FRM三级模拟题(三)

FRM三级模拟题（三）
1. Which of the following statements regarding asset backed commercial paper (ABCP) is
correct?
a. ABCP pools assets from only one issuer to back short term commercial paper.
b. ABCP has an active secondary market.
c. ABCP includes only a single conveyance of assets and once the liabilities are paid off, the
structure terminates.
d. ABCP has significant liquidity risk due to the variable structure of cash in Rows and the
fixed structure of cash outflows.
Answer: d
ABCP does not have an active secondary marker and has significant liquidity risk. ABCP pools assets for multiple issuers and continually purchases new assets and offers new issues.
2. Regarding term structure models, there are two lognormal models of importance: lognormal
with deterministic drift and lognormal with mean reversion. Which of the following
statements regarding the lognormal model with drift is correct?
a. The short-term rare follows a normal distribution.
b. The exponential of the short-term rate follows a normal distribution.
c. The natural log of the short-term rate follows a normal distribution.
d. The natural log of the short-term rate follows a bivariate normal distribution.
Answer: c
If the short-term rate follows a lognormal distribution, then the natural log of the short-term rate follows a normal distribution.
3. Samantha Moore manages a hedge fund for a mid-sized money management firm. The fund
frequently changes styles according to identified profit opportunities. At the beginning of the year, the fund took a long position in10-year subordinated 8% coupon debt issued by a firm expected to undergo reorganization under Chapter l l. Moore felt that analysts had been
paying too little attention to the issuer. Six months later, the fund completed a second
transaction involving a long position in Swiss Francs and a short position in Japanese Yen based on forecasted movements in interest rates in the two countries. What two hedge fund strategies are most likely being employed by Moore's hedge fund?
a. Distressed securities strategy and equity long/short strategy.
b. Fixed-income arbitrage and global macro strategy
c. Distressed securities strategy and global macro strategy
d. Fixed-income arbitrage and equity long/short strategy
Answer: c
In a distressed securities strategy, the manager takes a long position in the financial securities of a financially troubled company, holding the securities through the restructuring or
bankruptcy process to capture value that is unrecognized by the market. The manager may also utilize short positions, but this is not a necessary element of the strategy Global macro strategies rake long and short positions in financial instruments (such as currencies, interest rates, debt, equities, and commodities) based on expected changes in global capital markets.
4. The concentration ratio is the simplest measure of market concentration (or fragmentation).
Given the following information on the three highest share marker centers, what are the concentration ratios for stocks A and B?
Stock A Stock B
Market Venue I = 30% Market Venue I = 10%
Marker Venue 2 = 40% Market Venue 2 = 15% Marker Venue 3 = 10% Market Venue 3 = 5%
A level as in the basic indicator approach.
B
a. 0.80 0.30
b. 0.60 0.85
c. 0.90 0.95
d. 0.20 0.70
Answer: a
CR (Stock A) = 0.30 + 0.40 + 0.10 = 0.80
CR (Stock B) = 010 + 0.15 + 0.05 = 0.30
5. According to Basel II, the basic indicator and standardized approaches to operational risk
require banks to hold capital for operational risk equal to a fixed percentage of gross income. The difference between the two approaches is that under the standardized approach:
a. banks must calculate a capital requirement for each business line rather than at the firm
b. banks must calculate separate capital requirement for rated and unrated exposures rather than at the firm level as in the basic indicator approach.
c. the capital requirement is a higher percentage of income than in the basic indicator approach.
d. the capital requirement is a lower percentage of income than in the basic indicator approach.
Answer: a
Under the standardized approach, banks must calculate a capital requirement for each business line, rather than at the firm level as in the basic indicator approach.。