FRM一级模拟题(六)
FRM一级模考
FRM一级模拟题1 . Which of the following statements regarding the lease rate in commodity futures contracts is incorrect?I The lease rate is the return required by the lender in exchange for lending a commodity.II Assuming it is positive, as the lease rate increases, the futures price for a commodity increases.III In a cash-and-carry arbitrage, the lease rate is earned whether or not the underlying commodity is actually loaned.IV Lease rates are similar to dividends paid lo the lender of a share of common stock.V If the lease rate is less than the risk-free rate, the forward market is said to be in contango.A . II and IIIB . III and VC . I, III, and VD . II and IVAnswer: AThe lease rate is the amount that a lender requires as compensation for Jending a commodity. In determining the price of a commodity futures contract, the lease rate, 81, is subtracted from the risk-free rate, r, as follows:Assuming a positive lease rate, the lease rate effectively reduces the futures price, all else constant.This also assumes that there is an active market for lending the commodity underlying the futures contract. The lease rate can only be earned by actually lending the underlying commodity.2 . .Consider the factors that affect the price of futures contracts on various commodities. Which of the following statements does not accurately describe the relationship between a commodity's futures price and its underlying factors?A. Gold futures have an implicit lease rate which, because it is not actually paid by commodity borrowers, creates incentive to' hold physical rather than synthetic gold as ideal strategy to gain gold exposure.B. Natural gas is produced relatively consistently but has seasonal demand, causing the futures price to rise steadily in the fall months, since natural gas is too expensive to store.C. The cost of storing corn, which has relatively constant demand, causes the futures price to rise until the next harvest at which point the price falls.D. Relatively constant worldwide demand for oil and its ability to be cheaply transported keep oil prices relatively stable in the absence of short-run supply and demand.Answer: AGold futures have an implicit lease rate, because it is not actually paid by commodity borrowers, which creates incentive to hold physical rather than synthetic gold as ideal strategy to gain gold exposure.Gold can be loaned out to financial intermediaries and other investors willing to pay the lease rate (the price for borrowing the gold) to the lender. Thus, holding physical gold requires the investor to forgo earning the lease rate while also incurring storage costs. Therefore, the ideal gold exposure strategy is generally to hold synthetic gold.3 . The S&P 500 index is trading at l,025. The S&P 500 pays an expected dividend yield of l .2% and the current risk-free rate is 2.75%. The value of a 3-month futures contract on the S&P 500 index is closest to:A. $1,028.98B. $1,108.59C. $984.86D. $1,025.00Answer: A4 . Which of the following statements describing the role of a convenience yield in pricing commodity futures is true? The convenience yield:I will cause contango in the futures pricing relationship.II Effectively reduces the cost of carry in the futures pricing relationship.III Eliminates the potential for arbitrage between the futures and spot price.IV Accounts for additional costs for storing an asset in the futures pricing Relationship.A. I onlyB. II onlyC. II, III, an d IV onlyD. I and II onlyAnswer: BThe convenience yield suggests there is a benefit, or convenience, to owning the spot asset. This generally means the spot price of the underlying asset will be above the futures price (normal backwardation). The convenience yield serves to reduce the cost of carry in the futures pricing relationship. .5 . Consider a 6-month futures contract on the S&P 500, and suppose the current value of the index is1330. Suppose the dividend yield is l.5% annually for the stocks underlying the index, and that the continuously compounded risk-free interest rate is 5.5% annually. What is the cost of carry for this futures contract?A. 4.0%B. -4.0%C. 2.0%D. -2.0%。
FRM一级模考
FRM一级模拟题1 . When an analyst makes an investment recommendation, which of the following statements must be disclosed to clients?A.The firm is a market maker in the stock of the recommended companyB .An employee of the firm holds a directorship with the recommendedcompanyC .The analyst's farther in law has a material ownership in the securityD .All of these statements must be disclosed to clientsAnswer: DStandard VI(A), disclose of conflicts2 .Will Lambert, FRM, is a financial risk analyst for Offshore Investment; he is preparing a purchase recommendation on Burch Corporation. According to the GARP Code of Conduct, which of the following statement about disclosure of conflicts is most correct? Lambert would have to disclose that:A. All of these choices require disclosureB. His wife own 2000 shares of Burch CorporationC. Offshore is a an OTC market maker for Burch Corporation 's stockD. He has a material beneficial ownership of Burch Corporation through a family trustAnswer: AGARP members should make full and fair disclosure of all matters that could reasonably be expected to impair independence and objectivity or interfere with respective duties to their employer, clients, and prospective clients.3 .the investment banking department of MLB&J often receives material nonpublic information that could have considerable value to MLB&J's brokerage clients. To comply with the GARP Code of Conduct, MLB&J should most appropriatelyA .ensure that material nonpublic information is not disseminated beyond the firm's investment banking, brokerage, and research departments.B. Contact the firms involved and request that they make this information available to the public before MLB&J allows its clients to trade in these securities.C. prohibit MLB&J analyst from making buy or sell recommendation on this information until ten business days after receipt of this informationD. restrict proprietary trading in the securities of companies about which the investment banking department has access to material nonpublic informationAnswer: DStandard l.3, members must take reasonable precautions to ensure that Member's service are not used for improper, fraudulent or illegal purposes.4 .Over the past two days, Lorraine Quigley, FRM , manager of a hedge fund, has been purchasingoptions on the same stock. Quigley did not notify her clients of the trades although they are aware of the fund's general strategy to generate returns. Which of the following statements is most likelycorrect? Quigley:A. violated the Code by manipulating the prices of publicly traded securities.B. violated the Code by failing to disclose the transactions to clients before they occurred. C．violated the Code by failing to establish a reasonable and adequate basisbefore making the trades.D .did not violate the Code.Answer: D 'Quigley's trades are most likely an attempt to take advantage of an arbitrage opportunity that exists between Craeger's common stock and its put options. She is not manipulating the prices of securities in an attempt to mislead market participants. She is pursuing a legitimate investment strategy. Participants in her hedge fund are aware of the fund's investment strategy, and thus Quigley did not violate the Code by not disclosing this specific set of trades in advance.of trading. '。
frm一级题库 2023
frm一级题库2023
一、单项选择题
1.在2023年FRM考试中，一级考试的合格分数线是多少？
2. A. 400
3. B. 500
4. C. 600
5. D. 700
6.FRM一级考试中，风险管理基础占比多少？
7. A. 15%
8. B. 25%
9. C. 35%
10. D. 45%
11.FRM一级考试中，数量分析占比多少？
12. A. 10%
13. B. 15%
14. C. 20%
15. D. 25%
16.FRM一级考试中，金融市场与产品占比多少？
17. A. 20%
18. B. 25%
19. C. 30%
20. D. 35%
21.FRM一级考试中，估值与风险建模占比多少？
22. A. 15%
23. B. 20%
24. C. 25%
25. D. 30%
二、多项选择题
1.下列哪些科目是FRM一级考试的重要内容？
2. A. 风险管理基础
3. B. 数量分析
4. C. 公司金融
5. D. 金融市场与产品
6. E. 估值与风险建模
7.在FRM一级考试中，下列哪些知识点是考生需要掌握的？
8. A. 市场风险的管理方法
9. B. 信用风险的计算方式
10. C. 操作风险的识别与评估
11. D. 企业价值的评估方法
12. E. 对冲策略的有效性分析
三、简答题
1.请简述FRM一级考试的主要目的。
2.在FRM一级考试中，考生应具备哪些基本能力？。
FRM一级模考
FRM一级模拟题1 . Which of the following statements about the Sortino ratio are valid?I TheSortino ratio is more appropriate for asymmetrical return distributions.II The Sortino ratio compares the portfolio return to the return of a benchmark portfolio. III TheSortino ratio allows one to evaluate portfolios obtained through an optimization algoritlim that uses variance as a risk metric.IV TheSortino ratio is defined on the same principles as the Sharpe ratio, but theSortino ratio replaces the risk free rate with the minimum acceptable return and the standard deviation of returns with the standard deviation of returns below the minimum acceptable return.A. II and IIIB. I, III and IVC. I andIIID. I and IVAnswer: DA. Incorrect. II - The information ratio, not the Sortino ratio, compares the portfolio return to thereturn of a benchmark portfolio. III - The Sortino ratio allows one to evaluate portfolios obtainedthrough an optimization algorithm that uses semi-variance, not variance, as a risk metric.B. Incorrect. III - The Sortino ratio allows one to evaluate portfolios obtained through anoptimization algorithm that uses semi-variance, not variance, as a risk metric.C. Incorrect. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.D. Correct. I - Since the Sortino ratio uses the notion of semi-variance, it is more appropriate for asymmetric return distributions than any metric that uses standard deviation (such as the Sharpe ratio). IV - The Sortino ratio is similar to the Sharpe ratio, except the risk free rate is replaced with the minimum acceptable return in the numerator and the standard deviation of the returns is replaced with the standard deviation of the returns below the minimum acceptable return in the denominator. II - The information ratio, not the Sortino ratio, compares the portfolio return to the return of a benchmark portfolio. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.2. An analyst has compiled thefollowing information on a portfolio:. Sortino Ratio: 0.82. Beta: 1.15. Expected return: 12.2%Standard deviation: ll.g%Risk-free rate : 4.75%What is the semi-standard deviation of the portfolio return?A . 0.4%B . 8.2%C. 14.9%D. 9.08%Answer:DAs a result, the correct answer is D.3 .An analyst gathers the following data about the mean monthly returns of four securities.: Which security has the lowest and highest level of relative risk as measured by the Coefficient of variation?Answer: DThe coefficient of variation, CV = standard deviation/arithmetic mean, is a common measure of relative dispersion (risk) CVW = 0.4/0.5 = 0.80, CVX = 0.7/0.9 = 0.78; CVY = 4.7/1.2 = 3.92 and CVZ = 5.2/1.5=3.47 Because a lower relative risk, Security X has the lowest relative risk and Security Y has the highest relative risk.4. You have been asked to evaluate the performance of two hedge funds: Global Asset Management I and International Momentum II. Both are benchmarked to MSCI EAFE. The volatility of EAFE is 17.5% and the annualized performance is 10.6%. The risk-free rate is 3.5%.Which of the two funds had a higher relative risk-adjusted performance (RAP)last year, and what is the RAP?A. International Momentum 11, 9.97%B. International Momentum II, l .18%C. Global Asset Management l, 9.93%D. Global Asset Management l, 6.16%5 .Suppose the daily returns of a portfolio and a benchmark portfolio it is replicatingare as follows:。
FRM一级模考
FRM一级模拟题1 .Dana Eggenton is an underwriter for Federal Insurance Group, a large propertyand casualty insurance company. Eggenton is currently in the process ofunderwriting an insurance policy to a global beverage company, JT Cola,which would protect JT Cola against potential charges of officers of the firmmanipulating the world cola market. After going through the underwritingprocess, Eggenton issues a policy with a $10,000,000 face value and a$1,000,000 deductible. The most likely concern for Eggenton in setting theterms of the policy was the:a. the correlation between sales cycles for Federal Insurance Group and JTCola.b. parametric nature of operational risk resulting from business processdimensions.c. the low-frequency, high-severity nature of market manipulation charges.d. the potential for moral hazard.解析：dMoral hazard refers to the fact that an insured parry may engage in risky behavior (or at least behave in a less risk averse manner) knowing that an insurance policy will insulatethem against the consequences of such behavior. The way that Eggencon can mitigatethe moral hazard problem is to include a deductible or co-insurance feature which wouldforce JT Cola to pay a portion of the cost should a claim be made against the policy. Ifa deductible feature were not included in the policy, JT Cola management would havebeen free to act in any manner they would choose, including manipulating the globalcola market, and Federal Insurance Group would have assumed all of the risk.2. Big City Bank has contractually agreed to a $20,000,000 credit facility withUpstart Corp. Upstart will immediately access 40% of the total commitment.Big City Bank estimates a 1-year probability of default between 1% and 2%and assigns a 20% recovery rate. Big City has no experience with Upstart andconservatively estimates draw down upon default to be between 50-75%. Whatis the difference between the minimum and maximum expected loss for Big CityBank?a. Less than $100,000.b. Between $100,000 and $200,000.c. Between $200,000 and $300,000.d. Greater than $300,000.解析：bWe can calculate the expected loss as follows.EL = AE×EDF×LCDMaximum lossAdjusted exposure = OS + (COMu- OS) x UGD= ＄8,000,000+(＄12,000,000)×(0.75)= ＄17,000,000Minimum lossAdjusredcxposure = OS + (COM U - OS) x UGD=$8,000,000 + ($12,000,000) x (0.5)=$14,000,000EL= ($14,000,000) x (0.01) x (0.80) = $112,000Therefore the difference between maximum and minimum loss is $272,000-$112,000=$160,000.3. An existing option short position is delta-neutral, but has a -5,000 gammaexposure. An option is available that has a gamma of 2 and a delta of 0.7. Whatactions should be taken to create a gamma-neutral position that will remaindelta-neutral?a. Go long 2,500 options and sell 1,750 shares of the underlying stock.b. Go short 2,500 options and buy 1,750 shares of the underlying stock.c. Go long 10,000 options and sell 1,750 shares of the underlying stock.d. Go long 10,000 options and buy 1,7/50 shares of the underlying stock.解析：aSince the current position is short gamma, the action that must be taken is to go longthe option in the ratio of the current gamma exposure to the gamma of the instrumentto be used to create the gamma neutral position (5,000 / 2 = 2,500). However, this willchange the delta of the portfolio from zero to (2,500 x 0.7) = 1,750. This means that1,750 of the underlying stock position will need to be sold to maintain both gamma anddelta neutrality.4. Suppose that you buy a call option with an exercise price of $25 for $3 and sella call option with an exercise price of $35 for $1. If the stock price is $34 atexpiration, your net profit/loss per share is closest to:a. $5.b. $6.c. $7.d. $9.解析：cYou have purchased a bull spread. You will exercise the call that you purchased for a net profit of (34 - 25)-3=$6 per share. The call that you sold will not be exercised, soyour net profit is the cost of $1 per share. Your total net profit is 6 + 1 - $7 per share.5. To create a delta-neutral portfolio, an investor who has written 15,000 calloptions that have a delta equal to 0.65 will have to be:a. long 9.750 shares in the underlying.b. short 9,750 shares in the underlying.d. short 4,875 shares in the underlying and short 4,875 more options.解析：aIf the investor has written 15,000 call options, he must go long delta times the shortoption position to create a delta-neutral position, or buy $15,000 x 0.65 = 9,750 shares,。
FRM一级模考
FRM一级模拟题1 . You are asked by your boss to estimate the exposure of a hedge fund to the S&P 500. Though the find claims to mark to market weekly, it does not do so and marks to market once a month. The fund also does not tell investors that it simply holds anExchange Traded Fund (ETF) that is indexed to the S&P 500. Because of the claimsof the hedge fund, you decide to estimate the market exposure by regressing weeklyreturns of the fund on the weekly return of the S&P 500. Which of the followingcorrectly describes a property of your regression estimates? 'A. The intercept of your regression will be positive, showing that the fund has positive alpha when estimated using an OLS regression.B. The beta will be misestimated because hedge fund exposures are nonlinear.C. The beta of your regression will be one because the fund holds the S&P 500.D. The beta of your regression will be zero because the fund returns are not synchronous with the S&P 500 returns.Answer: DThe weekly returns are not synchronized with those of the S & P. As a result, the estimate of beta from weekly data will be too low. According to mark to market monthly, the fund find that it is not synthesized with S&P 500, so the correlation coefficient of S&P 500 and ETF is not the same to one.2 . Consider two stocks, A and B. Assume their annual returns are jointly normally distributed, the marginal. distribution of each stock has mean 2% and standard deviation l0%, and the correlation is 0.9. What is the expected annual return of stock A if the annual return of stock B is 3%?A.2%B. 2.9%C. 4.7%D. 1.1%Answer: B3 . Consider the following estimated linear regression model:4 .A. -0.90B. +0.90C. +0.81D. -0.50Answer: CR-squared is the square of the correlation coefficient and measures the fraction of the variance of Y that is attributable to X. R2 = (_0.90)2 = 0.815 . lf the correlation coefficient of a linear regression is 0.6, the percentage of variation of the dependent variable that is not explained by the independent variable is CLOSEST to:A.36%B.40%C. 60%D. 64%Answer: D。
FRM一级模考
FRM一级模拟题1 . Which of the following statements regarding a Puttable bond is true?A. A Puttable bond has more market risk than a similar non-Puttable bondB. A Puttable bond has more credit risk than a simijar non-Puttable bondC. Both A and BD. Neither A nor BAnswer: BThe holder of a Puttable bond has the right to sell the bond to the issuer at its face value. This has the effect of reducing the market risk and increasing the credit risk of the bond, and the result is a bond with a higher value and lower yield than a similar non-Puttable bond2 . With any other factors remaining unchanged, which of the following statements regarding bonds is not valid?A. The price of a callable bond increases when interest rates increaseB. Issuance of a callable bond is equivalent to a short position in a straight bond plus a long call option on the bond price .C. . The put feature in a Puttable bond lowers its yield corripared with the yield of an equivalent straight bondD. The price of an inverse floater decreases as interest rates increaseAnswer: AA is incorrect. The price of a callable bond will increase when the interest rate decreases, as the cost of issuing new debt is lower than the current coupon. Thus, the issuer will call back the bond.B is correct. The issuance of callable bond is equivalent to a short position in a straight bond plus a long call option on the bond price.C is correct. The put feature will make the bond more attractive to investors, increasing its priceand lowering its yield.D is correct. As the interest rate increases, the coupon of inverse floater decreases. In addition, the discount factor increases. Hence, the value of the inverse floater note must decrease even more than a regular fixed-coupon bond.3 . The issuer of a Puttable bond has a:A. Long position in a non-callable bond and a put optionB. Short position in a non-callable bond and a put optionC. Short position in a non-callable bond and a long position in a put optionD. Long position in a non-callable bond and a short position in a put optionAnswer: BThe callable bond has an embedded call option that allows the investor to sell the bond back to the issuer at a pre-determined price. Therefore the issuer is short the bond and a put option on the bondA. Long position in a non-callable bond and a short position in a put optionB. Short position in a non-callable bond and a long position in a call optionC. Long position in a non-callable bond and a long position in a call optionD. Long position in a non-callable and a short position in a call optionAnswer: DA callable bond includes an embedded option for the issuer to call the bond at a stated redemption or call price. If the issuer is long the' call option, then the holder of a callable bond is short the call option.5 . A 15-year5.45 percent semi-annual coupon bond is selling at a price of $102. If the bond is callable in seven years at $100.5, its yield to call is closest to:A. 5.11%B. 5.17%C. 5.28%D. 5.36%Answer: B。
FRM一级模考
FRM一级模拟题1 . The l-year US dollar interest rate is 3% and the l-year Canadian dollar interest rate is 4.5%. The current USD/CAD spot exchange rate is l.5000. Calculate the l-year forward rate.A. 1.5225B. 1.5218C. 1.5207D. 1.51992 . A risk manager determines that the semiannual spot rates for l, 2,3 and4 years are 5%; 6%, 6.5%, and 6.75% respectively. Based on this information, the l-year forward rate two years from now is closet to:A. 6.25%B. 6150%C. 6.97%D. 7.4g%Answer: D3 . A1-year 7.25% coupon bond is trading at a price of 98, a 2-year 6.1% coupon bond is trading at 99, and a 3-year 7.55% coupon bond is trading at 101 .'All coupons and rates are given using the annual Actual/Actual convention. Using this information the l-year forward rate 2 years from now is closest to:A. 6.57%B. 7.14%C. 8.24%D. 8.2g%Answer: D4 . The price of a three-year zero coupon government bond is 85.16. The price of a similar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4? Answer: D5 . A buffalo farmer is concerned that the price he can get for his buffalo herd will be less than he has forecasted. To protect himself from price declines in the herd, the farmer has decided to hedge with live cattle futures. Specifically, he has entered into the appropriate number of cattle future positions for September delivery that he believes will help offset any buffalo price declines during the winter slaughter season. The appropriate position and the likely sources of basis risk in the hedge are, respectively:A. Short; choice of futures delivery date.B. Short; choice of futures asset.C. Short; choice of futures delivery date and asset.D. Long; choice of futures delivery date and asset.Answer: CThe farmer needs to be short the futures contracts. The two sources of basis risk confronting the farmer wⅢresult from the fact that he is using a cattle contract to offset the price movement of his buffalo herd, Cattle prices and buffalo prices may not be perfectly positively correlated. As a result, the correlation between buffalo 'and cattle prices will have an impact on the basis of the cattle futures contract and spot buffalo meat. The delivery date is a problem in this situation, because the farmer's hedge horizon is winter, which probably will not commence until December or January. In order to maintain a hedge during this period, the farmer will have to enter into another futures contract, which will introduce an additional source of basis risk.。
FRM一级模考
FRM一级模拟题1 .Value at risk (V AR) can be viewed as a measure of risk capital, which is the economic capital required to support a financial activity. Economic capital is the amount of capital that should be set aside as a cushion against:a. catastrophic losses.b. expected losses.c. unexpected losses.d. expected and unexpected losses.2. A $1,000 par corporate bond carries a coupon rate of 6%, pays coupons semiannually, and has ten coupon payments remaining to maturity. Market rates are currently 5%. There are 90 days between settlement and the next coupon payment. The dirty and clean prices of the bond, respectively, are closest to:a. $1,043.76, $1,026.73.b. $1,056.73, $1,041.73.c. $1,069.70, $1,056.73.d. $1,043.76, $1,071.73.3. Which of the following statements regarding option "Greeks" is(are) correct?I. Vega measures the sensitivity of option prices to changes in volatility.II. Forward instruments cannot be used to create gamma-neutral positions.III. Rho is a much more important risk factor for equities than for fixed-income derivatives.IV. Theta represents the expected change in delta For a change in the value of the underlying.a. I and III only.b. I and II only.c. IV only.d. I, II, and IV.4. The S&P 500 index is trading at 1,015. The S&P 500 pays an expected continuously compounded dividend yield of 2%, and the continuously compounded risk-free rate is 4.1%. The value of a 3-month futures contract on the S&P 500 is closest to:a. 979.86.b. 997.68.c. 1,020.34.d. 1,350.59.5. Which of the following possible portfolios cannot lie on the efficient frontier:a. Portfolio 1 only.b. Portfolio 3 only.c. Portfolios 1 and 4.d. Portfolios 2 and 3.。
FRM一级模考
FRM一级模拟题1 . According to put-call parity, buying a put option on a stock is equivalent toA. Buying a call option and buying the stock with funds borrowed at the risk-free rate.B. Selling a call option and buying the stock with funds borrowed at the risk-free rate.C. Buying a call option, selling the stock, and investing the proceeds at the risk-free rate.D. Selling a call option, selling the stock, and investing the proceeds at the risk-free rate. Answer: CC. Buying a put creates a gain if the stock price falls, which is similar to selling the stock on the downside. On the upside, the Joss is capped by buying a call.The Greek Letters（考纲中属于估值部分，为保证知识连贯性移至此处）2 . Which of the following statements regarding option "Greeks" is (are) correct?I Vega is highest when options are at-the-money.II Forward instruments cannot be used to create gamma-neutral positions.III Rho is higher for at-the-money versus in-the-money options.IV Theta represents the expected change in delta for a change in the value of theunderlying instrument.A.I and III onlyB. I and II onlyC. IV onlyD.I．II, and IVAnswer: BGamma (not theta) represents the expected change in delta for a change in the value of theunderlying. In-the-money options are more sensitive to changes in rates (rho is higher) thanout-of-the-money options.3 . According to the Black-Scholes modem for evaluating European options on non-dividend paying stock, which option sensitivity (Greek) would be identical for both a call and a put option; given that the implied volatility, time to maturity, strike price, and risk free interest rate were the same?I GammaII VegaIII ThetaIV Rho .A. II onlyB. I and IIC. All the aboveD. III and IVAnswer: BGamma and Vega are identical for calls and puts with the same strike price and time to expiration4 .Which type of option experiences accelerating time decay as expiration approaches in an unchanged market?A. In-the-moneyB. Out-of-the-moneyC. At-the-moneyD. None of the aboveAnswer: CThe theta of the option (time value) decays at a higher rate as expiration approaches forat-the-money options.5 . .Which of the following statements about option time value is true? 'A. Deeply out-of-the-money options have more time value than at-the- money options with the same remaining time to expiration.B. Deeply in-the-money options have more time value than at-the-money options with the same amount of time to expiration.C. At-the-money options have higher time value than either out-of-the money or in-the-money options with the same remaining time to expiration. .D. At-the-money options have no time value.Answer: CThe time value of at-the-money options is greater than that of either in-the-money or out-of-the-money options.。
FRM一级模考
FRM一级模拟题1 . Which one of the following long positions is more exposed to an increase in interest rates?A. A treasury billB. 10-year fixed coupon bondC. 10-yearfloaterD. 1 0-year reverse floaterAnswer: D ,The l0-year reverse floater has the highest effective duration and hence the most exposure to an increase in interest rates. Both the l0-year floater and the T-bill have short durations (bills have maturities of 52-weeks or less, while floaters, and have average durations equal to the time to reset). The l0-year fixed coupon bond falls in between the bill and the reverse floater2 . What can cause the total duration of a bond index to decrease even as the durations of each subsector (short, mid, and long) increase?A. There is a coupon payment on the largest bond in the indexB. Some bonds in the index rollover from long to mid, and some from mid to shortC. The whole yield curve shifts down by a substantial amountD. This cannot happenAnswer: BAs a bond rolls from one sub-sector to. another, it can increase the duration of each subsector, while lowering the duration for the portfolio as a whole. For example, if the portfolio has asub-sector of bonds with maturities of 2-10 years, and a bond rolls from die longer maturitysub-sector to the mid-maturity one, it is removing a bond from the longer maturity sub-sector that has z lower duration as compared to others in that sub-sector, and adding it to the mid-maturity sub-sector with a duration value that is greater than the other bonds in the mid-maturity sub-sector. The aging of the bond lowers the duration for the portfolio as a whole.3 . Which of the following fixed-income securities most likely has negative effective duration?A. A range accrual noteB. A floating rate noteC. An interest-only tranche of a CMOD. A principal-only tranche of a CMOAnswer: CAn I-O tranche has negative duration because a decline in interest rates causes the I-O price to fall. As rates fall and mortgages begin to prepay, the flows of an I-O tranche vanish. (Whenever some of the principal is paid-off there is less available from which to collect interest.) When rates are very high and prepayments are low, the I-O is like a security with a fixed set of cash flows. Jt has greater notional amount based on which interest will be calculated. The price of an interest-only tranche wⅢmost likely increase as interest rate increases, leading to a negative effective duration.to maturity of 8%. Assume par value of the bond to be $1,000:A. 2.00 yearsB. 1.94 yearsC. 1.87 yearsD. 1.76 years5 . The option-adjusted duration of a callable bond will be close to the duration of a similar non-callable bond when the:A. Bond trades above the call priceB. Bond has a high volatilityC. Bond trades much lower than the call priceD. ' Bond trades above parity。
FRM一级模考
FRM一级模拟题1 .The 6-month forward rate on an investment that matures in l.5 years is closest to:A. 2.50%B. 2.75%C. 3.00%D. 3.25%Answer: CThe forward rate can be calculated as [(98.2240/96.7713)-1] x 2 = 3%2 . The price of a $1,000 par value Treasury bond (T-bond) with a 3% coupon that matures in l.5 years is closest to:Answer: BThe price is calculated as $15 (0.992556) + $15 (0.982240) + $1,015 (0.967713) = $1,011.853 . In which of the following securities does the coupon income rise when theinterest rates fall?A. Inverse floaterB. Coupon floaterC. Dual-index floaterD. Deleveraged floaterAnswer: ACoupon rate of an inverse floater = L - K x LIBOR (L and K are constant. LIBOR is reference rate), if LIBOR falls, coupon rate of an inverse floater rises.4 . Which of the following statements about standard fixed rate government bonds with no optionality is TRUE? .Answer: Dgreater the yield to maturity, all else equal, the lower the bond's duration. As yield decrease, the duration of bond increase at an increasing rate. So the convexity increases as the yields decrease. Holding yield constant, the lower the coupon, the higher the duration and the greater the convexity. so. I, II and III are all right, choice D.5 . 1n managing a portfolio of domestic corporate bonds, which of the following risks is least important?A. Interest rate risksB. Concentration risksC. Spread risksD. Foreign exchange risksAnswer: DForeign exchange risk is not relevant when managing a portfolio of domestic bonds。
FRM一级模考
FRM一级模拟题1. A hedger calculates the covariance between the spot and the futures prices to be0.05, the spot standard deviation to be 0.3, and the futures standard deviationto be 0.2. What is the optimal hedge ratio for this position?a. 0.075.b. 0.033.c. 0.250.d. 1.250.解析：d2. For an option-free bond, what are the effects of the convexity adjustment on themagnitude (absolute value) of the approximate bond price change in response toan increase in yield and in response to a decrease in yield, respectively?Decrease in yieldIncrease in yielda. Increase in magnitude Decrease in magnitudeb. Increase in magnitude Increase in magnitudec. Decrease in magnitude Decrease in magnituded. Decrease in magnitude Increase in magnitude解析：aOption-free bonds have positive convexity and the effect of (positive) convexity isto increase the magnitude of the price increase when yields fall and to decrease themagnitude of the price decrease when yields rise.3. Which of the following statements about the univariate, multivariate, andstandard normal distributions is least likely correct?a. A univariate distribution describes a single random variable.b. A multivariate distribution specifies the probabilities for a group of relatedrandom variables.c. The standard normal random variable, denoted Z, has mean equal to 1 andvariance equal to 1.d.The need to specify correlations is a distinguishing feature of themultivariate normal distribution in contrast to the univariate normaldistribution.解析：cThe standard normal random variable, denoted Z, has mean equal to 0 and varianceequal to 1.I. A Type I error is rejecting the null hypothesis when it is true.II. Reject the null hypothesis if p-value < significance level.III. The critical z-value for a one-tailed test of significance at the 0.05 level willbe either +1.96 or-1.96.IV. The test statistic for hypotheses concerning equality of variances iscomputed asa. I and II.b. I and III.c. II and III.d. III and IV.解析：dThe critical z-value for a one-tailed test of significance at the 0.05 level will be either + 1.65or-1.65. The test statistic for hypotheses concerning equality of variances is Theother two statements are true.5. Which of the following statements incorrectly describe(s) the Taylor Seriesapproximation?I. The first and second derivatives of a function for the relationship betweena financial derivative and its underlying asset estimate the delta and rate ofchange of delta, respectively.II. The Taylor Series provides good approximation estimates of price changesin callable bonds or mortgage-backed securities.III. The Taylor Series provides a good approximation for changes in awell-behaved quadratic function.a. I and II.b. II only.c. III only.d. II and III.解析：bThe Taylor Series does not provided good approximations of price changes when theunderlying asset is a callable bond or mortgage-backed security. The Taylor Seriesapproximation only works well for "well-behaved" quadratic functions that can beapproximated by a polynomial of order two.。
frm一级 刷题
frm一级刷题1. 关于风险评估，以下哪项描述是正确的？A. 风险评估是识别、分析和衡量风险的过程。
B. 风险评估仅涉及对历史数据的分析和预测。
C. 风险评估仅考虑财务风险。
D. 风险评估是风险管理的一部分。
2. 下列哪个不是风险管理的基本要素？A. 风险识别B. 风险评估C. 风险监控D. 风险预测3. 关于操作风险，以下哪项描述是正确的？A. 操作风险是由外部因素引起的。
B. 操作风险是可以完全避免的风险。
C. 操作风险通常是由内部程序、人员和系统等因素引起的。
D. 操作风险是指因市场价格波动引起的金融风险。
4. 在实施风险管理策略时，以下哪项是首要步骤？A. 风险评估B. 风险识别C. 风险控制措施制定D. 风险监控和调整5. 下列哪项不是风险管理的基本原则？A. 全面风险管理原则B. 分散化原则C. 经济性原则D. 单一风险管理原则6. 关于内部风险报告，以下哪项描述是正确的？A. 内部风险报告必须使用专业术语。
B. 内部风险报告应该仅包括对过去事件的描述。
C. 内部风险报告应该提供关于未来风险的预测。
D. 内部风险报告应该提供清晰、简洁和易于理解的信息。
7. 关于外部风险管理报告，以下哪项描述是正确的？A. 外部风险管理报告必须包含对未来风险的预测。
B. 外部风险管理报告不需要经过第三方审计。
C. 外部风险管理报告应该提供详细的风险管理策略和措施。
D. 外部风险管理报告不需要包含风险管理流程的描述。
8. 下列哪项不是金融风险的类型？A. 市场风险B. 技术风险C. 社会风险D. 经济风险9. 关于VaR，以下哪项描述是正确的？A. VaR是一种用于测量和监控市场风险的工具。
B. VaR是一种用于测量信用风险的工具。
C. VaR是一种用于测量操作风险的工具。
D. VaR是一种用于测量流动性风险的工具。
FRM一级模考
FRM一级模拟题1 . Considering options generally (i.e., not only plain vanilla calls and puts), which of the following statements about vega is correct?A. A deep in-the-money up and out call option has a negative vega.B. An option holder can never be vega negative.C. A deep out-of-money digital option has a negative vega.D. A deep out-of-money up and out call option has a negative vega.Answer: AFor plain vanilla option, Vega is positive. But for exotic option, Vega is not always positive.2 . A fund manager currently has a delta-neutral portfolio with a gamma of -11,000. He is interested in reducing the portfolio gamma to provide protection against large movements in prices. A particular traded call option has a delta of 0.87 and gamma of 3.5. To make the portfolio gamma neutral, how many call options must be bought or sold?A. Buy 3,143 call optionsB. Sell 3,143 call optionsC. Buy 2,734 call optionsD. Sell 2,734 call optionsAnswer: ANO. OF CALL=-11000/3.5=-31433 . Which of the following statements about swaps and swaptions is most likely correct?A. Equity swap payments may be floating on both sides.B. Unlike options, premiums for swaptions are not dependent on the strike rate specified in the swaption.C. The most common reason for entering into commodity swap agreements is to speculate on commodities prices.D. For the fixed-rate payer in an S&P 500 Index swap, a negative index return does not require a payment from the fixed-rate payer.Answer: AUnique among swaps, equity swap payments may be floating on both sides (and the payments not known until the end of the settlement period). Similar to options, premiums for swaptions are dependent on the strike rate specified in the swaption. The most common reason for entering into commodity swap agreements is to control the costs of purchasing resources, such as oil and electricity. A negative index return requires the fixed-rate payer to pay the percentage decline in the index.4. The price of an option that gives you the right to receive fixed on a swap will decrease asA . Time to expiry of the option increasesB . Time to expiry of the swap increasesC . The swap rate increasesD . V olatility increasesAnswer: CThe value of a call increases with the maturity of the call and the volatility of the underlying asset value (which here also increases with the maturity of the swap contract). So A and D are wrong. In contrast, the value of the right to receive an asset at K decreases as K increases.5 . An investor bought a short-term at-the-money swaption straddle from a derivative dealer two days ago. Which of the following risk factors could lead to a loss to the investor?I Interest rate delta risk.II Gamma risk. .III Vega risk.IV Theta (time decay) risk.V Counterparty credit risk.A. I and II onlyB. I, II and III onlyC. I, III, IV, and VD. I , II , III．IV, and VAnswer: CA short-term, at-the-money swaption straddle has positive gamma and, therefore, no. gamma risk. The position is exposed to interest rate delta risk, the passage of time (theta risk), and could be adversely affected by a decrease in volatility (vega risk), There is also credit risk because the counterparty may default on the contracts if they have positive value.。
FRM一级模考
专注国际财经教育FRM一级模拟题1 . A large S & L has a mortgage portfolio funded by short term deposits. Howcan it best hedge its exposure?A. Buy FRAsB. Buy payer swaptionsC. Enter into payer swapsD. None of the aboveAnswer: BThe mortgages give this S & L a long position on interest makes and a short position on volatility. These positions can be best hedged by buying payer swaptions, which have exactly opposite positions.2 . What assumptions does a duration-based hedging scheme make about the way in which interest rates move?A. A1l interest rates change by the same amount.B. A small parallel shift in the yield curve.C. Any parallel shift in the term structure.D. Interest rates movements are highly correlatedAnswer: BDuration provides an accurate description of price movements only over small changes in yield In addition,' in order to hedge instruments of different durations, the implicit assumption is that yield changes are the same over the different durations being hedged (i.e., a parallel yield curve shift).3 . When a fixed income trader hedges his portfolio of securities and contracts using aduration-based hedging scheme, he assumes that:I interest rates will move as predictedII interest rates volatility will not change.III the yield curve will move in parallel shifts.IV interest rates w… move in large discrete steps.A. I and IVB. II and IIIC. I, III and IVD. II, III and IVAnswer: BThe assumption is that of (l) parallel and (2) small moves in the yield curve. Answers A) and C) are the same, and omit the size of the move. Answer D) would require perfect, not high, correlation plus small moves.。
FRM一级模考
FRM一级模拟题1. A bank entered into a 5-year $150 million annual-pay LIBOR-based interest rate swap three years ago as the fixed rate payer at 5.5%. The relevant discount rates (continuously compounded) for 1-year and 2-year obligations are currently 5.75% and 6.25%, respectively. A payment was just made. The value of the swap is closest to:a. -$2,560,000.b. $2,560,000.c. $6,730,000.d. -$6,730,000.2. Which of the following statements about sampling and estimation is least likely to be accurate?a. Sampling error is the difference between the observed value of a statistic and the value it is intended to estimate.b. A simple random sample is a sample obtained in such a way that each element of the population has an equal probability of being selected.c. The central limit theorem states that the sample mean for large sample size will not be distributed normally regardless of the distribution of the underlying population.d. The sampling distribution of a statistic is the distribution of all the distinct possible values that the statistic can assume when computed from samples of the same size randomly drawn from the same population.3. Which of the following statements describing the role of a convenience yield in pricing commodity futures is(are) true? The convenience yield:I. will cause contango in the futures pricing relationship.II. effectively reduces the cost of carry in the futures pricing relationship.III. eliminates the potential for arbitrage between the futures and spot price.IV. accounts for additional costs for storing an asset in the futures pricing relationship.a. II, III, and IV.b. I only.c. II only.d. I and II.4. In the case of Barings Bank, Nick Leesson incurred huge trading losses because:a. he had broad powers and weak management oversight, which permittedspeculative trading and the resulting losses to be hidden.b. Barings Bank had insufficient liquidity to cover marked-to-market losses.c. the size of Barings' positions was too large in relation to the liquidity of the contracts beingused.d. the market in Nikkei 225 futures contracts shifted from contango to normal backwardation.5. Harold Newman manages a portfolio of investment securities for a commercial bank. The portfolio has a current market value equal to $5,334,500 with a daily variance of 0.0002. Over the years, the portfolio has increased its proportionate holdings of equity securities, and Newman is concerned that the portfolio may be riskier than the bank's internal regulations allow. Calculate the annual V AR (5%) assuming there are 250 trading days in a year.a. 2.33%.b. 2.76%.c. 36.89%.d. 43.70%.。
FRM一级模考
FRM⼀级模考FRM⼀级模拟题1 . Which of the following statements about the Sortino ratio are valid?I TheSortino ratio is more appropriate for asymmetrical return distributions.II The Sortino ratio compares the portfolio return to the return of a benchmark portfolio. III TheSortino ratio allows one to evaluate portfolios obtained through an optimization algoritlim that uses variance as a risk metric.IV TheSortino ratio is defined on the same principles as the Sharpe ratio, but theSortino ratio replaces the risk free rate with the minimum acceptable return and the standard deviation of returns with the standard deviation of returns below the minimum acceptable return.A. II and IIIB. I, III and IVC. I andIIID. I and IVAnswer: DA. Incorrect. II - The information ratio, not the Sortino ratio, compares the portfolio return to thereturn of a benchmark portfolio. III - The Sortino ratio allows one to evaluate portfolios obtainedthrough an optimization algorithm that uses semi-variance, not variance, as a risk metric.B. Incorrect. III - The Sortino ratio allows one to evaluate portfolios obtained through anoptimization algorithm that uses semi-variance, not variance, as a risk metric.C. Incorrect. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.D. Correct. I - Since the Sortino ratio uses the notion of semi-variance, it is more appropriate for asymmetric return distributions than any metric that uses standard deviation (such as the Sharpe ratio). IV - The Sortino ratio is similar to the Sharpe ratio, except the risk free rate is replaced with the minimum acceptable return in the numerator and the standard deviation of the returns is replaced with the standard deviation of the returns below the minimum acceptable return in the denominator. II - The information ratio, not the Sortino ratio, compares the portfolio return to the return of a benchmark portfolio. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.2. An analyst has compiled thefollowing information on a portfolio:. Sortino Ratio: 0.82. Beta: 1.15. Expected return: 12.2%Standard deviation: ll.g%Risk-free rate : 4.75%What is the semi-standard deviation of the portfolio return?A . 0.4%B . 8.2%C. 14.9%D. 9.08%Answer:DAs a result, the correct answer is D.3 .An analyst gathers the following data about the mean monthly returns of four securities.: Which security has the lowest and highest level of relative risk as measured by the Coefficient of variation?Answer: DThe coefficient of variation, CV = standard deviation/arithmetic mean, is a common measure of relative dispersion (risk) CVW = 0.4/0.5 = 0.80, CVX = 0.7/0.9 = 0.78; CVY = 4.7/1.2 = 3.92 and CVZ = 5.2/1.5=3.47 Because a lower relative risk, Security X has the lowest relative risk and Security Y has the highest relative risk.4. You have been asked to evaluate the performance of two hedge funds: Global Asset Management I and International Momentum II. Both are benchmarked to MSCI EAFE. The volatility of EAFE is 17.5% and the annualized performance is 10.6%. The risk-free rate is 3.5%.Which of the two funds had a higher relative risk-adjusted performance (RAP)last year, and what is the RAP?A. International Momentum 11, 9.97%B. International Momentum II, l .18%C. Global Asset Management l, 9.93%D. Global Asset Management l, 6.16%5 .Suppose the daily returns of a portfolio and a benchmark portfolio it is replicatingare as follows:。
FRM一级模考
FRM一级模拟题1 . Coupon curve duration is a useful method to estimate duration from market prices of an MBS. Assume the coupon curve of prices for Ginnie Maes in June 2001 is as follows: 6 percent at 92; 7 percent at 94, and 8 percent at 96.5. What is the estimated duration of the MBS? .A. 2.45B. 2.40C. 2.33D. 2.252 . A and B are two perpetual bonds, i.e., their maturities are infinite. A has a coupon of 4 percent and B has a coupon of 8 percent. Assuming that both bonds are trading at the same yield, what can be said about the modified duration of these bonds?A. The duration of A is greater than the duration of BB. The duration of A is less than the duration of BC. A and B both have the same duration.D. None of the above.Answer: CThe modified duration of perpetuity (consol bond) is l/y, where "y" is the yield to maturity. Since both trade at the same yield, they must both have the sine duration.3 . Suppose that the coupon and the modified duration of a l0-year bond priced to par is 6.0 percent and 7.5, respectively. What is the approximate modified duration of a l0-year inverse floater priced to par with a coupon of 18% -2 x LIBOR (1 month)?A. 7.5B. 15.0C. 22.5D. 0.0Answer: CSeparate the fixed-rate bonds int0 2/3 FRN and l/3 inverse floater. This ensures that the inverse floater payment is related to twice LIBOR. As a result, the duration of the inverse fl oater must be three times that of the bond, s0 3 x 7.5 = 22.5.4.Duration of a fixed rate bond, in the case of flat yield curve, can be interpreted as(where B is the bond price and y is the yield to maturity):5 .How would you rank the bonds from the shortest to longest duration?A. 5-2-1-4-3B. 1 -2-3-4-5 .C. 5-4-3-1-2D. 2-4-5-1-3Answer: ADuration is the average time to receipt of the cash flows, weighted by the present value of each cash flow in proportion to the total price of the bond Other factors held constant, the higher the yield, the lower PV of a cash flow, therefore, a shorter duration. The greater the frequency of the cash flow, the shorter the duration, because the time to receipt of the cash flows is less. The largest single cash flow is at m aturity, and, thus, the maturity has the most effect upon duration. We know bond #3 has a duration of 10 because it's a zero coupon bond In this question, the bond with the shortest duration would be bond #5 because its maturity is shorter than the other 6 percent coupon bonds. The second shortest duration would be bond #2 because its yield is equal to the highest (6 percent), and it has the highest frequency (2) of the 6 percent bonds. Next would be bond #l because it also has the 6 percent yield but a frequency of l. Bond #4 would come next, becausepercent. The longest duration would be bond #13, which is a zero-coupon bond。
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FRM一级模拟题
1. All else held constant and assuming no change in the value of the underlying, what impact should an increase
in interest rates have on the price of stock index futures?
a. Increase futures prices
b. Reduce futures prices
c. Have no impact on futures prices
d. Make futures prices same as spot
Answer: a
Explanation: The formula to compute futures price on a stock index future is:
.All else held constant if r rises, so should F.
2. Which of the following methods will generally be effective in reducing the likelihood that your firm Is exposed to "hidden risks"?
i .Reducing the flexibility traders have to r6spond to market events
ii .Creating a culture of risk awareness throughout the organization Structuring
pensation to be aligned with the risk appetite of the firm
iv. Investing heavily in quantitative risk models
a. i only
b. iv only
c. ii and iii only
d. i, ii, and iii only
Answer: C
Explanation: Besides eliminating flexibility within the firm, risk monitoring is costly so that at some point, tighter risk monitoring is not efficient. The effectiveness of risk monitoring and control depends crucially on an institution's culture and incentives. lf risk is everybody's business in an organization> it is harder for pockets of risk to be left unobserved. If employees' compensation is affected by how they take risks. they will take risk more judiciously. The best risk models in a firm with poor culture and poor incentives will be much less effective than in a firm where the incentives of employees are better aligned with the risk-taking objectives of the firm.
3. A hedge fund has invested USD 100 million in mortgage about prepayment risk if interest rates fall. Which of the potential loss due to a drop in interest rates?
a. Short forward rate agreement (FRA), long T-bond futures
b. Long FRA, short T-bond futures
c. Long FRA, long T-bond futures
d. Short FRA, short T-bond futures
Answer: a
Explanation: When rates drop, the long position in the futures and the short position in the FRA
both gain
4. Sam Seel has a small portfolio of options. Since the options are currently in-the-money, he is considering the possibility of earl\t exercise. Which of the following statements is correct?
a. It is never optimal to exercise European call options early.
b. It is best to exercise a put option when it is just in-the-money.
c. Early exercise of put options bacom6s more attractive when interest rates ris6.
d. Early exercise of put options becomes more attractive when interest rates decline
Answer: C
Explanation: When interest rates rise stock prices have a tendency to fall. This increases the value of a put option on a stock. All options benefit from high volatility.
.
5. Portfolio A has an expected return of 8%. volatility of 20%, and beta of 0.5. Assume that the market has an expected return of 10% and volatility of 25%. Also assume a risk-free rate of 50A. What is Jensen's alpha for portfolio A?
a. 0 5%
b. 1.0%
c. 10%
d.15%
Answer: a
Explanation: The Jensen measure of a portfolio, or Jensen's alpha, is computed as follows。