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

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トータル 345 問

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質問 1

Which one of the following four mathematical option pricing models is used most widely for pricing European
options?

（A）The Garman-Kohlhagen model

（B）The Black model

（C）The Heston model

（D）The Black-Scholes model

正解：D 解答を投票する

質問 2

Jack Richardson wants to compute the 1-month VaR of a portfolio with a market value of USD 10 million,
with an average monthly return of 1% and average monthly standard deviation of 1.5%. What is the portfolio
VaR at 99% confidence level?
Probability Cumulative Normal distribution
0.90 1.282
0.91 1.341
0.92 1.405
0.93 1.476
0.94 1.555
0.95 1.645
0.96 1.751
0.97 1.881
0.98 2.054
0.99 2.326

（A）164,500

（B）232,600

（C）348,900

（D）246,750

正解：C 解答を投票する

質問 3

To reduce the variability of net interest income, Gamma Bank can swap positions that make its duration gap
equal to

（A）1

（B）-1

（C）0.5

（D）0

正解：D 解答を投票する

質問 4

When considering the advantages of operational risk function owned by the Chief Compliance Officer in a
financial institution, an operational risk manager consultant suggests that this governance approach will have
all of the following advantages except:

（A）This governance structure maintains an independent operational risk function.

（B）The operational risk function is closely linked in a partnership with the compliance function to leverage
data and assessment activities.

（C）In accordance with Basel II Accord, the operational risk function should report directly into the audit
function and strengthen that function.

（D）The operational risk function quickly inherits an existing reporting structure, established meeting
schedules and functional reporting cycles from the compliance function.

正解：C 解答を投票する

質問 5

Which of the following statements about the option gamma is correct? Gamma is the
I. Second derivative of the option value with respect to the volatility.
II. Percentage change in option value per percentage change in the price of the underlying instrument.
III. Second derivative of the value function with respect to the price of the underlying instrument.
IV. Rate of change of the option delta with respect to changes in the underlying price.

（A）I only

（B）III and IV

（C）II and III

（D）II, III, and IV

正解：B 解答を投票する

質問 6

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）The total return receiver needs to incur the transaction costs of establishing an equity position.

（D）Similar to an equity forward position, the total return receiver does not get paid the dividend.

正解：A 解答を投票する

質問 7

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

質問 8

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）Technical trading

（C）Black box trading

（D）Market timing trading

正解：D 解答を投票する

質問 9

An options trader is assessing the aggregate risk of her currency options exposures. As an options buyer, she
can potentially ___ lose more than the premium originally paid. As an option seller, however, she has a ___
risk on the contract and always receives a premium.

（A）Never, limited

（B）Sometimes, unlimited

（C）Sometimes, limited

（D）Never, unlimited

正解：D 解答を投票する

質問 10

In the United States, during the second quarter of 2009, transactions in foreign exchange derivative contracts
comprised approximately what proportion of all types of derivative transactions between financial institutions?

（A）7%

（B）25%

（C）2%

（D）43%

正解：A 解答を投票する

質問 11

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

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

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

正解：D 解答を投票する

質問 12

To improve the culture and awareness of the operational risk, Gamma Bank's CRO decides to promote three
activities within her organization. Which one of the following four activities is NOT typically used to develop
an operational risk framework?

（A）Auditing

（B）Training

（C）Marketing

（D）Planning

正解：A 解答を投票する

質問 13

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）II, III

（B）I, II

（C）I, II, IV

（D）I, III

正解：B 解答を投票する

質問 14

Company A needs to provide a risk probability/frequency score for its RCSA program. If the event is likely to
happen once in 2 years, then the frequency score will be equal to:

（A）0.2

（B）1

（C）2

（D）0.5

正解：D 解答を投票する

質問 15

An endowment asset manager with a focus on long/short equity strategies is evaluating the risks of an equity
portfolio. Which of the following risk types does the asset manager need to consider when evaluating her
diversified equity portfolio?
I. Company-specific projected earnings and earnings risk
II. Aggregate earnings expectations
III. Market liquidity
IV. Individual asset volatility

（A）II, III

（B）I, IV

（C）I, II, IV

（D）I

正解：A 解答を投票する

質問 16

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）Commercial debts owed to a company in a form of receivables

（C）Equities and convertible bonds included in a main market index

（D）Unrated bonds issued and traded on a recognized exchange

正解：B 解答を投票する

質問 17

Which of the following would a bank resort to as a "lender of last resort" in the event of an extreme liquidity
crisis?

（A）Discount window

（B）LIBOR markets

（C）Futures Markets

（D）U.S treasury markets

正解：A 解答を投票する

質問 18

A corporate bond gives a yield of 6%. A same maturity government bond yields 2%. The probability of the
corporate bond defaulting is 2.5%. In case of default, investors expect to lose 60% of their investment. The
risk premium in the credit spread is:

（A）4.5%

（B）2.5%

（C）0.5%

（D）1.5%

正解：B 解答を投票する

質問 19

What is a difference between currency swaps and interest rate swaps?

（A）Currency swaps generate foreign exchange rate risk in addition to interest rate risk.

（B）Currency swaps do not require the exchange of notional principal on maturity.

（C）Currency swaps are OTC derivative contracts.

（D）Currency swaps allow banks and customers to obtain the risk/reward profile of long-term interest rates
without having to use long-term funding.

正解：A 解答を投票する

質問 20

Which of the following statements about the interest rates and option prices is correct?

（A）If rho is positive, rising interest rates decrease option prices.

（B）If rho is positive, rising interest rates increase option prices.

（C）As interest rates rise, all options will rise in value.

（D）As interest rates fall, all options will rise in value.

正解：B 解答を投票する

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トータル 345 問