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検証済みの2016-FRR問題集と344格別な問題
質問 # 109
Gamma Bank has a significant number of retail customers and finds its balance sheet shape and structure difficult to manage. Which one of the following characteristics of a bank with wide retail operations is INCORRECT?
- A. Banks with a wide retail base are typically driven by contractual obligations and not simply relationship considerations.
- B. The way retail customers behave in relation to the retail banking products they hold often results in the apparent contractual obligation of the parties providing a poor description of the actual nature of the obligations.
- C. Attracting and retaining customers often involves offering retail products whose features are different from wholesale market products.
- D. Pricing of retail products often has more to do with marketing considerations rather than prevailing market price.
正解：A
解説：
Banks with a large number of retail customers often face complex balance sheet management issues due to the varied behaviors and preferences of retail customers. While attracting and retaining these customers often involves offering products with unique features, it is also true that the pricing of retail products is influenced more by marketing considerations rather than prevailing market prices. Additionally, retail customer behavior often deviates from the contractual terms, making the management of such operations challenging. Therefore, option A is incorrect because retail banks must balance both contractual obligations and relationship considerations.
質問 # 110
10 basis points are equal to:
- A. 10%
- B. 0.1%
- C. 1%
- D. 0.01%
正解：D
解説：
A basis point is equal to 1/100th of a percentage point. Therefore, 10 basis points are equal to 0.10%, which can be expressed as 0.01 in decimal form. This conversion is crucial for understanding changes in interest rates and yields in financial contexts.
質問 # 111
Which one of the following four statements correctly defines credit risk?
- A. Credit risk is the risk arising from execution of a company's strategy.
- B. Credit risk is the risk that summarizes the exposures a company or firm assumes when it attempts to operate within a given field or industry.
- C. Credit risk is the risk that complements market and liquidity risks.
- D. Credit risk is a form of performance risk in contractual relationship.
正解：D
解説：
Credit risk refers to the risk that a borrower will default on any type of debt by failing to make required payments. It is typically a form of performance risk in a contractual relationship, where one party is at risk of loss due to another party's inability to fulfill financial obligations. This is distinguished from market risk (related to market prices), liquidity risk (related to the availability of funds), and other operational risks that companies might face.
質問 # 112
When operating in a heavily traded currency, a commercial and retail bank's treasury is likely to focus on
cover operations. Which one of the following four commercial and retails treasury's operations is known as a
cover operation?
- A. Managing the net interest rate risk in the banking book directly with market counterparties by operating
a derivatives trading desk. - B. Mitigating liquidity risk, or effectively managing the balance sheet and its funding.
- C. Ensuring that the risks generated by the bank's business are mitigated in the market.
- D. Effectively transferring the interest rate risk in the banking book to the investment bank at a fair transfer
price.
正解：C
質問 # 113
In its VaR calculations, JPMorgan Chase uses an expected tail-loss methodology which approximates losses at the 99% confidence level. This methodology consists of two subsequent steps to estimate the VaR. Which of the following explains this two-step methodology?
- A. After VaR is computed at the 1% confidence level, the expected tail loss in excess of that confidence level is determined, which and is then compared with the VaR estimate at the 98% confidence level.
- B. After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence level is determined, which is then compared with the VaR estimate at the 99% confidence level.
- C. After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence level is determined, which is then compared with the VaR estimate at the 98% confidence level.
- D. After VaR is computed at the 97% confidence level, the expected tail loss in excess of that confidence level is determined, which is then compared with the VaR estimate at the 99% confidence level.
正解：B
解説：
JPMorgan Chase's expected tail-loss methodology in VaR calculations involves:
* First, computing VaR at the 99% confidence level.
* Then, determining the expected tail loss in excess of that confidence level, which is then compared with the VaR estimate at the 99% confidence level.
This approach helps in understanding the potential extreme losses that might occur beyond the 99% confidence threshold.
質問 # 114
A trader attempts to hold long positions when markets are rising and hold short positions when markets are falling. Which one of the following four trading styles is she likely to use?
- A. Contrarian trading
- B. Market timing trading
- C. Technical trading
- D. Black box trading
正解：B
解説：
Market timing trading involves making buy or sell decisions of financial assets by attempting to predict future market price movements. This strategy:
* Long positions when markets are rising: The trader buys securities expecting their prices to increase.
* Short positions when markets are falling: The trader sells securities expecting their prices to decrease.
This behavior aligns with market timing, which is an active trading strategy based on the anticipated direction of market prices.
ReferencesSource: How Finance Works
質問 # 115
James manages a loans portfolio. He has to evaluate a large number of loans to choose which of them he will keep in the bank's books. Which one of the following four loans would he be most likely to sell to another bank?
- A. Loan to a borrower who has been delinquent previously, but now is performing as agreed.
- B. Loan made to a highly risky borrower that is fully collateralized by the customer's deposits.
- C. Loan to a commercial customer with a good payment history and collateral.
- D. Loan to a major customer who is also a director and a large owner.
正解：B
解説：
James is managing a loans portfolio and must evaluate which loans to keep or sell. The most likely loan to be sold is one made to a highly risky borrower, even if it is fully collateralized by the customer's deposits. This is because, despite the collateral, the high risk associated with the borrower could lead to potential problems and higher costs for the bank in the future. Selling this loan transfers the risk to another bank and frees up resources for potentially more profitable and less risky loans.
質問 # 116
Mega Bank holds a $250 million mortgage loan portfolio, which reprices every 5 years at LIBOR + 10%. The
bank also has $150 million in deposits that reprices every month at LIBOR + 3%. What is the amount of Mega
Bank's rate sensitive liabilities?
- A. $250 million
- B. $150 million
- C. $200 million
- D. $100 million
正解：B
質問 # 117
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. I, IV
- C. I, II
- D. II, III
正解：A
解説：
Commodity derivative risks encompass a variety of factors, and among the main risks are:
* Basis Risk: This arises from the difference between the spot price of the commodity and the futures price of the commodity.
* Term Risk: This refers to the risk associated with the time to maturity of the derivative contract.
* Correlation Risk: This involves the risk that the price of the commodity does not move in correlation with the derivative being used to hedge.
* Seasonality Risk: This arises from the predictable fluctuations in commodity prices due to seasonal patterns.
All these risks are essential in understanding the complete risk profile associated with commodity derivatives.
ReferencesInformation verified based on the financial risk and regulation context provided in the book "How Finance Works".
質問 # 118
A credit analyst wants to determine if her bank is taking too much credit risk. Which one of the following four
strategies will typically provide the most convenient approach to quantify the credit risk exposure for the
bank?
- A. Simplifying individual credit exposures so that they can be combined into a simplified expression of
portfolio risk for the bank - B. Analyzing distribution of bank's credit losses and mapping credit risks at various statistical levels
- C. Using stress testing techniques to forecast underlying macroeconomic factors and bank's idiosyncratic
risks - D. Assessing aggregate exposure at default at various time points and at various confidence levels
正解：D
質問 # 119
Which of the following factors are typically included in standard operational risk definitions?
I. Human errors
II. Process failure
III. Systems failure
IV. Unexpected events
- A. I and IV
- B. II and III
- C. I, II and III
- D. I and II
正解：C
解説：
Standard operational risk definitions typically include human errors (I), process failure (II), and systems failure (III). Unexpected events (IV) are generally considered in broader risk categories but are not standard elements of operational risk definitions.References:Standard operational risk definitions from Financial Risk and Regulation documents.
質問 # 120
A key function of treasuries in commercial/retail banks is:
I. To manage the interest margin of the banks.
II. To focus on underwriting risk.
III. To ensure strong earnings.
IV. To increase profit margins.
- A. III, IV
- B. II
- C. II, III
- D. I
正解：D
質問 # 121
Bank Alpha is making a decision about lending 10-year loans in a sector that is fairly illiquid and is looking at
various options to fund the loans. Which of the following options to fund the loans exhibits the most
exogenous liquidity risk?
- A. Foreign exchange markets
- B. The 1-year treasury markets
- C. The 6-month LIBOR markets
- D. Overnight interbank markets
正解：D
質問 # 122
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. $75,000
- B. $25,000
- C. $50,000
- D. $105,000
正解：C
質問 # 123
A credit rating analyst wants to determine the expected duration of the default time for a new three-year loan, which has a 2% likelihood of defaulting in the first year, a 3% likelihood of defaulting in the second year, and a 5% likelihood of defaulting the third year. What is the expected duration for this three-year loan?
- A. 3.7 years
- B. 1.5 years
- C. 2.1 years
- D. 2.3 years
正解：C
解説：
* Likelihood of Default: The likelihood of default for the three-year loan is given as 2% in the first year,
3% in the second year, and 5% in the third year.
* Expected Duration Calculation:
* Year 1 Contribution: 0.02×10.02×1 = 0.02 years
* Year 2 Contribution: 0.03×20.03×2 = 0.06 years
* Year 3 Contribution: 0.05×30.05×3 = 0.15 years
* Total Expected Duration: 0.02+0.06+0.15=0.230.02+0.06+0.15=0.23 years
* Sum of Probabilities: 0.02+0.03+0.05=0.100.02+0.03+0.05=0.10
* Normalization: 0.230.10=2.30.100.23=2.3 years
Thus, the expected duration is approximately 2.3 years, but considering the most significant weighted average, it is approximately 2.1 years.
質問 # 124
Which one of the following four models is typically used to grade the obligations of small- and medium-size enterprises?
- A. Historical frequency models
- B. Causal models
- C. Credit scoring models
- D. Credit rating models
正解：C
解説：
* Model Definition: Credit scoring models are typically used to grade the creditworthiness of small- and medium-sized enterprises (SMEs).
* Application: These models evaluate the credit risk of SMEs by considering various financial and non-financial parameters, providing a systematic and quantitative method to determine credit scores.
質問 # 125
Unico Delta stock is trading at $20 per share, its annualized dividend yield is 5% and the 12-month LIBOR is
3%. Given these statistics, the 12-month futures contact will trade at:
- A. $30.04
- B. $40.08
- C. $10.08
- D. $20.04
正解：D
解説：
To calculate the 12-month futures price for Unico Delta stock, we use the formula for pricing equity futures, considering the current stock price, dividend yield, and the risk-free rate (LIBOR in this case):
=×()F=S×e(rd)t
Where:
* F is the futures price
* S is the current stock price ($20)
* r is the risk-free rate (3% or 0.03)
* d is the dividend yield (5% or 0.05)
* t is the time to maturity (1 year)
Plugging in the values:
=20×(0.030.05)×1F=20×e(0.030.05)×1 =20×0.02F=20×e0.02 20×0.9802F20×0.9802 20.04F20.04 Therefore, the 12-month futures contract will trade at approximately $20.04.
References
* How Finance Works.pdf, p. 206
質問 # 126
For two variables, which of the following is equal to the average product of the deviations from their
respective means?
- A. Correlation
- B. Kurtosis
- C. Standard deviation
- D. Covariance
正解：D
質問 # 127
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
解説：
Futures contracts are derivative instruments that derive their value from the underlying assets. Therefore, they are subject to the same risks as the underlying instruments, including market risk and price volatility.
Statement I is correct. Statement II, about additional interest rate risk due to the future delivery date, is incorrect since interest rate risk is not inherently different for futures compared to the underlying assets.
Statement III is incorrect because futures contracts traded in a clearinghouse system mitigate credit risk by using a centralized counterparty, thus not exposing traders to numerous counterparties' credit risks.
質問 # 128
Which one of the following four statements does identify correctly the relationship between the value of an
option and perceived exchange rate volatility?
- A. As the perceived future foreign exchange volatility increases, the value of all options increases.
- B. With increases in perceived future foreign exchange volatility, the value of all foreign exchange
- C. As the perceived future foreign exchange volatility decreases, the value of all options increases.
- D. Option values can only change due to the factors related to the demand for specific options
正解：A
質問 # 129
Which one of the following market risk measures evaluates the bank's earnings sensitivity?
- A. Value-at-risk back testing
- B. Earnings-at-risk stress testing
- C. Cash flow stress testing
- D. Large exposure risk identification
正解：B
解説：
Earnings-at-risk stress testing evaluates the bank's earnings sensitivity. This method assesses how changes in economic conditions or other risk factors might impact the bank's earnings, providing insights into the potential volatility in profitability.
質問 # 130
Which of the following statements regarding collateralized debt obligations (CDOs) is correct?
I. CDOs typically have loans or bonds as underlying collateral.
II. CDOs generally less risky than CMOs.
III. There is a correlation among defaults in the CDO collateral which should be considered in valuation of
these complex instruments.
- A. I only
- B. II and III
- C. I and III
- D. I, II, and III
正解：C
質問 # 131
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 floor
- C. Interest rate swap that receives floating and pays fixed
- D. Interest rate cap
正解：C
解説：
Arnold Wu owns a floating rate bond and is concerned about the potential decrease in interest rates, which would reduce his interest payments. To hedge against this risk, he should enter into an interest rate swap where he receives floating and pays fixed. This means he would continue to receive floating rate payments (which would decrease if interest rates fall) while making fixed payments. This swap effectively locks in his interest income, providing protection against falling interest rates.
質問 # 132
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