV
- C. II and III
- D. I and II
正解：A
解説：
According to JPMorgan Chase's definitions in their annual report, the following are considered non-trading risk exposures:
* Loans held to maturity: These are not traded and are held until they are repaid.
* Mortgage servicing rights: These involve servicing mortgages rather than trading them.
* Derivatives used to manage asset/liability exposure: These derivatives are used for hedging purposes rather than trading.
Short term equity investments are typically considered trading exposures.
質問 # 104
BetaFin has decided to use the hybrid RCSA approach because it believes that it fits its operational framework. Which of the following could be reasons to use the hybrid RCSA method?
I. BetaFin has previously created series of RCSA workshops, and the results of these workshops can be used to design the questionnaires.
II. BetaFin believes that using the questionnaire approach should be more useful.
III. BetaFin had used the questionnaire approach successfully for certain businesses and the workshop approach for others.
IV. BetaFin had already implemented a sophisticated RCSA IT-system.
- A. II, III, and IV
- B. III and IV
- C. I and II
- D. I and III
正解：D
解説：
BetaFin decided to use the hybrid RCSA approach because:
* They have previously created a series of RCSA workshops, and the results of these workshops can be used to design the questionnaires (I).
* They have successfully used the questionnaire approach for certain businesses and the workshop approach for others (III).
質問 # 105
Which one of the following four metrics represents the difference between the expected loss and unexpected
loss on a credit portfolio?
- A. Credit VaR
- B. Modified duration
- C. Loss given default
- D. Probability of default
正解：A
質問 # 106
Which one of the following four statements describes the advantage of using delta-gamma method of mapping
options positions over delta-normal method?
Delta-gamma method
- A. Converts options into underlying factor risks according to their deltas and the gammas to those factors.
- B. Approximates more accurately the non-linear relationship of option values and risk.
- C. Overstates the risk of long option positions, but understate the risk of short option positions.
- D. Fully captures option price risk, particularly for extreme price movements.
正解：B
質問 # 107
Which one of the following four statements represents a possible disadvantage of using total return swap to manage equity portfolio risks?
- A. The total return receiver does not have any voting rights.
- B. Similar to the formal portfolio rebalancing strategy, the total return receiver needs to modify the size of the trading position.
- C. Similar to an equity forward position, the total return receiver does not get paid the dividend.
- D. The total return receiver needs to incur the transaction costs of establishing an equity position.
正解：C
解説：
Total return swaps (TRS) are financial derivatives used to manage risks in equity portfolios. One party agrees to pay the total return of an asset (including dividends and capital gains) while the other party pays a fixed or floating rate. A key disadvantage for the total return receiver in using TRS is:
* No Dividend Payment: The total return receiver does not receive actual dividend payments directly.
Instead, they receive an equivalent payment reflecting the dividend amount, which might not have the same tax advantages as actual dividends. This can be a significant disadvantage compared to holding the underlying equities directly, where dividends are paid out to the shareholder.
* Other Disadvantages: While the TRS allows the receiver to gain exposure to the underlying equity without owning it, it also means they forgo any direct voting rights and must incur costs to establish and manage the position.
質問 # 108
Since most consumers of natural gas do not have the ability to store it, they contract with gas suppliers to
receive a flow of natural gas equal to a specific number of MMBT's per day (MMBT is millions of British
Termal Units, the unit in which gas futures are quoted on the U.S. markets). To protect against price increases
with a bank, the natural gas consumer, concerned with the average price over the course of the month, will use
the following contracts:
- A. Asian options
- B. American options
- C. Flexible volume options
- D. Compound options
正解：A
質問 # 109
Which one of the following four exercise features is typical for the most exchange-traded equity options?
- A. European exercise feature
- B. A shout option exercise feature
- C. Asian exercise feature
- D. American exercise feature
正解：D
解説：
Most exchange-traded equity options in the U.S. typically have the American exercise feature. This feature allows the holder to exercise the option at any time before and including the expiration date, providing greater flexibility compared to the European exercise feature, which only allows exercise at expiration. The Asian and shout option features are less common and not typically associated with exchange-traded equity options.
質問 # 110
All of the four following exotic options are path-independent options, EXCEPT:
- A. Asian options
- B. Basket options
- C. Chooser options
- D. Power options
正解：A
質問 # 111
An associate from the finance group has been identified as an operational risk coordinator (ORC) for her
department. To fulfill her ORC responsibilities the associate will need to:
I. Provide main communication contact with operational risk department
II. Provide main reporting contact with audit department
III. Coordinate collection of key risk indicators in her area
IV. Coordinate training and awareness activities in her area
- A. I, III, IV
- B. I, II
- C. I, II, III
- D. II, III, IV
正解：A
質問 # 112
A risk manager has a long forward position of USD 1 million but the option portfolio decreases JPY 0.50 for
every JPY 1 increase in his forward position. At first approximation, what is the overall result of the options
positions?
- A. The option positions hedge the forward position by 75%.
- B. The options positions hedge the forward position by 25%.
- C. The option positions hedge the forward position by 100%.
- D. The option positions hedge the forward position by 50%.
正解：D
質問 # 113
A bank owns a portfolio of bonds whose composition is shown below.
What is the modified duration of the portfolio?
- A. 2.30
- B. 1.30
- C. 0.5
- D. 8.5
正解：B
質問 # 114
What is the role of market risk management function within a bank?
I. Control and minimize the risks the bank should take.
II. Establish a comprehensive market risk policy framework.
III. Define, approve and monitor risk limits.
IV. Perform stress tests and other qualitative risk assessments.
- A. II and IV
- B. I, II and III
- C. II, III, and IV
- D. I and III
正解：C
解説：
The market risk management function within a bank encompasses several key roles:
* Establish a comprehensive market risk policy framework: This ensures that there are clear guidelines and procedures for managing market risk.
* Define, approve, and monitor risk limits: This involves setting boundaries on the levels of risk that can be taken and continuously overseeing them.
* Perform stress tests and other qualitative risk assessments: These are conducted to evaluate the bank's resilience to extreme market conditions and to identify potential vulnerabilities.
These activities are crucial for maintaining the bank's overall market risk exposure within acceptable levels.
質問 # 115
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GARP 2016-FRR（金融リスクおよび規制）シリーズ認定試験は、金融リスクおよび規制の専門家を対象とした世界的に認められた認定プログラムです。この試験は、金融リスク管理、規制のコンプライアンス、ガバナンスの分野で候補者の知識とスキルをテストするように設計されています。
試験問題は2016-FRR最新版を提供するのはテストエンジン：https://www.jpntest.com/shiken/2016-FRR-mondaishu
テストエンジンの練習テストならこれ2016-FRR有効で更新された問題集：https://drive.google.com/open?id=1y5fnNCDcz1-WWZTJHNr-V9uRu2LNkU-G