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2016-FRR 無料問題集「GARP Financial Risk and Regulation (FRR) Series」

ページ: 1 / 22
トータル 390 問

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質問 1

Which one of the following four regulatory drivers for operational risk management includes risk and control requirements for financial statements in the United States?

（A）Basel II Accord

（B）Solvency II

（C）The Markets in Financial Instruments Directive

（D）The Sarbanes-Oxley Act

正解：D 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 2

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）III

（B）I, II

（C）II

（D）I, III

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 3

Which of the following reports have been suggested by the FDIC that banks should produce in addition to the usual probabilistic analysis and stress tests in order to gauge liquidity issues?
I). Cash flow gaps
II). Funding availability
III). Critical assumptions used in credit projections

（A）I, II

（B）I, II, III

（C）I

（D）I, III

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 4

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 and II

（B）I, III, and IV

（C）I, II, and III

（D）I, II, III, and IV

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 5

An options trader for a large institutional investor takes a long equity option position. Which of the following risks need to be considered when taking this position?
I. All the risks of underlying equities
II. Perceived volatility changes
III. Future dividends yields
IV. Risk-free interest rates

（A）III, IV

（B）II, III

（C）I, II, III, IV

（D）I, II

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 6

Which of the following assets on the bank's balance sheet has greatest endogenous liquidity risk?

（A）A 10-year U.S treasury bond

（B）A 2-year U.S treasury bond

（C）A 1-week corporate loan with a AAA rated company

（D）A 3-year subprime mortgage

正解：D 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 7

For a bank a 1-year VaR of USD 10 million at 95% confidence level means that:

（A）There is a 5% chance that the bank would lose more than USD 10 million in a year.

（B）There is a 5% chance that the bank would lose less than USD 10 million in a year.

（C）There is a 5% chance that the least loss would be USD 10 million in a year.

（D）There is a 5% chance that the worst loss would be USD 10 million in a year.

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 8

Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?

（A）The future volatility of the exchange rates

（B）The underlying interest rates

（C）The underlying relevant exchange rates

（D）The time to maturity

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 9

Bank G has a 1-year VaR of USD 20 million at 99% confidence level while bank H has a 1-year VaR of USD
10 million at the same confidence level. Which bank is in a more risky position as measured by VaR?

（A）Bank G is taking twice the risk of bank H as measured by VaR.

（B）Bank H is taking twice the risk of bank G as measured by VaR.

（C）Both banks are equally risky since the measurements are with the same confidence level.

（D）Since the confidence levels are the same we cannot make any conclusions.

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 10

How could a bank's hedging activities with futures contracts expose it to liquidity risk?

（A）Prices may move such that a loss results on the hedge.

（B）Since futures require margins which are settled every day, the bank could find itself scrambling for funds.

（C）The bank could get exposed to liquidity risk since futures trade on an exchange.

（D）The futures hedge may not work due to the widening of basis which could result in a loss for the bank.

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 11

James Johnson bought a 3-year plain vanilla bond that has yield of 4.7% and 4% coupon paid annually, for
$87,139. Macauley's duration of the bond is 2.94 years. Rate volatility is 20% of the yield. The bond's annualized volatility is therefore:

（A）2.64%.

（B）2.81%.

（C）3.15%.

（D）2.90%.

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 12

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 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.

（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 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.

（D）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.

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 13

Which one of the following four statements presents a challenge of using external loss databases in the operational risk framework?

（A）If the external data is gathered from news sources, it may only reflect events that are interesting to the press.

（B）Use of benchmarked data reflects similar data collection standards.

（C）External events are usually not of interest to senior management.

（D）They provide a source of data on what operational loss events will occur.

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 14

Returns on two assets show very strong positive linear relationship. Their correlation should be closest to which of the following choices?

（A）60%

（B）15%

（C）100%

（D）45%

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 15

As Japan ___ its budget deficits and ___ its dependence on debt, the Japanese currency, JPY, would ___ in value against other currencies.

（A）Reduces, reduces, appreciate

（B）Reduces, increases, depreciate

（C）Reduces, reduces, depreciate

（D）Increases, reduces, appreciate

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 16

Unico Bank, concerned with managing the risk of its trading strategies, wants to implement the trading strategy that exposes the bank to the lowest market risk. Which one of the following four strategies should Unico take to limit its risk exposure?

（A）A passive hedging strategy that allows the traders to price transactions with customers and other banks, at the relevant bid price on the market.

（B）A matched book strategy that allows the trading desk to match all customer positions immediately with an equal and opposite position by trading internally or with another bank.

（C）A market-maker strategy that allows the traders to quote a buy and sell price to customers and other banks and to trade at the relevant price on the sell side of the market.

（D）A covering strategy that manages positions in the product by executing covering deals or hedging deal at the discretion of the trading des.

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 17

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）III, IV

（B）I, II

（C）II

（D）I

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 18

Which one of the following four statements about economic capital of a bank is correct?

（A）Economic capital reflects the possible losses that could occur based on the bank's own estimates of the risks it is taking.

（B）Economic capital is the present value of the earnings generated by the bank in the future.

（C）Economic capital is determined by rules imposed by an external authority.

（D）Economic capital measures how the economy is doing compared to the bank.

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

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トータル 390 問

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