2023年最新の実際に出る2016-FRR問題集には試験のコツがあるPDF試験材料
心強い2016-FRRPDF問題集は2016-FRR問題
質問 # 40
Which one of the following four statements about market risk is correct? Market risk is
- A. The maximum likely loss in the market value of portfolios and financial instruments over a given period
of time. - B. The exposure to an adverse change in the market value of portfolios and financial instruments caused by
a change in market prices or rates. - C. The maximum likely loss in the market value of portfolios and financial instruments caused by the
failure of the counterparty to meet its obligations. - D. The exposure to an adverse change in the credit quality in portfolios or of financial instruments.
正解：B
質問 # 41
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
- B. I, III, IV
- C. II
- D. I
正解：B
質問 # 42
Which of the following statements depicts a difference between funding liquidity risks and trading liquidity
risks?
- A. Funding liquidity risks are associated with how fast prices move in the market while trading liquidity
risks originate out of bank trades. - B. Funding liquidity risks are associated only with the bank assets while trading liquidity risks are
associated with both assets and liabilities of the bank. - C. Funding liquidity risks are short term risks while trading liquidity risks are longer term risks.
- D. Funding liquidity risks are concerned with the ability of the bank to fund deposits withdrawals while
trading liquidity risks are concerned with the change in bid-offer spreads of asset values.
正解：D
質問 # 43
Which one of the following four statements correctly defines an option's delta?
- A. Delta measures the impact of volatility on the price of an option.
- B. Delta measures the expected decline in option with time and is usually expressed in years.
- C. Delta is the multiplier that best approximates the short-term change in the value of an option.
- D. Delta measures the effect of 1 bp in interest rate change on the option price.
正解：C
質問 # 44
From the bank's point of view, repricing the retail debt portfolio will introduce risks of fluctuations in:
I. Duration
II. Loss given default
III. Interest rates
IV. Bank spreads
- A. I, II
- B. III, IV
- C. II
- D. I
正解：B
質問 # 45
Which of the following are typical properties of a statistical distribution of potential losses that a bank might
sustain over a period of time?
I. The range of possible losses above the average loss is much greater than those below the average loss.
II. The loss that is most likely to occur is below the average loss.
III. The loss that is most likely to occur is above the average loss.
- A. II
- B. I, II
- C. I, III
- D. III
正解：A
質問 # 46
Which one of the four following statements describes a specific characteristic of risk and control
self-assessments (RCSA) which distinguishes it from both control assessments and risk and control
assessments?
- A. RCSA tests a control's effectiveness against set criteria and issues a pass/fail or level of effectiveness
score. - B. RCSA is conducted by a third party, perhaps audit, compliance or the Sarbanes-Oxley team.
- C. RCSA includes a risk assessment in addition to a control assessment.
- D. RCSA is subjective by nature.
正解：D
質問 # 47
Which one of the following four statements about planning for the operational risk framework is
INCORRECT?
- A. Planning for the operational risk framework involves setting clear goals, realistic milestones and
achievable deliverables that add value. - B. Once the elements of an operational risk framework are up and running, they need to be monitored to
ensure they maintain their integrity and do not deteriorate over time. - C. An operational risk framework is a complex and evolving challenge, and to keep its development under
control it is important to apply strong project management skills to the design and implementation of
each new element. - D. Planning for the operational risk framework suggests that short-term planning and focus on immediate
benefits is strongly preferred to the long-term planning approach.
正解：D
質問 # 48
In additional to the commodity-specific risks, which of the following risks represent the main commodity
derivative risks?
I. Basis
II. Term
III. Correlation
IV. Seasonality
- A. I, II
- B. I, II, III, IV
- C. I, IV
- D. II, III
正解：B
質問 # 49
The exercise for an American type option prior to expiration day is virtually certain in the following case:
- A. In the event of a high dividend for an in-the-money put option
- B. In the event of a high dividend for an in-the-money call option
- C. In the event of a low dividend for an in-the-money call option
- D. In the event of a low dividend for an in-the-money put option
正解：B
質問 # 50
Which one of the following four parameters is NOT a required input in the Black-Scholes model to price a
foreign exchange option?
- A. Discrete future stock prices
- B. Underlying interest rates
- C. Option exercise price
- D. Underlying exchange rates
正解：A
質問 # 51
Beta Insurance Company is only allowed to invest in investment grade bonds. To maximize the interest
income, Beta Insurance Company should invest in bonds with which of the following ratings?
- A. AAA
- B. A
- C. B
- D. AA
正解：B
質問 # 52
All of the four following exotic options are path-independent options, EXCEPT:
- A. Basket options
- B. Power options
- C. Asian options
- D. Chooser options
正解：C
質問 # 53
Which of the following statements explain how securitization makes the retail assets highly liquid and the
balance sheet easier to manage?
I. By securitizing assets any lack of capital can be accommodated by selling the securitized bonds.
II. Any need to diversify credit risk can be achieved by selling bank's own securitized bonds and buying other
bonds that increase diversification.
III. Securitization could be used to promote hedging by using limited market instruments.
- A. I, II, III
- B. I, II
- C. II
- D. II, III
正解：B
質問 # 54
Which of the following risk types are historically associated with credit derivatives?
I. Documentation risk
II. Definition of credit events
III. Occurrence of credit events
IV. Enterprise risk
- A. I, II
- B. I, II, III
- C. I, IV
- D. II, III, IV
正解：B
質問 # 55
Of all the risk factors in loan pricing, which one of the following four choices is likely to be the least
significant?
- A. Probability of default
- B. Exposure at default
- C. Loss given default
- D. Duration of default
正解：D
質問 # 56
Which of the following risk measures are based on the underlying assumption that interest rates across all
maturities change by exactly the same amount?
I. Present value of a basis point.
II. Yield volatility.
III. Macaulay's duration.
IV. Modified duration.
- A. I, II, and III
- B. I, II, III, and IV
- C. I and II
- D. I, III, and IV
正解：D
質問 # 57
The probability of default on a bond is 3%, and in the case of default, investors expect to lose 70% of their
investment. The bond's risk premium is 1.9%. The expected loss and the credit spread of the bond are,
respectively:
- A. 1.6% and 3.5%.
- B. 2.1% and 4%.
- C. 1.6% and 2.5%.
- D. 2.1% and 3%.
正解：B
質問 # 58
10 basis points are equal to:
- A. 1%
- B. 10%
- C. 0.01%
- D. 0.1%
正解：D
質問 # 59
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. Fully captures option price risk, particularly for extreme price movements.
- B. Converts options into underlying factor risks according to their deltas and the gammas to those factors.
- C. Approximates more accurately the non-linear relationship of option values and risk.
- D. Overstates the risk of long option positions, but understate the risk of short option positions.
正解：C
質問 # 60
Arnold Wu owns a floating rate bond. He is concerned that the rates may fall in the future decreasing his
payment amount. Which of the following instruments should he buy to hedge against the fall in interest rates?
- A. Index amortizing swap
- B. Interest rate cap
- C. Interest rate swap that receives floating and pays fixed
- D. Interest rate floor
正解：D
質問 # 61
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