FRM一级练习题(3)

合集下载

FRM一级练习题(3)答案

FRM一级练习题（3）答案1. Here the t-reliability factor is used since the population variance is unknown. Since there are 30 observations, the degrees of freedom are 30 – 1 = 29. The t-test is a two-tailed test. So the correct critical t-value is2.045; thus the 95% confidence interval for the mean return is = [-3.464%, 11.464%].2. Assuming the l ong-run estimated variance remains unchanged, the reversion rate defined by the GARCH(1,1) model is (1- - ), which implies that the volatility term structure predicted by the GARCH(1,1) model reverts to the l ong-run estimated variance more sl owly.3. The cal culation is as foll ows:Two-thirds of the equity fund is worth USD 40 million. The optimal hedge ratio is given byh = 0.89 * 0.51 / 0.48 = 0.945The number of futures contracts is given byN = 0.945 * 40,000,000 / (910 * 250) = 166.26 c 167, rounded up to nearest integer.Incorrect:(A)—This is obtained if you hedge the full portfolio instead of two-thirds.Incorrect:(B)—This is obtained if you use the S&P 500 index l evel of 900 instead of the futures price of 910. Incorrect:(D)—This is obtained if the volatilities of the portfolio and the futures in the formula for the optimal hedge ratio are incorrectly invested.4. Due to the fact that the American option under consideration is on the stock, which does not pay dividends during the period, its value is equal to the European option with the same parameters. Thus, we can apply the put-call parity to determine the l evel of interest rates.C – P = S – K e – rT0.46 – 2.25 = 22 – 24 e – 0.25r–23.79 = –24e – 0.25rr = 3.52%(A) Incorrect answer.(B) Correct answer.(C) Incorrect answer: This is obtained if 0.5 year expiration is used instead of three months.(D) Incorrect answer: Because there are no dividends during the life of the option, put-call parity can be used and the interest rate can indeed be calculated.5. It is a butterfly spread strategy that can maximize the profit at the target level of USDJPY 97 while limiting the loss to the difference between the premiums of the two long and short calls. Incorrect:(A)—It is a strad dle strategy suitable for high expected volatility.Incorrect:(B)—It is a bull spread strategy suitable for bull expectation on USD.Incorrect:(C)—It is a bull spread strategy for USD.6. The key concept here is the box spread. A box spread with strikes at 120 and 150 gives you a payoff of 30 at expiration irrespective of the spot price. In a sense, it is like a zero coupon bond. Now recall the put-call parity relation:p + S = c + price of zero coupon bond with face value of strike red eeming at the maturity of the options.Since the strike is 120, the price of a zero coupon bond with face value of 120 can be expressed as four units of box spread.If there is any way you can sell any one side of the equation at a price higher than the other there is an arbitrage opportunity.(A) is correct.Short one put: +25Short one spot: +100Buy one call: –5Buy six box spreads: –120Net cash fl ow: 0At expiry, if spot is greater than 120, call is exercised, and if it is less than 120, put is exercised. In either case you end up buying one spot at 120. This can be used to cl ose the short position. The six spreads will provid e a cash fl ow of 6 * 30 = 180. The net profit is therefore = 180 – 120 = 60.(B) is incorrect.Buy one put: –25Short one spot: +100Short one call: +5Buy four box spreads: –80Net cash fl ow: 0At expiry, if spot is greater than 120, call is exercised, and if it is less than 120, put is exercised. In either case you end up selling one spot, at 120. However, you are already short one spot, which you have to cl ose. The four box-spreads provide a cash flow of 4 * 30 = 120. The net cash outfl ow = K – S – S – 120 = –2S. You have mad e a loss unless the spot price is zero.(C) is incorrect. This is exactly the reverse strategy of(A) And will give you a loss of 60.(D) is incorrect. You will choose this if you cannot figure out the similarity of the box-spread payoff to that of a zero coupon bond.7. The cheapest-to-deliver bond on maturity is defined as the one for which the adjusted spot price is the l owest. Adjusted spot price = Spot price/Conversion factor. Computation of adjusted price for each of the bonds is as foll ows:Bond A = (10214/32)/0.98 = 104.53%Bond B = (10619/32)/1.03 = 103.49%Bond C = (9812/32)/0.95 = 103.55%So, bond B is the cheapest-to-deliver bond, and option (B) is correct.8.(1) is false. Basis risk can also arise if the underlying asset and hedge asset are id entical. This can happen ifthe maturity of hedge contract and delivery date of asset does not match.(2) is true. Short hedge position or short forward contract benefits from unexpected decline in future prices and consequent strengthening of basis. The payoff to short hedge position is spot price at maturity (S2) and difference between futures price, i.e. (F1 – F2). Thus, payoff = S2 + F1 – F2 = F1 + b2, where b2 is the basis.(3) is false. Long hedge position benefits from weakening of basis.(A) is incorrect.(B) is incorrect.(C) is correct.(D) is incorrect.9.The value of the swap increases / decreases with an increase / decrease in the U.S. five-year fixed rate.The value of the swap increases / decreases with a d ecrease / increase in the USD-JPY rate.In(A), the value of the swap will increase.(A) is incorrect.In(B), the value of the swap will decrease.(B) is incorrect.In(C), the value of the swap will decrease.(C) is incorrect.In (D), both factors will cause a decrease in the value of the swap. Hence, (D) is correct.10. (A) is incorrect. The larger the debt repayments in hard currencies are in relation to export revenues, the greater the probability that the country will have to reschedul e its debt. (B) is incorrect. Since the first use of reserves is to buy vital imports, the greater the ratio of imports to foreign exchange reserves, the higher the probability that the country will have to reschedule its debt repayments. This is the case because the repayment of foreign debt hol ders is generally viewed by countries as being less important than supplying vital goods to the domestic population.(C) is correct. The investment ratio measures the d egree to which a country is all ocating resources to real investment in factories, machines, and so on, rather than to consumption. The higher this ratio is, the more productive the economy shoul d be in the future and the l ower the probability that the country will need to reschedul e its debt. An opposing view argues for a positive relationship, especially if the country invests heavily in import-competing industries. However, the relationship between the INVR and the probability of rescheduling is most likely to be negative among the four options given.(D) is incorrect. The more volatile a country's export earnings, the l ess certain creditors can be that at any time in the future it will be abl e to meet its repayment commitments. That is, there should be a positive relationship between VAREX and the probability of rescheduling.参与FRM的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM 考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。

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_风险管理基础&定量分析答案(★★)

Answer: D StrategiesⅠandⅡboth suggest risk management to reduce the cost of bankruptcy and financial distress may be value enhancing. 5. The role of risk management does NOT involve performing which of the following tasks? A. Make sure that the firm takes greater than the necessary amount of risk. B. Assess all risks faced by the firm. C. Communicate these risks to risk-taking decision makers. D. Monitor and manage these risks.
Answer: D The CAPM assumes that investors all have the same horizon (as well as expectations). This means that the distribution of the horizons is not normal because normality implies a bell-shaped curve distribution, which would have a positive variance and, hence, dispersion. 10. Markowitz Portfolio Theory is not accurately described as including an assumption that: A. risk is measured by the range of expected returns B. for a given risk level, investor prefer higher returns to lower returns C. investors base all their decisions on expected return and risk D. investors focus on utility maximization

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 . Identify the major risks of being short $50 million of gold two weeks forward and being long $50 million of gold one year forwardI Gold liquidity squeezeII Spot risk .III Gold lease rate riskIV USD interest rate risk 'A. II onlyB. I, II, and III only .C. I, III, and IV only .D. I, II, III, and IVAnswer: CThere is no spot risk since the two contracts have offsetting exposure to the spot rate. There is, however, basis risk (lease rate and interest rate) and liquidity risk.2 . Consider an eight-month forward contract on a stock with a price of $98/share. The delivery date is eight months hence. The firm is expected to pay a $1.80/share dividend in four months time. Riskless zero coupon interest rates (continuously compounded) for different maturities are as follows: 6 months 4%, 8 months 4.5%.The theoretical forward price (to the nearest cent) is:A. 99.15B. 99.18C. 100.98D. 96.20Answer: A3 . Assume the spot rate for EUR/USD is l.05 (i.e., 1 Euro buys l.05 dollars). A U.S. bank pays 5.5% compounded annually for one year for a dollar deposit and a German bank pays 2.5% compounded annually for one year for a Euro deposit. What is the forward exchange rate for EUR/USD one year from now?A. 1.0815B. 1.0201C. 1.0807D. 1.05Answer: C4 . Assume that the current spot exchange rate is 0.8950 USD per l EUR. An American bank paysinterest rate for a EUR deposit. Both rates are compounded annually. If the interest-rate parity theory holds true, calculate the no arbitrage forward exchange rate for EUR/USD one year from now:A. 0.9015B. 0.8990C. 0.8975D. 0.8950Answer: A5 . Consider a forward contract on a stock market index. Identify the falsestatement: Everything else being constant,A. The forward price depends directly upon the level of the stock market index.B. The forward price will fall if underlying stocks increase .the level of dividend payments over the life of the contract.C. The forward price will rise if time to maturity is increasedD. The forward price will fall if the interest rate is raisedAnswer: D。

2021frm一级考试答案

2021frm一级考试答案1. 根据FRM一级考试内容，以下哪项风险不属于市场风险？A. 利率风险B. 汇率风险C. 信用风险D. 操作风险答案：D2. FRM一级考试中，对于风险价值（VaR）的计算，以下哪个说法是正确的？A. VaR是预期损失B. VaR是在一个特定置信水平下的最大可能损失C. VaR是平均损失D. VaR是超过某个阈值的损失答案：B3. 在FRM一级考试中，关于债券收益率曲线的描述，以下哪项是不正确的？A. 收益率曲线可以是向上倾斜的B. 收益率曲线可以是向下倾斜的C. 收益率曲线可以是平坦的D. 收益率曲线是固定不变的答案：D4. 在FRM一级考试中，以下哪项不属于信用风险管理的工具？A. 信用衍生品B. 信用评级C. 资产证券化D. 利率互换答案：D5. 根据FRM一级考试内容，以下哪项是操作风险的主要来源？A. 市场波动B. 法律诉讼C. 欺诈行为D. 自然灾害答案：C6. 在FRM一级考试中，以下哪项是流动性风险管理的关键要素？A. 资产负债管理B. 资本充足率C. 利率风险管理D. 信用评级答案：A7. 根据FRM一级考试内容，以下哪项不是风险管理的主要目标？A. 减少损失B. 增加收益C. 遵守法规D. 保护公司声誉答案：B8. 在FRM一级考试中，以下哪项是压力测试的目的？A. 评估在极端市场条件下的表现B. 预测未来的市场趋势C. 评估日常风险管理的有效性D. 计算风险价值（VaR）答案：A9. 根据FRM一级考试内容，以下哪项是风险限额设置的主要依据？A. 历史数据B. 市场预测C. 管理层的风险偏好D. 竞争对手的风险限额答案：C10. 在FRM一级考试中，以下哪项是风险管理框架的核心组成部分？A. 风险识别B. 风险评估C. 风险监控D. 所有选项答案：D结束语：以上是2021年FRM一级考试的部分答案，希望能够帮助考生更好地复习和准备考试。

FRM一级模考

专注国际财经教育FRM一级模拟题1 . The risk manager of a bank, which runs a fixed income desk (of an emerging market currency), decides to change the VaR calculation from a l-day holding period to a 9-day holding period. Which one would NOT be valid reason for doing so?The risk manager is concerned about lack of liquidity and thus an increased amount of time may elapse before off setting the risk of the fixed income book.The risk manager wishes to allow for price impact of hedging transactions on the market. This is because the portfolio size is large relative to the daily volume traded in the market.The risk manager is concerned that in a stop-loss situation, It would take about 9 days, rather than one day, to sell or hedge the portfolio.The risk manager wishes to capture the risk of low credit rating counterparties and paper in the emerging market, and any possible losses from defaults or payment delays.Answer: DThe capture of risk of low credit rating counterparties has no viable relation to the horizon used for VaR.2 . Perhaps the most vocal opponent of the currently accepted Value-at-Risk framework is:A. Philippe JorionB. John HullC. Nassim TalebD. Satyajit DasAnswer :CNassim Taleb is a trader who is known for his outspoken criticism of VaR.3 . Consider the following levels of sophistication in Risk Management Models and Procedures:I Mark to Market Analysis.II Stress/Scenario Analysis.III Simulation Value at Risk.IV Parametric Value at Risk.Which of the following lists these models in order of INCREASING sophistication?A. II, I, IV, IIIB. I, IV, III, IIC. I, II, III, IVD. I, III, IV, IIAnswer: BThe most basic approach to risk management is mark to market; Parametric VaR is theoretically cjean. Simulation VaR is intuitively attractive, and stress/scenario analysis identifies and teats the assumptions of VaR.。

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。

2010年5月FRM1级第三部分金融市场与产品模拟练习题(2010年3月21日上海王迪共50题)

Financial Markets and Products1. If the lease rate of commodity A is less than the risk-free rate, what is the market structure of commodity A?a. Backwardationb. Contangoc. Flatd. Inversion2. On March 13, 2008, William Tell, a fund manager for the Rossini fund, takes a short position in the March Treasury bond (T-bond) futures contract. He plans to deliver the cheapest-to-deliver Treasury bond with a coupon of 4.5% payable semiannually on May 15 and November 15 (182 days between), a conversion factor of 1.3256, and a face value of USD 100,000. The delivery date is Friday, March 15 (121 days after November 15 coupon payment date). The settlement price for the cheapest-to-deliver Treasury bond on March 13 is 68 2/32. Which of the following is the best estimate of the invoice price?a. USD 90,118.87b. USD 91,719.53c. USD 92,367.75d. USD 95,619.473. The yield curve is upward sloping, and a portfolio manager has a long position in 10-year Treasury Notes funded through overnight repurchase agreements. The risk manager is concerned with the risk that market rates may increase further and reduce the market value of the position. What hedge could be put on to reduce the position's exposure to rising rates?a. Enter into a 10-year pay fixed and receive floating interest rate swap.b. Enter into a 10-year receive fixed and pay floating interest rate swap.c. Establish a long position in 10-year Treasury Note futures.d. Buy a call option on 10-year Treasury Note futures.4. The current price of stock ABC is USD 42 and the call option with a strike at USD 44 is trading at USD 3. Expiration is in one year. The put option with the same exercise price and same expiration date is priced at USD 2. Assume that the annual risk-free rate is 10% and that there is a risk-free bond paying the risk-free rate that can be shorted costlessly. There are no transaction costs. Which of the following trading strategies will result in arbitrage profits?a. Long position in both the call option and the stock, and short position in the put option and risk-free bond.b. Long position in both the call option and the put option, and short position in the stock and risk-free bond.c. Long position in both the call option and risk-free bond, and short position inthe stock and the put option.d. Long position in both the put option and the risk-free bond, and short position in the stock and the call option.5. Nicholas is responsible for the asset and liability management of JerseyBeech Bank, a small retail bank with USD 300 million in interest-bearing assets that yield approximately 70 bp above LIBOR. The duration of the interest-bearing assets is 2.5 years. Due to the recent financial turmoil, the bank seeks to reduce potential negative impacts on earnings from adverse moves in interest rates. Thus, the bank decides to hedge 50% of its interest rate exposures using Treasury bond futures. Nicholas decides to use September T-bond futures that trade at 106-22 and will mature in three months; the cheapest-to-deliver bond associated with this contract is a 7-year, 10% coupon, with a current duration of 5 years. At the maturity of the futures contract, the duration of the bank's interest rate sensitive assets will not change; however, the duration of the cheapest-to-deliver bond will fall to 4.9.How many contracts should Nicholas buy or sell?a. Buy 703 contracts.b. Sell 703 contracts.c. Buy 717 contracts.d. Sell 717 contracts.6. One of the traders whose risk you monitor put on a carry trade where he borrows in yen and invests in some emerging market bonds whose performance is independent of yen. Which of the following risks should you not worry about?a. Unexpected devaluation of the yen.b. A currency crisis in one of the emerging markets the trader invests in.c. Unexpected downgrading of the sovereign rating of a country in which the trader invests.d. Possible contagion to emerging markets of a credit crisis in a major country.7. The current spot price of cotton is USD 0.7409 per pound. The cost of storing and insuring cotton is USD 0.0042 per pound per month payable at the beginning of every month. The risk-free rate is 5%. A 3-month forward contract trades at USD 0.7415 per pound. If there is an arbitrage opportunity, how would you capitalize on it to make a profit? Assume there are no restrictions on short selling cotton.i. short the futures contractii. borrow at the risk-free rateiii. buy cotton at the spot priceiv. go long in the futures contractv. invest at the risk-free ratevi. sell cotton at the spot pricea. There is no arbitrage opportunity here.b. The arbitrage opportunity involves i, ii, and iii.c. The arbitrage opportunity involves iv, v, and vi.d. The arbitrage opportunity involves ii, iv, and vi.8. In late 1993, Metallgesellschaft reported losses of approximately USD 1.5 billion in connection with the implementation of a hedging strategy in the oil futures market. In 1992, the company had begun a new strategy to sell petroleum to independent retailers, on a monthly basis, at fixed prices above the prevailing market price for periods of up to 5 and even 10 years. At the same time, Metallgesellschaft implemented a hedging strategy using a large number of short-term derivative contracts such as swaps and futures on crude oil, heating oil, and gasoline on several exchanges and markets. Its approach was to buy on the derivatives market exposure to one barrel of oil for each barrel it had committed to deliver. Because of its choice of a hedge ratio, the company suffered significant losses with its hedging strategy when oil market conditions abruptly changed to:a. Contango, which occurs when the futures price is above the spot price.b. Contango, which occurs when the futures price is below the spot price.c. Normal backwardation, which occurs when the futures price is above the spot price.d. Normal backwardation, which occurs when the futures price is below the spot price.9. Basis risk is a common problem faced by hedgers because the underlying and the hedging instrument may not always move in perfect correlation. Which of the following strategies has the least basis risk?a. Straddle strategyb. Hedging individual equities using index futuresc. Stack and roll strategyd. Delta hedging strategy10. Which one of the following four trading strategies limits the investor's upside potential and downside risk?a. A long position in a put combined with a long position in a stock.b. A short position in a put combined with a short position in a stock.c. Buying a call option on a stock with a certain strike price and selling a call option on the same stock with a higher strike price and the same expiration date.d. Buying a call and a put with the same strike price and expiration date.11. Which of the following statements are correct about the early exercise ofAmerican options?i. It is never optimal to exercise an American call option on a non-dividend-paying stock before the expiration date.ii. It can be optimal to exercise an American put option on a non-dividend-paying stock early.iii. It can be optimal to exercise an American call option on a non-dividend-paying stock early.iv. It is never optimal to exercise an American put option on a non-dividend-paying stock before the expiration date.a. i and iib. i and ivc. ii and iiid. iii and iv12. A portfolio manager wants to hedge his bond portfolio against changes in interest rates. He intends to buy a put option with a strike price below the portfolio’s current price in order to protect against rising interest rates. He also wants to sell a call option with a strike price above the portfolio’s current price in order to reduce the cost of buying the put option. What strategy is the manager using?a. Bear spreadb. Stranglec. Collard. Straddle13. All else being equal, which of the following options would cost more than plain vanilla options?I. Lookback optionsII. Barrier optionsIII. Asian optionsIV. Chooser optionsa. I onlyb. I and IVc. II and IIId. I, III and IV14. Which of the following statements about American options is false?a. American options can be exercised at any time until maturityb. American options are always worth at least as much as European optionsc. American options can easily be valued with Monte Carlo simulationd. American options can be valued with binomial trees15. Imagine a stack-and-roll hedge of monthly commodity deliveries that you continue for the next five years. Assume the hedge ratio is adjusted to take into effect the mistiming of cash flows but is not adjusted for the basis risk of the hedge. In which of the following situations is your calendar basis risk likely to be greatest?a. Stack and roll in the front month in oil futures.b. Stack and roll in the 12-month contract in natural gas futures.c. Stack and roll in the 3-year contract in gold futures.d. All four situations will have the same basis risk.16. Consider a 6-month futures contract on the S&P 500, and suppose the current value of the index is 1330. Suppose the dividend yield is 1.5% 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%17. Which of the following factors will not necessarily increase the price of a European call option on a dividend paying stock as this factor increases in value?a. The risk free rate.b. The stock price.c. The time to expiration.d. The volatility of the stock price.18. Jeff is an arbitrage trader, and he wants to calculate the implied dividend yield on a stock while looking at the over-the-counter price of a 5-year put and call (both European-style) on that same stock. He has the following data:• Initial stock price = USD 85• Strike price = USD 90• Continuous risk-free rate = 5%• Underlying stock volatility = unknown• Call price = USD 10• Put price = USD 15What is the continuous implied dividend yield of that stock?a. 2.48%b. 4.69%c. 5.34%d. 7.71%19. You have entered into a currency swap in which you receive 4% per annum in yen and pay 6% per annum in dollars once a year. The principals in the two currencies are 100 million yen and 10 million dollar. The swap will last for another two years, and the current exchange rate is 115 yen for 1 dollar. Suppose that the annualized spot rates (with continuous compounding) are given as in the table below, what is the value of the swap to you in million dollars?1 Year2 YearJapan 2.00% 2.50%United States 4.50% 4.75%a. -1.270b. -0.447c. 0.447d. 1.27020. The Thai default in 1997 was unusual compared to past sovereign defaults because:a. The country repudiated its debt, whereas most defaults are reschedulingsb. The country had a low inflation level, whereas most previous defaults had high inflation, largely as the result of fiscal deficitsc. The country had a strong banking system, whereas most previous defaults arose from weakness in the financial intermediation arena.d. The country was a strong exporter prior to the crisis, whereas most defaulting countries were net importers.21. Gamma Industries, Inc. issues an inverse floater with a face value of USD 50,000,000 that pays a semiannual coupon of 11.50% minus LIBOR. Gamma Industries intends to execute an arbitrage strategy and earn a profit by selling the notes, using the proceeds to purchase a bond with a fixed semiannual coupon rate of 6.75% a year, and hedging the risk by entering into an appropriate swap. Gamma Indus-tries receives a quote from a swap dealer with a fixed rate of 5.75% and a floating rate of LIBOR. What would be the most appropriate type of swap Gamma Industries, Inc. should enter into to hedge their risk?a. Pay-fixed, receive-fixedb. Pay-floating, receive-fixed swapc. Pay-fix, receive-floatingd. The risk cannot be hedged with a swap22. An American investor holds a portfolio of French stocks. The market value of the portfolio is €10 million, with a beta of 1.35 relative to the CAC index. In November , the spot value of the CAC index is 4,750. The exchange rate is USD 1.25/€. The dividend yield, euro interest rates, and dollar interest rates are all equal to 4%. Which of the following option strategies would be most appropriate to protect the portfolio against a decline of the euro that week? March Euro options (all prices in US dollars per €)Strike Call euro Put euro1.25 0.018 0.022a. Buy calls with a premium of USD 180,000b. Buy puts with a premium of USD 220,000c. Sell calls with a premium of USD 180,000d. Sell puts with a premium of USD 220,00023. Which type of option produces discontinuous payoff profiles, meaning that the payoff does not increase or decrease continuously with the underlying asset value?a. Chooser options.b. Barrier options.c. Binary options.d. Lookback options.24. You are given the following information about an interest rate swap:• 2-year Term• Semi-annual payment• Fixed Rate = 6 %• Floating Rate = LIBOR + 50 basis points.• Notional principal USD10 million.Calculate the net coupon exchange for the first period if LIBOR is 5% at the beginning of the period and 5.5% at the end of the period.a. Fixed rate payer pays USD 0.b. Fixed rate payer pays USD 25,000.c. Fixed rate payer pays USD 50,000.d. Fixed rate payer receives USD 25,00025. A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. What is the closest value for its modified duration?a. 9b. 10c. 100d. Insufficient Information26. A portfolio manager wants to hedge his bond portfolio against changes in interest rates. He intends to buy a put option with a strike price below the portfolio's current price in order to protect against rising interest rare. He also wants to sell a call option with a strike price above the portfolio’s current price in order to reduce the cost of buying the put option. What strategy is the manager using?a. Bear spreadb. Stranglec. Collard. Straddle27. Which of the following best describes what we would normally expect to see in a seasonal agricultural market like wheat? Assume "the harvest" is normal and not unusually big or unusually small. Now consider the following statements about the market.I. Prices fall at the harvest and rise after the harvest.II. Prices are constant on average across the year regardless of seasonality. III. Prices rise at the harvest and fall afterwards.IV. The market is in contango when the harvest comes in.V. The market is in backwardation when the harvest comes in.VI. If the market goes into contango, it is most likely to do so right before a new harvest.VII. If the market goes into backwardation, it is most likely to do so right before a new harvest.Now choose the letter that best describes which of the above statements is true.a. I and IV are the only true statements.b. I, IV, and VI are the only true statements.c. Ill, V, and VII are the only true statements.d. I, IV, and VII are the only true statements.28. Assume that Akshaya Bank has a loan with a principal amount of USD 100 million outstanding to Brazil, due six months from now, and the loan has a present value of USD 100.51 million. Brazil declares its inability to meet its payment schedule and Akshaya Bank immediately negotiates a multi-year restructuring agreement with the following terms:Principal Repayment; Bullet to 2 years.Loan Rate: 6% fixed, annual pay.Upfront fee: 50 basis point.Akshaya Banks discount rate: 8%.Guarantees and Options: None.Based on the given information, Akshaya Bank's concessionality is close to:a. USD 96.93 million.b. USD 4.08 million.c. USD 96.43 million.d. USD 3.58 million.29. A fund manager has a USD 100 million portfolio with a beta of 0.75. The manager has bullish expectations for the next couple of months and plans to use futures contracts on the S&P500 to increase the portfolio's beta to 1.8. Given the following information, which strategy should the fund manager follow. • The current level of the S&P index is 1250.• Each S&P futures contract delivers USD 250 times the index.• The risk-free interest rate is 6% per annum.a. Enter into a long position of 323 S&P futures contracts.b. Enter into a long position of 336 S&P futures contract.c. Enter into a long position of 480 S&P futures contracts.d. Enter into a short position of 240 S&P futures contracts.30. Which of the following statements is correct when comparing the differences between an interest rate swap and a currency swap?a. At maturity, there is no exchange of principal between the counterparties in interest rate swaps and there is an exchange of principle in currency swap transactions.b. At maturity, there is no exchange of principal between the counterparties in currency swaps and there is an exchange of principle in interest rate swap transactions.c. The counterparties in an interest rate swap need to consider fluctuations in exchange rates, while currency swap counterparties are only exposed to fluctuations in interest rates.d. Currency swap counterparties are exposed to less counterparty credit risk due to the offsetting effect of currency risk and interest rate risk embedded within the transaction.31. The payoff to a swap where the investor receives fixed and pays floating can be replicated by all of the following except:a. A short position in a portfolio of FRAs.b. A long position in a fixed rate bond and a short position in a floating rate bond.c. A short position in an interest rate cap and a long position in an interest rate floor.d. A long position in a floating rate notes and a short position in an interest rate floor.32. Assuming the stock price and all other variables remain the same what will be the impact of an increase in the risk-free interest rate on the price of an American put option?a. No Impactb. Negativec. Positive.d. Cannot be determined.33. If a European call option is written on a dividend paying stock, an increase in which of the following will not automatically result in an increased option price?a. The stock price.b. The risk-free rate.c. The time to expiration.d. The volatility of the stock price.34. A currency options trader enters into the following transactions:• Buys a European-styled EUR call/YEN put option with a strike price of 132.05 maturing in 2 months.• Sells a European-styled EUR call/YEN put option with a strike price of 132.75 maturing in 1 month.By doing so, the trader effectively created a:a. Bear spread on EUR/YEN.b. Bull spread on EUR/YEN.c. Diagonal spread on EUR/YEN.d. Reverse calendar spread on EUR/YEN.35. Given the following:• The two-year risk-free rate in the United Kingdom is 8% per annum, continuously compounded.• The two-year risk-free rate in France is 5% per annum, continuously compounded.• The current French Franc to the GBP currency exchange rate is that one unit of GBP currency costs 0.75 units of French Franc’s.What is the two-year forward price of one unit of the GBP in terms of the French Franc so that no arbitrage opportunity exists?a. 0.578.b. 0.706.c. 0.796.d. 0.973.36. Company X owns a property with a book value of €80,000. There is a buyer willing to pay €200,000 for the property. However, Company X must also provide the buyer with a put option to sell the property back to Company X for €200,000 at the end of 2 years. Moreover, Company X agrees to pay the buyer €40,000 for a call option to repurchase the property for €200,000 at the end of 2 years. In effect, with this transaction Company X "borrows" money from the buyer. What is the annually compounded interest rate per year on this implied loan?a. 11.80%.b. 25.00%.c. 41.40%.d. Cannot be determined.37. Which of the following is not a standard practice used in the derivatives market to reduce credit risk among counterparties?a. Adopting a master netting agreement.b. Agreeing to material adverse change covenants.c. Using initial and variation margin agreements.d. Including rating downgrade triggers in credit agreements.38. A bronze producer will sell 1,000 mt (metric tons) of bronze in three months at the prevailing market price at that time. The standard deviation of the price of bronze over a 3-month period is 2.6%. The company decides to use 3-month futures on copper to hedge the exposure. The copper futures contract is for 25 mt of copper. The standard deviation of the futures price is 3.2%. The correlation between 3-month changes in the futures price and the price of bronze is 0.77. To hedge its price exposure, how many futures contracts should the company buy/sell?a. Sell 38 futures.b. Buy 25 futures.c. Buy 63 futures.d. Sell 25 futures.39. Consider an equity portfolio with market value of USD 100M and a beta of 1.5 with respect to the S&P 500 Index. The current S&P 500 index level is 1000 and each futures contract is for delivery of USD 250 times the index level. Which of the following strategy will reduce the beta of the equity portfolio to 0.8?a. Long 600 S&P 500 futures contracts.b. Short 600 S&P 500 futures contracts.c. Long 280 S&P 500 futures contracts.d. Short 280 S&P 500 futures contracts.40. If the current USD/AUD rate is 0.6650 (1 AUD=0.6650USD) and the risk-free rates for the USD and AUD are 1.0% and 4.5% respectively, what is the lower bound of a 5-month European put option on the AUD with a strike price of 0.6880?a. 0.0135.b. 0.0245.c. 0.0325.d. 0.0455.41. Which of the following regarding option strategies is/are NOT correct?I. A long strangle involves buying a call and a put with equal strike prices.II. A short bull spread involves selling a call at lower strike price and buying another call at higher strike price.III. Vertical spreads are formed by options with different maturities.IV. A long butterfly spread is formed by buying two options at two different strike prices and selling another two options at the same strike price.a. I only.b. I and III only.c. I and II only.d. Ill and IV only.42. Given the following:• Current spot CHF/USD rate: 1.3680 (1.3680CHF=1USD)• 3-month USD interest rates: 1.05%• 3-month Swiss interest rates: 0.35%• Assume continuous coupoundingA currency trader notices that the 3-month forward price is USD0.7350. In order to arbitrage, the trade should:a. Borrow CHF, buy USD spot, go long Swiss franc forward.b. Borrow CHF, sell Swiss franc spot, go short Swiss franc forward.c. Borrow USD, buy Swiss franc spot, go short Swiss franc forward.b. Borrow USD, sell USD spot, go long Swiss franc forward.43. From the point of view of a company that use derivatives to hedge foreign exchange risk, the main advantage of futures contracts over forward contracts is that:a. Futures are typically available for longer maturities.b. Futures are less standardized.c. Futures have less credit risk due to “marking to market.”d. Futures usually have smaller notional amount.44. A commodity forward contract for delivery in four months is written with a forward price of $38. The underlying asset's spot price is $40. The continuously compounded interest rate is 5 percent. In present value terms, how much is the potential arbitrage profit assuming there are no transaction or storage costs and the commodity pays no dividends?a. $0 (the forward price is fair).b. $1.67.c. $2.63.d. $2.88.45. Consider a forward contract on a stock market index. Identify the FALSE statement: Everything else being constant:a. the forward price depends directly upon the level of the stock market index.b. the forward price will fall if underlying stocks increase the level of dividend payments over the life of the contract.c. the forward price will rise if time to maturity is increased.d. the forward price will fall if the interest rate is raised.46. Consider the following 3-year currency swap, which involves exchanging annual interest of 2.75 percent on 10 million US dollars for 3.75 percent on 15 million Canadian dollars. The CAD/USD spot rate is 1.52. The term structure is flat in both countries. Calculate the value of the swap in USD if interest rates in Canada are 5 percent and in the United States are 4 percent. Assume continuous compounding. Round to the nearest dollar.a. $152,000.b. $145,693.c. $131,967.d. $127,818.47. Consider the following plain vanilla swap. Party A pays a fixed rate 8.29 percent per annum on a semiannual basis (180/360), and receives from Party B LIBOR+30 basis point. The current 6-month LIBOR rate is 7.35 percent per annum. The notional principal is $25M. What is the net swap payment of Party A?a. $20,000.b. $40,000.c. $80,000.d. $110,000.48. The price of a non-dividend paying stock is $20. A 6-month European call option with a strike price of $18 sells for $4. A European put option on the same stock, with the same strike price and maturity, sells for $1.47- The continuously compounded risk-free interest rate is 6 percent per annum. Are these three securities (the stock and the two options) consistently priced?a. No, there is an arbitrage opportunity worth $2.00.b. No, there is an arbitrage opportunity worth $2.53.c. No, there is an arbitrage opportunity worth $ 14.00.d. Yes.49. Given strictly positive interest rates, the best way to close out a long American call option early (option written on a stock that pays no dividends) would be to:a. exercise the callb. sell the callc. deliver the calld. None of the above.50. Identify the FALSE statement:a. The difference in American call prices of same maturity cannot exceed the difference in their exercise prices.b. The price difference between two European puts of same maturity can exceed the difference in their exercise prices.c. Before expiration, an American put must be worth at least the exercise price less the stock price.d. The longer until expiration, the more valuable an American put.51. A newly issued 8 percent bond that pays semiannual coupons has a principal value of $1,000, a bond life of one year, and a yield of 6 percent per year. The Macaulay duration of the bond is 0.9809 and the convexity is 1.3780. If the yield changes from 6 percent to 6.5 percent, then the statement that best describes the actual bond price change is:a. Bond's actual price change is -4.83 and predicted price change according toa formula that adjusts for both convexity and duration is -4.73.b. Bond's actual price change is —5.052996 and predicted price change according to a formula that adjusts for both convexity and duration is -4.85.c. Bond's actual price change is -4.75 and predicted price change according to a formula that adjusts for both convexity and duration is -4.78.d. Bond's actual price change is -4.83 and predicted price change according to a formula that adjusts for both convexity and duration is —4.83.。

FRM一级模考

FRM一级模拟题1 . A covered call writing position is equivalent to:A a long position in the stock and a long position in the call optionB. a short put positionC. a short position in the stock and a long position in the call optionD. a short call positionAnswer: BA covered call position is a long position in the stock and a short position on the call option. The payoff to this position is equivalent to a short put position, in which both have eliminated the upside potential but still have the downside exposure.2 . A portfolio manager wants to hedge his bond portfolio against changes in interest rates. He intends to buy a put option with a strike price below the portfolio's current price in order to protect against rising interest rates. He also wants to sell a call option with a strike price above the portfolios current price in order to reduce the cost of buying the put option. What strategy is the manager using?A.Bear spreadB. StrangleC. CollarD. StraddleAnswer: CA. Incorrect. The description is not for bear spread. A bear spread is created by buying a nearby put and selling a more distant put. A bear spread can also be set up using calls.B. Incorrect. The description is not for box spread. If the options are correctly priced, then the risk free rate will be earned for a box spread.C. Correct. The description is for a collar strategy which limits changes in the portfolio value in either direction. In other words, a collar is defined around the current portfolio value.D. Incorrect. The description is not for straddle. A straddle is created by buying a put and a call atthe same strike price and expiration to take advantage of significant portfolio moves in either direction.3 . A butterfly spread involves positions in options with three difference strike prices. It can be created by buying a call option with a low strike of _Xi; buying a call option with a high strike X3; and selling two call options with a strike X2 halfway between X] and X3. What can be said about the upside and downside of the strategy?A. Both the upside and downside is unlimitedB. Both the upside and downside is limitedC. The upside is unlimited but the downside is limitedD. The upside is limited but the downside is unlimitedAnswer: BThe pay-off structure to this strategy leaves the upside and downside potential 'at the difference between the premium collected on the calls sold and the premium paid on the calls purchased4 . Which of the following will create a bull spread?A. Buy a put with a strike price of X = 50, and sell a put with a strike price of 55.B. Buy a put with a strike price of X= 55, and sell a put with a strike price of 50.C. Buy a call with a premium of 5, and sell a call with a premium of 7D. . Buy a call with a strike price of X = 50, and sell a put with a strike price of 55.Answer: AIf an investor buys a put with a mike _of 50 and sells a put with a strike of 55, he or she will gain the value of the premium on the put sold at 55 less the call of the premium purchased at 50j as long as the value of the stock is 55 0r more. If the value falls below 50, the most he or she will lose is $5.00.。

FRM一级模考

FRM一级模拟题1 . The GARCH model is useful for simulating asset returns. Which of the following statements about this model is FALSE?A. The Exponentially Weighted Moving Average (EWMA) approach of RiskMetrics is a particular case of a GARCH process.B. The GARCH allows for time-varying volatility.C. The GARCH can produce fat tails in the return distribution.D. The GARCH imposes a positive conditional mean return.Answer: DThe GARCH model allows for time-varying vojatijity by describing the conditional variance as a function of the previous period's volatility and the most recent variance estimate:2 . Which of the following GARCH models wⅢtake the shortest time to revert to its mean?Answer: B3 .. A.13.54%C. 72.72%D．25.00%Answer: BThe long-run mean variance is4 . Unlike stock prices, interest rates appear to be pulled back to some long-run average level. What is the name of this phenomenon?A. RegressionB. Mean reversionC. InversionD. ConversionAnswer: BReversion to the mean, or mean reversion, describes the tendency of some variables (in this case interest rates) to tend to move toward the mean or long-term average value.5 . Assuming we estimate volatility and calculate a one day VaR. If volatility is mean reversion, what can we say about the t-day VaR?Answer: D。

FRM一级_金融市场与产品&估值和风险模型习题及答案(★★)

Financial Markets and Products & Valuation and Risk Models1.In managing a portfolio of domestic corporate bonds, which of the following risksis least important?A.Interest rate risksB.Concentration risksC.Spread risksD.Foreign exchange risksAnswer: De a stated rate of 9% compounded periodically to answer the following threequestions. Select the choice that is the closest to the correct answer.(1) The semi-annual effective rate is:A.9.00%B.10.25%C.9.20%D.9.31%Answer: C(2) The quarterly effective rate is:A.9.00%B.9.31%C.9.20%D.9.40%Answer: B(3) The continuously compounded rate is:A.9.42%B.9.20%C.9.45%D.9.67%Answer: A3.The following Treasury zero rates are exhibited in the marketplace: 6 months = 1.25% 1 year = 2.35%1.5 years =2.58% 2 years = 2.95%Assuming continuous compounding, the price of a 2-year Treasury bond that paysa 6 percent semiannual coupon is closest to:A.105.20B.103.42C.108.66D.105.90Answer: D4. A two-year zero-coupon bond issued by corporate XYZ is currently rated A. Oneyear from now XYZ is expected to remain at A with 85% probability, upgraded to AA with 5% probability, and downgraded to BBB with 10% probability. The risk free rate is flat at 4%. The credit spreads are flat at 40, 80, and 150 basis points for AA, A, and BBB rated issuers, respectively. All rates are compounded annually.Estimate the expected value of the zero-coupon bond one year from now (for USD 100 face amount). Fixed Income Securities:D 92.59D 95.33D 95.37D 95.42Answer: C5.Assuming the long-term yield on a perpetual note is 5%, compute the dollar valueof a 1 bp. Increase in the yield (DV01) for a perpetual note paying a USD 1,000,000 annual coupon.A.-20,000B.-30,000C.-40,000D.-50,000Answer: C6.Given the following portfolio of bonds:What is the value of the portfolio’s DV01 (Dollar value of 1 basis point)?A.8,019B.8,294C.8,584D.8,813Answer: C7.Assuming other things constant, bonds of equal maturity will still have differentDV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value:A.Premium bonds, par bonds, zero coupon bondsB.Zero coupon bonds, Premium bonds, par bondsC.Premium bonds, zero coupon bonds, par bondsD.Zero coupon bonds, par bonds, Premium bondsAnswer: A8.Which of the following statements about standard fixed rate government bondswith no optionality is TRUE?I.Higher coupon implies shorter duration.II.Higher yield implies shorter duration.III.Longer maturity implies larger convexity.A.I and II onlyB.II and III onlyC.I and III onlyD.I, II, and IIIAnswer: D9.Which of the following is not a property of bond duration?A.For zero-coupon bonds, Macaulay duration of the bond equals its years tomaturity.B.Duration is usually inversely related to the coupon of a bond.C.Duration is usually higher for higher yields to maturity.D.Duration is higher as the number of years to maturity for a bond selling atpar or above increases.Answer: C10.Estimated price changes using only duration tend to:A.Overestimate the increase in price that occurs with a decrease in yield forlarge changes in yield.B.Underestimate the decrease in price that occurs with a increase in yield forlarge changes in yield.C.Overestimate the increase in price that occurs with a decrease in yield forsmall changes in yield.D.Underestimate the increase in price that occurs with a decrease in yield forlarge changes in yield.Answer: D11.A portfolio consists of two positions: One position is long $100M of a two yearbond priced at 101 with a duration of 1.7; the other position is short $50M of a five year bond priced at 99 with a duration of 4.1. What is the duration of the portfolio?A.0.68B.0.61C.-0.68D.-0.61Answer: D12.A zero-coupon bond with a maturity of 10 years has an annual effective yield of10%. What is the closest value for its modified duration?A.9B.10C.100D.Insufficient InformationAnswer: A13.A portfolio manager uses her valuation model to estimate the value of a bondportfolio at USD 125.482 million.The term structure is ing the same model,she estimates that the value of the portfolio would increase to USD 127.723 million if all the interest rates fell by 30bp and would decrease to USD 122.164 million if all the interest rates rose by ing these estimates,the effective duration of the bond is closest to :A. 8.38B. 16.76C. 7.38D. 14.77Answer: C14.A portfolio manager has a bond position worth USD 100 million. The position hasa modified duration of eight years and a convexity of 150 years. Assume that theterm structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points?D -2,046,875D -2,187,500D -1,953,125D -1,906,250Answer: C15.An investment in a callable bond can be analytically decomposed into a:A.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: D16.A European bank exchanges euros for USD, lends them at the U.S. risk-free rate,and simultaneously enters into a forward contract to sell the loan proceeds for euros at loan maturity. If the net effect of these transactions is to earn the risk-free euro rate, it is an example of:A.ArbitrageB.Spot-forward equalityC.Interest rate parityD.The law of one priceAnswer: C17.At the inception of a six-month forward contract on a stock index, the value of theindex was $1,150, the interest rate was 4.4%, and the continuous dividend was1.8%. Three months later, the value of the index is $1,075. Which of the followingstatement is True? The value of the:A.long position is $82.41.B.long position is $47.56.C.short position is $47.56.D.long position is -$82.41.Answer: D18.Assuming the 92-day and 274 day interest rate is 8% (act/360, money market yield)compute the 182-day forward rate starting in 92 days (act/360, money market yield).A.7.8%B.8.0%C.8.2%D.8.4%Answer: B19.The 1-year US dollar interest rate is 3% and the 1-year Canadian dollar interestrate is 4.5%. The current USD/CAD spot exchange rate is 1.5000. Calculate the 1-year forward rate.A. 1.5225B. 1.5218C. 1.5207D. 1.5199Answer: B20.The price of a three-year zero coupon government bond is 85.16. The price of asimilar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4?A. 5.4%B. 5.5%C. 5.8%D. 6.7%Answer: D21.The clearinghouse in a futures contract performs all but which of the followingroles? The clearing house:A.guarantees traders against default from another party.B.splits each trade and acts as a buyer to futures sellers and as a seller tofutures buyers.C.allows traders to reverse their position without having to contract the otherside of the position.D.guarantees the physical delivery of the underlying asset to the buyer offuture contracts.Answer: D22.A weakening of the basis is a consequence of the:A.Spot price increasing faster than the futures price over time.B.Spot price moving according to hyper-arithmetic Brownian motion.C.Futures price increasing faster than the spot price over time.D.Futures price moving according to hyper-arithmetic Brownian motion. Answer: C23.Which of the following statements best describes marking-to-market of a futurescontract? At the:A.End of the day, the maintenance margin is increased for traders who lost anddecreased for traders who gained.B.Conclusion of each trade, the gains or losses from all previous trades in thefutures contract are tallied.C.Maturity of the futures contract, the gains or losses are tallied to the trader’saccount.D.End of the day, the gains or losses are tallied to the trader’s account. Answer: D24.A trader buys one wheat contract (underlying = 5,000 bushels) at a price of $3.05per bushel. The initial margin on the contract is $4,500 and the maintenance margin is $3,750. At what price will the trader receive a maintenance margin call?A.$2.30B.$2.90C.$3.20D.$3.80Answer: B25.The S&P 500 index is trading at 1,025. The S&P 500 pays an expected dividendyield of 1.2% 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: A26.The current spot price of gold is $325/oz and the price of 90-day gold futurescontract (nominal amount of 100 oz) is $315. If 90-day Treasury bills are trading at yields of 3.55% - 3.58% and storage and delivery costs are ignored, what is the potential arbitrage profit per contract?A.$1,266B.$1,286C.$1,334D.$1,344Answer: C27.Which of the following statements describing the role of a convenience yield inpricing 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, and IV onlyD.I and II onlyAnswer: B28.A firm is going to buy 10,000 barrels of West Texas Intermediate Crude Oil. Itplans to hedge the purchase using the Brent Crude Oil futures contract. The correlation between the spot and futures prices is 0.72. The volatility of the spot price is 0.35 per year. The volatility of the Brent Crude Oil futures price is 0.27 per year. What is the hedge ratio for the firm?A. 0.9333B. 0.5554C. 0.8198D. 1.2099Answer: A29.The hedge ratio is the ratio of derivatives to a spot position (or vice versa thatachieves an objective such as minimizing or eliminating risk. Suppose that the standard deviation of quarterly changes in the price of a commodity is 0.57, the standard deviation of quarterly changes in the price of a futures contract on the commodity is 0.85, and the covariance between the two changes is 0.3876. What is the optimal hedge ratio for a 3.-month contract?A.0.1893B.0.2135C.0.2381D.0.2599Answer: D30.Consider an equity portfolio with market value of USD 100M and a beta of 1.5with respect to the S&P 500 Index. The current S&P 500 index level is 1000 and each futures contract is for delivery of USD 250 times the index level. Which of the following strategy will reduce the beta of the equity portfolio to 0.8?A.Long 600 S&P 500 futures contractsB.Short 600 S&P 500 futures contractsC.Long 280 S&P 500 futures contractsD.Short 280 S&P 500 futures contractsAnswer: D31.Corporates normally use FRAs to:A.Lock-in the cost of borrowing in the futureB.Lock-in the cost of lending in the futureC.Hedge future currency exposuresD.Create future currency exposuresAnswer: A32.An investor has entered into a forward rate agreement(FRA) where she hascontracted to pay a fixed rate of 5 percent on $5,000,000 based on the quarterly rate in three months. If interest rates are compounded quarterly, and the floating rate is 2 percent in three months, what is the payoff at the end of the sixth month?The investor will:A.make a payment of $37,500.B.receive a payment of $37,500.C.make a payment of $75,000.D.receive a payment of $75,000.Answer: A33.Consider the following 6x9 FRA ，Assume the buyer of the FRA agrees to acontract rate of 6.35% on a notional amount of 10 million USD ，Calculate the settlement amount of the seller if the settlement rate is 6.85%. Assume a 30/360 day count basis.A.–12,500B.–12,290C.+12,500D.+12,290Answer: B34.XYZ Corporation plans to issue a 10-year bond 6 months from now. XYZ wouldlike to hedge the risk that interest rates might rise significantly over the next 6 months. In order to effect this, the treasurer is contemplating entering into a swap transaction. Under the swap, she should:A.Pay fixed and receive LIBORB.Pay LIBOR and receive fixedC.Either swap (a or b above) will workD.Neither swap (a or b above) will workAnswer: A35.Consider the following plain vanilla swap. Party A pays a fixed rate 8.29% perannum on a semiannual basis (180/360), and receives from Party B LIBOR+30 basis point. The current six-month LIBOR rate is 7.35% per annum. The notional principal is $25M. What is the net swap payment of Party AA.$20,000B.$40,000C.$80,000D.$110,000Answer: C36.A trader executes a $420 million 5-year pay fixed swap（duration 4.433） with oneclient and a $385 million 10year receive fixed swap（duration 7.581） with another client shortly afterwards. Assuming that the 5-year rate is 4.15 % and 10-year rate is 5.38 % and that all contracts are transacted at par, how can the trader hedge his net delta position?A.Buy 4,227 Eurodollar contractsB.Sell 4,227 Eurodollar contractsC.Buy 7,185 Eurodollar contractsD.Sell 7,185 Eurodollar contractsAnswer: B37.Assume an investor with a short position is about to deliver a bond and has fourbonds to choose from which are listed in the following table. The last settlement price is $95.75 (this is the quoted futures price). Determine which bond is the cheapest-to-deliver.Bond Quoted Bond Price Conversion Factor1 99 1.012 125 1.243 103 1.064 115 1.14A. Bond 1B. Bond 2C. Bond 3D. Bond 4Answer: C38.What is the lower pricing bound for a European call option with a strike price of80 and one year until expiration? The price of the underlying asset is 90, and the1-year interest rate is 5% per annum. Assume continuous compounding of interest.A.14.61B.13.90C.10.00D. 5.90Answer: B39.According to Put-Call parity, buying a call option on a stock is equivalent to:A.Writing a put, buying the stock, and selling short bonds (borrowing).B.Writing a put, selling the stock, and buying bonds (lending).C.Buying a put, selling the stock, and buying bonds (lending).D.Buying a put, buying the stock, and selling short bonds (borrowing). Answer: D40.Jeff is an arbitrage trader, and he wants to calculate the implied dividend yield ona stock while looking at the over-the-counter price of a 5-year put and call (bothEuropean-style) on that same stock. He has the following data:• Initial stock price = USD 85• Strike price = USD 90• Continuous risk-free rate = 5%• Underlying stock volatility = unknown• Call price = USD 10• Put price = USD 15What is the continuous implied dividend yield of that stock?A. 2.48%B. 4.69%C. 5.34%D.7.71%Answer: C41.The current price of a stock is ＄55. A put option with ＄50 strike price thatexpires in 3 months is available. If N(d1)=0.8133, N(d2)=0.7779, the underlying stock exhibits an annual standard deviation of 25 percent, and current risk free rates are 3.25 percent, the Black-Scholes value of the put is closet to:A.$0.75B.$1.25C.$1.50D.$5.00Answer: A42.Which of the following is the riskiest form of speculation using options contracts?A.Setting up a spread using call optionsB.Buying put optionsC.Writing naked call optionsD.Writing naked put optionsAnswer: C43.A long position in a put option can be synthetically produced by:A.Long position in the underlying and a short position in a call.B.Short position in the underlying and a long position in a call.C.Long position in the underlying and a long position in a put.D.Short position in the underlying and a short position in a put.Answer: B44.ABEX Corporation common stock is selling for ＄50.00 per share. Both anAmerican call option and a European call option are available on ABEX common, and each have identical strike prices and expiration dates. Which of the following statements concerning these two options is TRUE?A.Because the American and European options have identical terms and arewritten against the same common stock, they will have identical optionpremiums.B.The greater flexibility allowed in exercising the American option willnormally result in a higher market value relative to an otherwise identicalEuropean option.C.The American option will have a higher option premium, because theAmerican security markets are larger than the European markets.D.The European option will normally have a higher option premium because oftheir relative scarcity compared to American options.Answer: B45.Put option values increase as a result of increases in which of the followingfactors?I.V olatilityII.DividendsIII.Stock PriceIV.Time to expirationA.I, II, and IV onlyB.I, III, and IV onlyC.II and IV onlyD.I and III onlyAnswer: A46.Your firm has no prior derivatives trades with its counterparty Super Bank. Yourboss wants you to evaluate some trades she is considering. in particular, she wants to know which of the following trades will increase your firm’s credit risk exposure to Super Bank:I.Buying a put optionII.Selling a put optionIII.Buying a forward contractIV.Selling a forward contractA.I and II onlyB.II and IV onlyC.III and IV onlyD.I, III, and IV onlyAnswer: D47.Which of the following statements about a floor is true?A.floor is a put option and protects against a fall in interest ratesB.floor is a call option and protects against a fall in interest ratesC.floor is a put option and protects against a rise in interest ratesD.floor is a call option and protects against a rise in interest ratesAnswer: A48.You are given the following information about a call option:• Time to maturity = 2 years• Continuous risk-free rate = 4%• Continuous dividend yield = 1%• N(d1) = 0.64Calculate the delta of this option.A.-0.64B.0.36C.0.63D.0.64Answer: C49.Call and put option values are most sensitive to changes in the volatility of theunderlying when:A.both calls and puts are deep in-the-money.B.both puts and calls are deep out-of-the-money.C.calls are deep out-of-the-money and puts are deep in-the-money.D.both calls and puts are at-the-money.Answer: D50.What is the reason for undertaking a Vega hedging? To minimize the:A.Possibility of counterparty default risk.B.Potential loss as a result of a change in the volatility of the underlying sourceof risk.C.Adverse effect due to the government regulation.D.Potential loss as a result of a large movement in the underlying source ofrisk.Answer: B51.Suppose an existing short option position is delta-neutral, but has a gamma of−600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to maintain the position gamma-neutral and delta-neutral, which of the following is the appropriate strategy to implement?A. Buy 400 options and sell 300 shares of the underlying asset.B. Buy 300 options and sell 400 shares of the underlying asset.C. Sell 400 options and buy 300 shares of the underlying asset.D. Sell 300 options and buy 400 shares of the underlying asset.Answer: A52.W hich of the following is not an assumption of the BS options pricing model?A. The price of the underlying moves in a continuous fashionB. The interest rate changes randomly over timeC. The instantaneous variance of the return of the underlying is constantD. Markets are perfect,i.e.short sales are allowed,there are on transaction costs or taxes,andmarkets operate continuously.Answer: B53.If risk is defined as a potential for unexpected loss, which factors contribute to therisk of a short call option position?A.Delta, vega, rhoB.Vega, rhoC.Delta, vega, gamma, rhoD.Delta, vega, gamma, theta, rhoAnswer: C54.If risk is defined as a potential for unexpected loss, which factors contribute to therisk of a long straddle position?A.Delta, vega, rhoB.Vega, rhoC.Delta, vega, gamma, rhoD.Delta, vega, gamma, theta, rhoAnswer: B55.Long a call on a stock and short a call on the same stock with a higher strike priceand same maturity is called:A. A bull spreadB. A bear spreadC. A calendar spreadD. A butterfly spreadAnswer: A56.Consider a bullish spread option strategy of buying one call option with a $30exercise price at a premium of $3 and writing a call option with a $40 exercise price at a premium of $1.50. If the price of the stock increases to $42 at expiration and the option is exercised on the expiration date, the net profit per share at expiration (ignoring transaction costs) will be:A.$8.50B.$9.00C.$9.50D.$12.50Answer: A57.An investor sells a June 2008 call of ABC Limited with a strike price of USD 45for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD40 for USD 5. What is the name of this strategy and the maximum profit and lossthe investor could incur?A.Bear Spread, Maximum Loss USD 2, Maximum Profit USD 3B.Bull Spread, Maximum Loss Unlimited, Maximum Profit USD 3C.Bear Spread, Maximum Loss USD 2, Maximum Profit UnlimitedD.Bull Spread, Maximum Loss USD 2, Maximum Profit USD 3Answer: D58.Which of the following actions would be most profitable when a trader expects asharp rise in interest rates?A.Sell a payer swaption.B.Buy a payer swaption.C.Sell a receiver swaption.D.Buy a receiver swaption.Answer: B59.Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades atUSD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer shouldA.sell 2,602 sharesB.sell 1,493 sharesC.purchase 1,493 sharesD.purchase 2,602 sharesAnswer: D60.A risk manager for bank XYZ, Mark is considering writing a 6 month American put optionon a non-dividend paying stock ABC. The current stock price is USD 50 and the strike price of the option is USD 52. In order to find the no-atbitrage price of the option, Mark uses a two-step binomial tree model. The stock price can go up or down by 20% each period. Mark’s view is that the stock price has an 80% probability of going up each period and a 20% probability of going down. The risk-free rate is 12% per annum with continuous compounding.What is the risk-neutral probability of the stock price going up in a single step?A. 34.5%B. 57.6%C. 65.5%D. 80.0%Answer: B61.Given the following 30 ordered simulated percentage returns of an asset, calculatethe VaR and expected shortfall (both expressed in terms of returns) at a 90% confidence level.-16, -14, -10, -7, -7, -5, -4, -4, -4, -3, -1, -1, 0, 0, 0, 1, 2, 2, 4, 6, 7, 8, 9, 11, 12, 12, 14, 18, 21, 23A.VaR (90%) = 10, Expected shortfall = 14B.VaR (90%) = 10, Expected shortfall = 15C.VaR (90%) = 14, Expected shortfall = 15D.VaR (90%) = 18, Expected shortfall = 22Answer: B62.What is the correct interpretation of a $3 million overnight VaR figure with 99%confidence level?A.The institution can be expected to lose at most $3 million in 1 out of next100 days.B.The institution can be expected to lose at least $3 million in 95 out of next100 days.C.The institution can be expected to lose at least $3million in 1 out of next 100days.D.The institution can be expected to lose at most $6 million in 2 out of next100 days.Answer: C63.In the presence of fat tails in the distribution of returns, VaR based on thedelta-normal method would (for a linear portfolio):A.underestimate the true VaRB.be the same as the true VaRC.overestimate the true VaRD.cannot be determined from the information providedAnswer: A64.Value at risk (VaR) measures should be supplemented by portfolio stress testingbecause:A.VaR does not indicate how large the losses will be beyond the specifiedconfidence level.B.stress testing provides a precise maximum loss level.C.VaR measures are correct only 95% of the time.D.stress testing scenarios incorporate reasonably probable events.Answer: A65.Assume we calculate a one-week VaR for a natural gas position by rescaling thedaily VaR using the square-root rule. Let us now assume that we determine the “true” gas price process to be mean reverting and recalculate the VaR. Which of the following statements is true?A.The recalculated VaR will be less than the original VaRB.The recalculated VaR will be equal to the original VaRC.The recalculated VaR will be greater than the original VaRD.There is no necessary relation between the recalculated VaR and the originalVaRAnswer: A66.If a portfolio with a VaR of 200 is combined with a portfolio with a VaR of 500,the VaR of the combination could be:I.Less than 200.II.Less than 500.III.More than 200.IV.More than 500.A.I and IIB.III and IVC.I, II and IVD.II, III and IVAnswer: D67.Consider the following portfolio consisting only of stock Alpha. Stock Alpha has amarket value of $635,000 and an annualized volatility of 28%. Calculate the VaR assuming normally distributed returns with a 99% confidence interval for a 10-day holding period and 252 business days in a year. The daily expected return is assumed to be zero.A.$56,225B.$69,420C.$82,525D.$96,375Answer: C68.Babson Bank is interested in knowing the risk exposure of their assets for variousprobabilities and time horizons. Babson has estimated that the annual variance (based on a 250 day year) of their $638 million asset portfolio is 151.29. If Z1%, Z5%, Z10%, are 2.32, 1.65, and 1.28, respectively, which of the following statements is false? The maximum dollar loss that can be expected to be exceeded:A.5% of the time in any six month period is $64.74 millionB.1% of the time on any given day is $11.51 millionC.10% of the time in any given quarter is $50.22 millionD.1% of the time in any given week is $25.25 millionAnswer: A69.The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR usinga 10-day horizon is:D 316 million if returns are not independently and identically distributedD 316 million if returns are independently and identically distributedD 100 million since VaR does not depend on any day horizonD 31.6 million irrespective of any other factorsAnswer: B70.If stock returns are independently, identically, normally distribution and the annualvolatility is 30%, then the daily VaR at the 99% confidence level of a stock market portfolio is approximately。

FRM一级模考

FRM一级模拟题1. You sample 25 observations from a sample of unknown variance. You calculate a sample mean of 70 and sample standard deviation of 60. You wish to conduct a two-tailed test of the null hypothesis that the mean is equal to 50. The most appropriate test statistic is a:a. z-statistic of 1.67.b. z-statistic of 0.33.c. t-statistic of 0.33 with 24 degrees of freedom.d. t-statistic of 1.67 with 24 degrees of freedom.2. Consider the expected returns and standard deviations for the following portfolios:If these are the only portfolios available, which portfolios are not efficient?a. 2 and 5.b. l and 3.c. 2 and 3.d. 3 and 5.3. For futures contracts, which of the following would not result in a backwardation market, all else equal?a. The dividend yield.b. The coupon rate.c. The storage costs.d. The conveniennce yield.4. You have derived the following spot rare curve and forward from the prices of Treasury STRIPS:Using the information in the table, the 6-month forward rate on an investment that matures in 2.0 years is closest to:a. 3.40%.b. 3.70%.c. 3.78%.d. 4.18%.5. An options portfolio manager is going on vacation and does not plan to return until the day the options are set to expire. The portfolio manager gives his assistant instructions on four of the long option positions in his portfolio (all options have the same expiration date). Which of the following pairs of options and instructions is(are) correct?I. At-the-money American call option with a strike of $50 on a stock that does not pay a dividend; exercise if the stock price doubles.II. At-the-money American put option with a strike of $25 on a stock currently selling for $50 that does not pay a dividend; exercise the option if the stock price falls by more than 80%.III. Deep-in-the-money European call option with a strike price of $30 and a current stock price of $50; exercise immediately.IV. Deep-in-the-money American call option with a strike price of $100 where the stock has a dividend that exceeds the risk-free rate by 4%; exercise on the ex-dividend date.a. I and II.b. II and III.c. I and IV.d. II only.。

FRM一级每日一练

FRM一级每日一练1、Consid er a convertible bond that is trading at a conversion premium of 20 percent. If the value of the underlying stock rises by 25 percent, the value of the bond will:A.Rise by less than 25%.B.Rise by 25%.C.Rise by more than 25%.D.Remain unchanged.Correct answer: A解析：The convertible bond implicitly gives bondhol d ers a call option on the und erlying stock. The delta of this option will vary between 0 (when the option is extremely out of t e money) and 1 (when the option is extremely in the money). In this case, the bond is trading at a conversion premium of 20% so the delta must be somewhere between zero and one, and hence the price of the convertible bond will rise by less than the price of the und erlying stock.2、If a cash fl ow of $10,000 in two years’ time has a PV of $8,455, the annual percentage rate, assuming continuous compounding is CLOSEST to:A. 8.13%.B. 8.39%.C. 8.75%.D. 8.95%.Correct answer: B解析：Continuously compounded rate = In (FV/PV)/N = In (10000/8455)/ 2 =8.39%.3、The current values of a firm's assets and liabilities are 200 million and 160 million respectively. If the asset values are expected to grow by 40 million and liability values by 30 million within a year and if the annual standard deviation of these values is 50 million, the distance from default in the KMV model woul d be closest to:A. 0.8 standard deviations.B. 1.0 standard deviations.C. 1.2 standard deviations.D. Cannot not be determined.Correct answer: B解析：Distance from d efault = (Expected value of assets - Expected value of liabilities) / Standard deviation = (240 ~ 90)/ 50 = 1.0.4、What is the semiannual-pay bond equivalent yield on an annual-pay bond with a yiel d to maturity of 12.51 percent?A. 12.00%.B. 11.49%.C. 12.51%.D. 12.14%.Correct answer: D解析：The semiannual-pay bond equival ent yield of an annual-pay bond = 2 * [(1 + yield to maturity on the annual-pay bond) 0.5 - 1] = 12.14%.5、You want to test at the 0.05 l evel of significance that the mean price of luxury cars is greater than $80,000. A rand om sampl e of 50 cars has a mean price of $88,000. The population standard deviation is $15,000. What is the alternative hypothesis?A. The population mean is greater than or equal to $80,000.B. The population mean is l ess than $80,000.C. The population mean is not equal to $80,000.D. The population mean is greater than is $80,000.Correct answer: D解析：The alternate hypothesis is the statement which will be accepted if the null hypothesis is proven wrong. Therefore, we make whatever we are trying to test as the alternate hypothesis - in this case that the mean price of luxury cars is greater than $80,000, and the null hypothesis as the opposite ( the mean price of luxury cars is less than or equal to $80, 000). This probl em is a common example of how statisticians establish hypotheses by proving that the opposite (i.e. the null hypothesis) is false.6、Suppose that Gene owns a perpetuity, issued by an insurance company that pays $1,250 at the end of each year. The insurance company now wishes to replace it with a decreasing perpetuity of $1,500 decreasing at 1% p.a. without any change in the payment dates. At what rate of interest (assuming a flat yiel d curve) woul d Genebe indifferent between the choices?A. 4%.B. 5%.C. 6%.D. 9%.Correct answer: B解析：1,250 / r = 1,500 / (r + 1%) or, 1,250 x (r + 1 %) = 1,500 x r or, r = 12.5 / (1, 500 - 1,250) = 5%.7、Which of the foll owing is considered to be the responsibility of the legal risk manager?I. Inad equate d ocumentation of OTC d erivatives transactions.II. The enforceability of netting agreements in bankruptcy.III. Default on interest and principal payments.A.I only.B.II only.C.I and II only.D.I,II, and IIICorrect answer: D解析：Legal risk management is concerned with adequate documentation, public filings, compliance with regulatory entities, and some borrower impositions. The l egal manager is also involved in deciding if default has occurred and, of so, assisting with the enforcement of netting agreements.8、An analyst has constructed the foll owing t-test for a portfolio of financial securities whose returns are normally distributed:Number of securities = 40.HO: Mean return >=18 percent.Significance level = 0.1.What is the rejection point for this test?A. 1.304B. 1.684C. 2.021D. 2.023Correct answer: A解析：This is a one-tailed test with 39 degrees of freed om and significance l evel of 0.1. Looking up the Student's - distribution for DF = 39 and p = 0.1, we get the critical value or 1.304.9、Consid er an A-rated institution that funds itself in the wholesale market at LIBOR + 90bps. Which of the foll owing is the most attractive instrument for this firm to take exposure to an AAA – corporate issuer?A. Credit swap.B. Floating rate note.C. Credit-linked note.D. Fixed coupon bond.Correct answer: A解析：This firm has a fairly high funding cost. Funding itself at 90 bps over LIBOR and leading to AAA names at around LIBOR is a l oss making strategy, which rul es out the notes and the bond, The only way this firm can make money is by selling credit protection via a credit swap that does not require it to make a physical investment,10、Which of the foll owing statements about the Treynor ratio is correct?A. the Teynor ratio consid ers both systematic and unsystematic risk of a portfolio.B. the Teynor ratio is equal to the excess return of a portfolio over the risk - free rate divided by the total risk of the portfolio.C. the Teynor ratio can be used to appraise the performance of well - diversified portfolio.D. the Teynor ratio is derived from portfolio theory since it assesses a portfolio’s excess return relative to its risk.Correct answer: CA is incorrect - Treynor ratio consid ers only systematic risk of a well - diversified portfolio.B is incorrect - Treynor ratio denominator is beta of the portfolio.C is correct - this statement is correctD is correct - Treynor ratio is derived from CAPM and not portfolio theory.参与FRM的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM 考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。

FRM一级模考

FRM一级模拟题1 . A trader buys a 7-year FRN, which pays interest rate linked to annual LIBOR. Ifthe next LIBOR reset is one month away its duration will be closest to:A. 1 monthB. 1 yearC. 6yearsD. 7yearsAnswer: AThe duration of an FRN is close to the period remaining to the next LIBOR reset.2 . As the maturity of a bond rises, its price sensitivity:A. fallsB. risesC. stays constantD. rises or falls depending on the relative level of couponAnswer: BAs the maturity of the bond rises, its duration gets longer and therefore its price sensitivity increases.3 . As the coupon rate of a plain coupon bond is increased, its duration:A. decreasesB. increases up to a point and then decreasesC. increases up to a point and then stays constantD. increases indefinitelyAnswer: AAs the coupon rate of a plain coupon bond is increased, its duration gradually falls to the level of an annuity (an annuity is effectively a coupon bond with an infinite coupon rate).4 . An 8-year 5% coupon bond with at par value of 100 is currently trading at a price of 94.65. The price of this bond rises t0 96.35 when interest rates fall by 30 basis points and falls t0 92.75 when interest rates rise by 30. The effective duration of this bond is closest to:A. 5.99B. 6.34C. 6.69D. 7.045 . Which of the following is not a criticism of duration as a risk measure?A. Duration is not an additive measure of risk.C. Duration fails to account for differing volatilities associated with differing maturities.D .All of the aboveAnswer: ADuration is indeed an additive measure and this is a strong point in its favor for qualifying as a risk measure. B&C are the shortcomings of a duration measure.。

FRM一级模拟题(3)

FRM一级模拟题（3）1、Currently, shares of ABC Corp. trade at $100. The probability of the price increasing by $10 is 30% and the probability of the price decreasing by $10 is 70%. What is the mean and standard d eviation of the price after two days?A.Mean: 70; standard d eviation: 11.3B.Mean: 70; standard d eviation: 12.9C.Mean: 92; standard d eviation: 11.3D.Mean: 92; standard d eviation: 12.92、Which of the foll owing statements about stress testing are true?(1). Stress testing can complement VaR estimation in helping risk managers identify crucial vulnerabilities in a portfolio.(2). Stress testing all ows users to include scenarios that did not occur in the l ookback horizon of the VaR data but are nonetheless possibl e.(3). A drawback of stress testing is that it is highly subjective.(4). The inclusion of a large number of scenarios helps management better und erstand the risk exposure of a portfolio.A. 1 and 2 only.B. 3 and 4 only.C.1, 2, and 3 only.D.1, 2, and 3 only.3、Unexpected loss (UL) represents the standard deviation of losses, and expected l oss (EL) represents the average losses over the same time horizon. Further d efine LGD as l oss given default, and EDF as expected default frequency. Which of the foll owing statements hold(s) true?(1). EL increases linearly with increasing EDF.(2). EL is often higher than UL.(3). With increasing EDF, UL increases at a much faster rate than EL.(4). The l ower the LGD, the higher the percentage l oss for both the EL and UL.A. 1 onlyB. 1 and 2C. 1 and 3D. 2 and 44、There are many reasons why risk management increases sharehol der wealth. Which of the foll owing risk management policies is least likely to increase sharehol der wealth?A.Hedging strategies to l ower probability of financial distress and bankruptcy.B.Risk management policies designed to reduce the probability of debt overhang.C.Well-d esigned compensation structure for managers that sets incentives for managers to take appropriaterisks.D.Risk management policies designed to eliminate projects with high volatility.5、Over the past year, the HIR Fund had a return of 7.8%, whil e its benchmark—the S&P 500 Index—had a return of 7.2%. Over this period, the fund's volatility was 11.3%, while the S&P 500 Ind ex volatility was 10.7% and the fund's tracking error was 1.25%. Assume a risk-free rate of 3%. What is the information ratio for the HIR Fund and for how many years must this performance persist to be statistically significant at a 95% confidence l evel?A.0.480 and approximately 16.7 yearsB.0.425 and approximately 21.3 yearsC. 3.840 and approximately 0.2 yearsD. 1.200 and approximately 1.9 years6、The Liberty Fund, an actively managed mutual fund, uses the S&P 500 Index as its benchmark. The foll owing tabl e shows the returns of the fund and the benchmark over the past three years.Year Liberty Fund S&P 5002005 5.4% 4.9%2006 16.7% 15.8%2007 6.4% 5.5%Calculate the cumulative active return over this three-year period.A. 2.30%B. 2.31%C. 2.32%D. 2.72%7、Portfolio Q has a beta of 0.7, an expected return of 12.8%, and an equity risk premium of 5.25%. The risk-free rate is 4.85%. Cal culate Jensen's alpha measure for Portfolio Q.A.7.67%B. 2.70%C. 5.73%D. 4.27%8、A bank entered into a 3-year interest rate swap for a notional amount of USD 250 million, paying a fixed rate of 7.5% and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded 1-year and 2-year LIBOR rates are 8% and 8.5%, respectively. The value of the swap at that time is cl osest to:D 14 millionD –6 millionD –14 millionD 6 million9、Which of the foll owing statements regarding Metallgesellschaft's failure is incorrect?A.The futures and swap positions Metallgesellschaft entered into introduced significant credit risk for thecompany.B.An oil market move from a state of contango to normal backwardation and margin calls created a majorcash crunch for Metallgesellschaft.C.Metallgesellschaft engaged in a stack-and-roll hedge, and as spot prices began to d ecrease more thanfutures prices, roll over losses could not be recovered.D.Because of the size of its position in heating and gasoline oil futures, Metallgesellschaft was exposed tomarket liquidity risk and had difficulty liquidating its position.10、The foll owing table from Fitch Ratings shows the number of rated issuers migrating between two ratings categories during one year. Based on this information, what is the probability that an issue with a rating of A at the beginning of the year will be d owngrad ed by the end of the year?Year 0 Rating Year 1 RatingAAA AA A BBB Default Total AAA 45 4 2 0 0 51 AA 3 30 4 3 2 42A 2 5 40 2 3 52 BBB 0 1 2 30 1 34 Default 0 0 0 0 0 0A.13.46%B.13.44%C.9.62%D. 3.85%Answer and Explanation:1、Mean = 9% (120) + 42% (100) + 49% (80) = 92Variance = 9% (120 – 92)2 + 42% (100 – 92)2 + 49% (92 – 80)2 = 168Standard deviation = 12.9The other answer reverses the probabilities.2、Statement 4 is incorrect—using too many scenarios gives a lot of unfiltered information and can hind er management's ability to understand the risk exposure.3、Over the same fixed horizon, we have the foll owing equations:EL = AE × LGD × EDFUL = AE×AE – adjusted exposure at d efault1 is correct. EL increases linearly with increasing EDF.2 is incorrect. EL is often l ower than UL(EL < UL).3 is correct. UL increases much faster than EL with increasing EDF.4 is incorrect. The l ower the LGD (the higher the recovery rate), the l ower the percentage loss for both EL and UL.4、The first three are examples of where risk management can increase firm value. The last one is invalid because reducing volatility per se could just eliminate projects with extremely high payoffs.5、Information ratio = (Return(portfolio) – Return(benchmark))/Tracking error = (0.078 – 0.072) / 0.0125 = 0.48. This is all the candidate really needs to get the right answer.If we wish the result to be statistically significant at the 95% l evel, then we need the t-statistic to be within the 95% confid ence level, which is 1.96 at 95% (here we are looking at both tails so we take the inverse normal function at 0.975). If we let T be the length of the period, then T = (t-statistics/IR)2 = (1.96/0.48)2 = 16.7 years.(A) Correct.(B) Incorrect. 0.425 is the Sharpe ratio, and 21.3 = (1.96/0.425)2.(C) Incorrect. 3.84 = (0.078 – 0.03)/0.125, and 0.2 = (1.645/3.84)2.(D) Incorrect. 1.2 = (0.078 – 0.072)/(0.113 – 0.107), and 0.2 = (1.645/1.2)2.6、Cumulative return of Liberty Fund = (1.054) * (1.167) * (1.064) – 1 = 30.87%Cumulative return of S&P 500 = (1.049) * (1.158) * (1.055) – 1 = 28.16%Cumulative active return = 30.87 – 28.16 = 2.72%(A) Incorrect. Uses the sum of the differences.(B) Incorrect. Uses the difference of the average annualized returns: (1 + 1.3087 ^ (1/3) – 1.2816 ^ (1/3)) ^ 3 – 1 = 2.31%.(C) Incorrect. Uses the cumulative differences: (1 + (5.4% – 4.9%)) * (1 + (16.7% – 15.8%)) * (1 + (6.4% –5.5%)) – 1 = 2.32%.(D) Correct.7、Jensen's alpha is defined by:E(RP ) - RF = aP + bP(E(RM) - RF)a P = E(RP ) - RF –b P(E(RM) - RF)= 0.128 – 0.0485 – 0.7 * (0.0525 + 0.0485 – 0.0485)= 0.0427(A) Incorrect. Forgets to subtract the risk-free rate for the excess market return.(B) Incorrect. Forgets to multiply the excess market return by beta.(C) Incorrect. Forgets to subtract the risk-free rate for both the excess market return and the excess portfolio return.(D) Correct.8、Fixed rate coupon = USD 250 million x 7.5% = USD 18.75 millionValue of the fixed payment = Bfix = 18.75e(–0.08) + 268.75e(–0.085 * 2) = USD 244.04 millionValue of the floating payment = Bfloating= USD 250 million. Since the payment has just been made, the value of the fl oating rate is equal to the notional amount.Value of the swap = Bfloating – Bfix = USD 250 – USD 244 = USD 6 million(A) is incorrect. Forgets the tenor of the second-year payment.(B) is incorrect. Cal culates Bfix – Bfloating.(C) is incorrect.(D) is correct.9、The answer is (B), since statement (B) is incorrect. An oil market move from a state of normal backwardation to contango and margin calls created a major cash crunch for Metallgesellschaft.10、Total number of A-rated issuances = 52Probability of A-rated issues to be d owngraded to BBB (P1) = 2/52 = 0.0385Probability of A-rated issues to be d owngraded to Default (P2) = 3/52 = 0.0577Probability of A-rated issues to be d owngraded in one year = P1 + P2 = 0.0962 = 9.62%Thus (C) is the correct answer. All other options are wrong.(A) is the number of upgrades from an A rating: (2 + 5)/52 = 13.46%.(B) is the number of d owngrad es to an A rating: 2/51 + 4/42 = 3.92% + 9.52% = 13.44%.(D) is the number of d owngrad es to BBB: 2/52 = 3.85%.参与FRM的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM 考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。

FRM一级模考

FRM一级模拟题1 . The cap/floor parity can be stated as:A. short cap + Long floor = Fixed rate bondB. long cap + Short floor = Fixed swapC. long cap + Short floor = Floating rate bondD. short cap + Short floor = Interest rate collarAnswer: BThe combination of a long cap and a short floor is equivalent to a fixed rate swap.1f interest rates rise, the holder will receive compensation from the long cap. If interest rates drop, he will pay compensation to the holder of the floor.2 . Which of the following statements about a floor is true?A. floor is a put option and protects against a fall in interest ratesB. floor is a call option and protects against a fall in interest ratesC. floor is a put option and protects against a rise in interest ratesD. floor is a call option and protects against a rise in interest ratesAnswer: AA floor is a put option. A floor is in-the-money when the reference rate falls below a strike rate3 . If the current USD/AUD rate is 0.6650 (1 AUD=0.6650USD) and the risk-free rates for the USD and AUD are l.0% and 4.5% respectively, what is the lower bound of a 5-month European put option on the AUD with a strike price of 0.6880?A. 0.0135B. 0.0245C. 0.0325D. 0.0455Answer: CThe lower bound for a European put option is given by the formula:4 . A firm that has only fixed rate liabilities can protect itself from high interest rates byA. Buying a capB. Buying a floorC. Receiving on a swapD. None of the aboveAnswer: DWith fixed rate liabilities the firm has nothing to fear from rising rates.5 . An interest rate collar can be structured by:A. Buying an interest rate cap and selling an interest rate floorB. Buying an interest rate cap and buying an interest rate floorC. Selling an interest rate cap and selling an interest rate floorD. Selling an interest rate cap and buying an interest rate floorAnswer: AThe structure of an interest rate collar involves buying an interest rate cap and financing the purchase by selling an interest rate floor.。

202011月frm一级考试答案

202011月frm一级考试答案1. Which of the following is NOT a characteristic of a financial market?A. LiquidityB. EfficiencyC. VolatilityD. PredictabilityAnswer: D2. What is the primary goal of risk management in financial institutions?A. Maximizing returnsB. Minimizing riskC. Ensuring regulatory complianceD. Enhancing customer satisfactionAnswer: B3. In the context of financial risk management, what does VaR stand for?A. Value at RiskB. Volatility at RiskC. Variance at RiskD. Venture at RiskAnswer: A4. What is the main difference between market risk and credit risk?A. Market risk is related to changes in market prices, while credit risk is related to changes in credit spreads.B. Market risk is related to changes in credit spreads, while credit risk is related to changes in market prices.C. Market risk is related to changes in interest rates, while credit risk is related to changes in market prices.D. Market risk is related to changes in market prices, while credit risk is related to changes in interest rates.Answer: A5. Which of the following is NOT a common type of derivative used in risk management?A. OptionsB. FuturesC. SwapsD. Mutual fundsAnswer: D6. What is the purpose of stress testing in risk management?A. To estimate the potential loss in value of a portfolio under normal market conditionsB. To estimate the potential loss in value of a portfolio under extreme but plausible market conditionsC. To estimate the potential gain in value of a portfolio under normal market conditionsD. To estimate the potential gain in value of a portfolio under extreme but plausible market conditionsAnswer: B7. What is the primary objective of the Basel Accords?A. To regulate the banking industry to ensure its stabilityB. To promote international trade and investmentC. To standardize accounting practices across different countriesD. To facilitate the exchange of financial information between countriesAnswer: A8. Which of the following is NOT a component of operational risk?A. People riskB. Process riskC. Technology riskD. Market riskAnswer: D9. What is the role of a risk manager in an organization?A. To identify and assess potential risksB. To generate profits by taking on more riskC. To ignore risks that are deemed too smallD. To ensure that all risks are completely eliminatedAnswer: A10. What is the significance of diversification in riskmanagement?A. It increases the overall risk of a portfolioB. It reduces the overall risk of a portfolio by spreading it across different assetsC. It guarantees a positive return on investmentD. It has no impact on the risk of a portfolioAnswer: B结束语：以上是202011月FRM一级考试的部分答案，希望对参加考试的同学们有所帮助。

FRM一级模拟题(三)

FRM一级模拟题1．An analyst gathered the following information about the return distributions for two portfolios during the same time period:The analyst states that the distribution for Portfolio A is more peaked than a normal distribution and that the distribution for Portfolio B has a long tail on the left side of the distribution, Which of the following is correct?A. The analyst's assessment is correct.B. The analyst's assessment is correct for Portfolio A and incorrect for portfolio B.C. The analyst's assessment is incorrect for Portfolio A but is correct for portfolio BD. The analyst is incorrect in his assessment for both portfolios.Answer: dExplanation: The analyst's statement is incorrect in reference to either portfolio. Portfolio A has a kurtosis of less than 3, indicating that it is less peaked than a normal distribution (platykurtic). Portfolio B is positively skewed (long tail on the right side of the distribution).Common text for questions 7 and 8:A risk manager for Bank XYZ, Mark, is considering writing a 6-month American put option on anon-dividend-paying stock ABC. The current stock price is USD 50 and the strike price of the option is USD 52. In order to find the no-arbitrage price of the option Mark uses a two-step binomial tree model. The stock price can go up or down by 20% each period. Mark's view is that the stock price has an 80% probability of going up each period and a 20% probability of going down .The annual risk-free rate is 120h with continuous compounding2. What is the risk-neutral probability of the stock price going up in a single step?a. 34.5%。

frm一级2020年考试答案

frm一级2020年考试答案1. 根据FRM一级2020年的考试内容，以下哪项不是风险管理的核心原则？A. 识别风险B. 评估风险C. 接受风险D. 转移风险答案：C2. 在FRM一级考试中，关于市场风险的描述，以下哪项是错误的？A. 市场风险包括股票和债券价格的波动B. 市场风险可以通过分散化投资来降低C. 市场风险是不可避免的D. 市场风险仅包括利率风险答案：D3. 在FRM一级考试中，关于信用风险的以下说法，哪项是正确的？A. 信用风险仅与企业债券相关B. 信用风险可以通过信用衍生品来对冲C. 信用风险与个人信用无关D. 信用风险是银行面临的最大风险答案：B4. 在FRM一级考试中，关于操作风险的以下说法，哪项是错误的？A. 操作风险包括欺诈行为B. 操作风险可以通过内部控制来降低C. 操作风险与市场风险无关D. 操作风险可以通过购买保险来转移答案：C5. 在FRM一级考试中，关于流动性风险的以下说法，哪项是正确的？A. 流动性风险仅与银行有关B. 流动性风险是指资产无法在不显著影响其价格的情况下迅速出售的风险C. 流动性风险可以通过持有大量现金来消除D. 流动性风险与市场流动性无关答案：B6. 在FRM一级考试中，关于风险价值（VaR）的以下说法，哪项是错误的？A. VaR是一种风险度量工具B. VaR可以预测极端市场条件下的潜在损失C. VaR通常用于市场风险的度量D. VaR不能用于信用风险的度量答案：D7. 在FRM一级考试中，关于压力测试的以下说法，哪项是正确的？A. 压力测试是一种定性风险评估方法B. 压力测试用于评估极端市场条件下的风险暴露C. 压力测试不能提供风险的量化度量D. 压力测试与情景分析无关答案：B8. 在FRM一级考试中，关于资本充足性的以下说法，哪项是错误的？A. 资本充足性是指银行持有足够的资本以吸收潜在损失B. 资本充足性可以通过提高资本比率来增强C. 资本充足性与银行的信用评级无关D. 资本充足性是银行稳健经营的重要指标答案：C结束语：以上是FRM一级2020年考试的部分答案，希望对准备考试的同学有所帮助。

1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。

FRM一级练习题（3）1、For a sample of the past 30 monthly stock returns for McCreary, Inc., the mean return is 4% and the sample standard deviation is 20%. Since the population variance is unknown, the standard error of the sample is estimated to be:S_X=(20%)/√30=3.65%The related t-table values are (ti,j denotes the (100-j)th percentile of t-distribution value with i degrees of freedom):t29,2.5=2.045t29,5.0=1.699t30,2.5=2.042t29,5.0=1.697A. [-3.453%, 11.453%]B. [-2.201%, 10.201%]C. [-2.194%, 10.194%]D. [-3.464%, 11.464%]2、Which of the following statements is incorrect regarding the volatility term structure predicted by a GARCH (1,1) model:σt2=ω+αu t−12+βt−12,where α+β<1?A. When the current volatility estimate is below the long-run average volatility, the GARCH (1, 1) model estimates an upward-sloping volatility term structure.B. When the current volatility estimate is above the long-run average volatility, the GARCH (1, 1) model estimates a downward-sloping volatility term structure.C. Assuming the long-run estimated variance remains unchanged, as the GARCH (1, 1) parameters αand βincrease, the volatility term structure predicted by the GARCH (1, 1) model reverts to the long-run estimated variance more slowly.D. Assuming the long-run estimated variance remains unchanged, as the parameters αand βincrease, the volatility term structure predicted by the GARCH (1, 1) model reverts to the long-run estimated variance faster.3、On November 1, Jimmy Walton, a fund manager of an USD 60 million U.S. medium- to large-cap equity portfolio, considers locking up the profit from the recent rally. The S&P 500 index and its futures with the multiplier of 250 are trading at 900 and 910, respectively. Instead of selling off his holdings, he would ratherhedge two-thirds of his market exposure over the remaining two months. Given that the correlation between Jimmy's portfolio and the S&P 500 index futures is 0.89 and the volatilities of the equity fund and the futures are 0.51 and 0.48 per year, respectively, what position should he take to achieve his objective?A. Sell 250 futures contracts of the S&PB. Sell 169 futures contracts of the S&P 500.C. Sell 167 futures contracts of the S&PD. Sell 148 futures contracts of the S&P 500.4、On the over-the-counter (OTC) market there are two options available on Microsoft stock: a European put with a premium of USD 2.25 and an American call option with a premium of USD 0.46. Both options have a strike price of USD 24 and an expiration date three months from now. Microsoft's stock price is currently at USD 22 and no dividend is due during the next six months. Assuming that there is no arbitrage opportunity, which of these values is the closest to the level of risk free rate?A. 0.25%B. 3.52%C. 1.76%D. Cannot be determined, as one of the two options is an American option.5、According to an in-house research report, it is expected that USDJPY (quoted as JPY/USD) will trade near 97 at the end of March. Frankie Shiller, the investment director of a house fund, decides to use an option strategy to capture this investment opportunity. The current level of the USDJPY exchange rate is 97 on February 28. Accordingly, which of the following strategies would be the most appropriate for the largest profit while the potential loss is limited?A. Long a call option on USDJPY and long a put option on USDJPY with the same strike price of USDJPY 97 and expiration date.B. Long a call option on USDJPY with strike price of USDJPY 97 and short a call option on USDJPY with strike price of USDJPY 99 and the same expiration date.C. Short a call option on USDJPY and long a put option on USDJPY with the same strike price of USDJPY 97 and expiration date.D. Long a call option with strike price of USDJPY 96, long a call option with strike price of USDJPY 98, and sell two call options with strike price of USDJPY 97, all of them with the same expiration date.6、The price of a European call option at a strike of 120 is at 5, whereas a European put at the same strike is quoted at a price of 25, while the spot price is at 100. A box spread with strikes at 120 and 150 is quoted at aprice of 20. All calls and puts, including the ones used in creating the box spread, have the same expiration date. What strategy exploits an arbitrage opportunity, if any?A. Short one put, short one unit of spot, buy one call, and buy six units of box spread.B. Buy one put, short one unit of spot, short one call, and buy four units of box spread.C. Buy one put, buy one unit of spot, short one call, and short six units of box spread.D. There are no arbitrage opportunities.7、The yield curve is upward sloping. You have a short T-bond interest rate futures position. The following bonds are eligible for delivery:Bonds Spot Price Conversion Factor Coupon RateA 102 14320.98 4%B 1061932 1.03 5%C 9812320.95 3%The futures price is 10317/32 and the maturity date of the contract is September 1. The bonds pay their coupon amount semiannually on June 30 and December 31. With these data, the cheapest-to-deliver bond is:A. Bond AB. Bond BC. Bond CD. Insufficient information8、Which of the following statement(s) is/are true with respect to basis risk?1. Basis risk arises in cross-hedging strategies but there is no basis risk when the underlying asset and hedge asset are identical.2. Short hedge position benefits from unexpected strengthening of basis.3. Long hedge position benefits from unexpected strengthening of basis.A. 1 and 2B. 1 and 3C. 2 onlyD. 3 only9、A company has raised a five-year loan of JPY 1 billion at LIBOR to take advantage of lower interest rates. The loan is hedged through an OTC cross-currency swap with a market maker. They have hedged the principal by selling USD against JPY @ 100 and hedged the interest payments by paying a fixed USD interest rate of 3.5%and receiving JPY LIBOR. Which of the following holds true about the value of the swap?A. If the USD five-year rate rises to 4% and USD-JPY rate remains constant, the value of the swap decreases.B. If the USD five-year rate remains constant while USD-JPY rate rises to 105, the value of the swap is unchanged.C. If the USD five-year rate falls to 3% while USD-JPY rate remains constant, the value of the swap increases.D. If the USD five-year rate falls to 3% while USD-JPY rate rises to 105, the value of the swap decreases.10、The first step in country risk analysis (CRA) is to pick a set of variables that may be important in explaining rescheduling probabilities. Among the variables listed here, which one is most likely to be negatively related to the probability of rescheduling?A. Debt service ratio (DSR)B. Import ratio (IR)C. Investment ratio (INVR)D. Variance of export revenue (VAREX)参与FRM的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM 考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。

FRM一级练习题(3)