[2023年10月14日]2016-FRRテスト準備できるトレーニング練習テスト試験問題
試験問題解答ブレーン問題集で2016-FRR試験問題集PDFを使おう
質問 # 183
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. I, III
- C. II, III
- D. I, II, IV
正解：A
質問 # 184
The market risk manager of SigmaBank is concerned with the value of the assets in the bank's trading book.
Which one of the four following positions would most likely be not included in that book?
- A. 300,000 options on IBM shares worth $10,000,000.
- B. 10,000 shares of IBM worth $10,000,000.
- C. $10,000,000 loan to IBM worth $9,800,000.
- D. $10,000,000 bond issued by IBM worth $11,000,000.
正解：C
質問 # 185
Which of the following about the ratios between various Tiers of capital is not a requirement of the Basel
Committee?
- A. Lower Tier 2 capital may only equal 50% of core capital.
- B. Tier 2 capital cannot exceed 50% of the bank's total regulatory capital.
- C. Innovative instruments in Tier 1 are limited to a maximum of 15% of Tier 1 capital.
- D. Upper Tier 2 capital may only equal 30% of core capital.
正解：C
質問 # 186
Gamma Bank is operating in a highly volatile interest rate environment and wants to stabilize its net income
by shifting the sources of its earnings from interest rate sensitive sources to less interest rate sensitive sources.
All of the following strategies can help achieve this objective EXCEPT:
- A. Originate more floating interest rate loans
- B. Extend different types of credit
- C. Provide trust, asset management, and trading services to customers
- D. Charge bank fees for underwriting loans
正解：A
質問 # 187
Which one of the following statements about futures contracts is correct?
I. Futures contracts are subject to the same risks as the underlying instruments.
II. Futures contracts have additional interest rate risk die to the future delivery date.
III. Futures contracts traded in a clearinghouse system are exposed to credit risk with numerous counterparties.
- A. I, III
- B. I, II, III
- C. II, III
- D. I
正解：D
質問 # 188
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, III, IV
- B. II, III
- C. I, IV
- D. I, II
正解：A
質問 # 189
To safeguard its capital and obtain insurance if the borrowers cannot repay their loans, Gamma Bank accepts
financial collateral to manage its credit risk and mitigate the effect of the borrowers' defaults. Gamma Bank
will typically accept all of the following instruments as financial collateral EXCEPT?
- A. Mutual fund shares and similar unit investment vehicles subject to daily quotes
- B. Unrated bonds issued and traded on a recognized exchange
- C. Equities and convertible bonds included in a main market index
- D. Commercial debts owed to a company in a form of receivables
正解：D
質問 # 190
To quantify the aggregate average loss for the credit portfolio and its possible constituent subportfolios, a
credit portfolio manager should use the following metric:
- A. Factor sensitivity
- B. Unexpected loss
- C. Expected loss
- D. Credit VaR
正解：C
質問 # 191
Which one of the following four statements regarding the basic Net Interest Income model is INCORRECT?
- A. Net interest income risk does not address the impact of changing interest rates on bank equity value.
- B. The amount of intermediated funds can be a function of interest rate levels.
- C. Effective repricing date can be different than contractual repricing.
- D. Assets and liabilities have the same interest rate sensitivities.
正解：D
質問 # 192
Which of the following statements represents a methodological difference between variance-covariance and
full revaluation methods?
- A. Variance-covariance approach computes the VAR for each position separately, while the full revaluation
method computes the VAR on a portfolio basis. - B. Variance-covariance approach provides computational advantages over the full revaluation approach.
- C. Variance-covariance approach prices positions more accurately than the full revaluation approach.
- D. Variance-covariance approach uses only historic data to compute the covariance matrix.
正解：B
質問 # 193
By foreign exchange market convention, spot foreign exchange transactions are to be exchanged at the spot
date based on the following settlement rule:
- A. Four-day rule
- B. One-day rule
- C. Three-day rule
- D. Two-day rule
正解：D
質問 # 194
Which one of the following four statements on the seniority of corporate bonds is incorrect?
- A. Junior bonds always pay higher coupons than subordinated bonds.
- B. Seniority refers to the priority of a bond in bankruptcy.
- C. In bankruptcy, holders of senior bonds are paid in full before any holders of subordinated bonds receive
payment. - D. Senior bonds typically have lower credit spreads than junior bonds with the same maturity and payment
characteristics.
正解：A
質問 # 195
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, III
- C. II, III, IV
- D. I, II
正解：A
質問 # 196
The retail banking business of BankGamma has an expected P & L of $50 million and a VaR of $100 million.
The bank seeks to diversify its revenue, and is considering the opportunity to acquire a credit card business
with an expected P & L of $50 million and a VaR of $150 million. What will be the overall RAROC if the
bank acquires the new business?
- A. 50%.
- B. 58%.
- C. 72%.
- D. 33.3%.
正解：B
質問 # 197
In analyzing market option pricing dynamics, a risk manager evaluates option value changes throughout the
entire trading day. Which of the following factors would most likely affect foreign exchange option values?
I. Change in the value of the underlying
II. Change in the perception of future volatility
III. Change in interest rates
IV. Passage of time
- A. I, II, III, IV
- B. I, II, III
- C. II, III
- D. I, II
正解：A
質問 # 198
A risk manager is considering how to best quantify option price dynamics using mathematical option pricing
models. Which of the following variables would most likely serve as an input in these models?
I. Implicit parameter estimate based on observed market prices
II. Estimates of sensitivity of option prices to parameter changes
III. Theoretical option determination based on assumptions
- A. I, III
- B. I, II, III
- C. II
- D. II, III
正解：B
質問 # 199
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. I and III
- B. I and II
- C. III and IV
- D. II, III, and IV
正解：A
質問 # 200
Which statements correctly describe the features of using subscription databases for operational loss data
analysis?
Subscription databases
I. Provide central data repositories and benchmarking services to their members.
II. Can provide insight into whether the losses in a firm reflect the usual losses in their industry.
III. Assist with mapping the events to the appropriate business lines, risk categories and causes.
IV. Reflect only events that are interesting to the press and are reported in the press.
- A. II and III
- B. I and II
- C. I, II and III
- D. II, III, and IV
正解：A
質問 # 201
Which of the following statements presents an advantage of using risk and control self-assessments (RCSA) in
the operational risk framework?
I. RCSA provides very accurate scoring of risks and controls due to its subjective nature.
II. RCSA program provides insight into risks that exist in a firm, but that may or may not have occurred
before.
III. RCSA program can produce biased but transparent operational risk reporting.
IV. RCSA program allows each department to take ownership of its own risks and controls.
- A. II and IV
- B. I, II and III
- C. I and III
- D. II, III, and IV
正解：A
質問 # 202
An asset manager just bought a coupon paying bond with principal value $100,000 for $87,000 with a current
yield of 4.7%. He assumes that if the yields change to 5.7% the price of the bond would be $84,500. Based on
this assumption what is the modified duration of the bond?
- A. 2.97.
- B. 2.88.
- C. 97.12.
- D. 2,507.
正解：B
質問 # 203
In the United States, Which one of the following four options represents the largest component of securitized
debt?
- A. Credit card loans
- B. Real estate loans
- C. Lines of credit
- D. Education loans
正解：B
質問 # 204
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