최신 2016-FRR 무료덤프 - GARP Financial Risk and Regulation (FRR) Series
Which one of the four following statements about drawdowns is correct?
정답: B
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James Arthur is a customer of a bank who has taken a floating rate loan from the bank. He is concerned that the rates may rise in the future increasing his payment amount. Which of the following instruments should he buy to hedge against the rise in interest rates?
정답: A
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Which one of the following four parameters is NOT a required input in the Black-Scholes model to price a foreign exchange option?
정답: D
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Which of the following statements about parametric and nonparametric methods for calculating Value-at-risk is correct?
정답: D
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A corporate bond gives a yield of 6%. A same maturity government bond yields 2%. The probability of the corporate bond defaulting is 2.5%. In case of default, investors expect to lose 60% of their investment. The risk premium in the credit spread is:
정답: C
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Which one of the following four examples would not be considered a typical source of market risk?
정답: D
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Which one of the following statements about futures contracts is correct?
I). Futures contracts are subject to the same risks as the underlying instruments.
II). Futures contracts have additional interest rate risk die to the future delivery date.
III). Futures contracts traded in a clearinghouse system are exposed to credit risk with numerous counterparties.
I). Futures contracts are subject to the same risks as the underlying instruments.
II). Futures contracts have additional interest rate risk die to the future delivery date.
III). Futures contracts traded in a clearinghouse system are exposed to credit risk with numerous counterparties.
정답: B
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10 basis points are equal to:
정답: C
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Which of the following statements about the option gamma is correct? Gamma is the
I. Second derivative of the option value with respect to the volatility.
II. Percentage change in option value per percentage change in the price of the underlying instrument.
III. Second derivative of the value function with respect to the price of the underlying instrument.
IV. Rate of change of the option delta with respect to changes in the underlying price.
I. Second derivative of the option value with respect to the volatility.
II. Percentage change in option value per percentage change in the price of the underlying instrument.
III. Second derivative of the value function with respect to the price of the underlying instrument.
IV. Rate of change of the option delta with respect to changes in the underlying price.
정답: C
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The potential failure of a manufacturer to honor a warranty might be called ____, whereas the potential failure of a borrower to fulfill its payment requirements, which include both the repayment of the amount borrowed, the principal and the contractual interest payments, would be called ___.
정답: A
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A bank has a large number of auto loans and would prefer to sell them to raise cash for more funding.
However, selling individual auto loans is difficult. What could the bank do?
However, selling individual auto loans is difficult. What could the bank do?
정답: C
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PV01 is a method of describing interest rate risk. Which one of the following is a specific weakness of PV01?
정답: A
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The Basel II Accord's operational risk definition excludes all of the following items EXCEPT:
정답: B
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Which one of the four following non-statistical risk measures are typically not used to quantify market risk?
정답: C
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A customer of EtaBank, Alfred Fall, fell on the marble floors of the bank and sustained substantial injuries.
Subsequently, he won a personal injury claim of $50,000 against EtaBank. How should EtaBank's operational loss data event information database categorize this event?
Subsequently, he won a personal injury claim of $50,000 against EtaBank. How should EtaBank's operational loss data event information database categorize this event?
정답: C
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Which one of the following four formulas correctly identifies the expected loss for all credit instruments?
정답: C
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