8006無料問題集「PRMIA Exam I: Finance Theory Financial Instruments Financial Markets

質問 1

If the spot price for a commodity is lower than the forward price, the market is said to be in:

（A）backwardation

（B）disequilibrium

（C）a short squeeze

（D）contango

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

If the exchange rate for USD/AUD is 0.6831 and the rate for SEK/USD is 8.1329, what is the SEK/AUD cross rate?

（A）0.0840

（B）7.4498

（C）5.5556

（D）11.9059

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 3

If r be the yield of a bond, which of the following relationships is true:

（A）Modified Duration x (1 + r) = Macaulay Duration

（B）- Modified Duration / (1 + r) = Macaulay Duration

（C）Modified Duration / (1 + r) = Macaulay Duration

（D）- Modified Duration x (1 + r) = Macaulay Duration

正解：A 解答を投票する

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質問 4

The annual borrowing rate for investors is 10% per annum. What is the par no-arbitrage futures price for delivery one year hence for a stock currently selling in the spot market at $100 ? Assume the stock pays no dividends.

（A）$105

（B）$110

（C）$90

（D）$100

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

A zero coupon bond matures in 5 years and is yielding 5%. What is its modified duration?

（A）5

（B）5.25

（C）4

（D）4.76

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 6

Which of the following statements are true?
I. The square-root-of-time rule for scaling volatility over time assumes returns on different days are independent II. If daily returns are positively correlated, realized volatility will be less than that calculated using the square-root-of time rule III. If daily returns are negatively correlated, realized volatility will be less than that calculated using the square-root-of-time rule IV. If stock prices are said to follow a random walk, it means daily returns are independent of each other and have an expected value of zero

（A）I, II and IV

（B）III and IV

（C）All the statements are correct

（D）I and III

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

Which of the following is NOT a historical event which serves as an example of a short squeeze that happened in the markets?

（A）The great Chicago fire, 1872

（B）The wheat squeeze, 1866

（C）The great silver squeeze, 1979-80

（D）The CDO squeeze, 2008

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 8

A bank holding a basket of credit sensitive securities transfers these to a special purpose vehicle (SPV), which sells notes based on these securities to third party investors. Which of the following terms best describes this arrangement?

（A）A collateralized debt obligation issuance

（B）A synthetic CDO creation

（C）A credit default swap purchase

（D）n-th to default swap

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

If interest rates and spot prices stay the same, an increase in the value of a call option will be accompanied by:

（A）an indeterminate change in the value of the corresponding put option

（B）a decrease in the value of the corresponding put option

（C）an increase in the value of the corresponding put option

（D）no impact in the value of the corresponding put option

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 10

Credit derivatives can be used for:
I. Reducing credit exposures
II. Reducing interest rate risks
III. Earn credit risk premiums
IV. Get market exposure without taking cash market positions

（A）I and IV

（B）I, II and III

（C）I, III and IV

（D）II, III and IV

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 11

What is the price of a treasury bill with $100 face maturing in 90 days and yielding 5%?

（A）$101.23

（B）$95.00

（C）$98.78

（D）$95.24

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

An investor in mortgage backed securities can hedge his/her prepayment risk using which of the following?
I. Long swaption
II. Short cap
III. Short callable bonds
IV. Long fixed/floating swap

（A）II and IV

（B）I and IV

（C）II and III

（D）I and III

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)

8006 無料問題集「PRMIA Exam I: Finance Theory Financial Instruments Financial Markets - 2015 Edition」

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