2016-FRR無料問題集「GARP Financial Risk and Regulation (FRR) Series」

質問 1

A trader attempts to hold long positions when markets are rising and hold short positions when markets are falling. Which one of the following four trading styles is she likely to use?

（A）Contrarian trading

（B）Technical trading

（C）Black box trading

（D）Market timing trading

正解：D 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 2

Which of the following statements regarding collateralized debt obligations (CDOs) is correct?
I. CDOs typically have loans or bonds as underlying collateral.
II. CDOs generally less risky than CMOs.
III. There is a correlation among defaults in the CDO collateral which should be considered in valuation of these complex instruments.

（A）I only

（B）I, II, and III

（C）II and III

（D）I and III

正解：D 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 3

A corporate bond was trading with 2%probability of default and 60% loss given default. Due to the credit crisis the probability of default increased to 10% and the loss given default increased to 100%. Assuming that the risk premium remained the same how did the credit spread change?

（A）Increased by 880 basis points

（B）Increased by 1000 basis points

（C）Increased by 1120 basis points

（D）Decreased by 880 basis points

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 4

Gamma Bank has $300 million in loans and $200 million in deposits. If the modified duration of the loans is estimated to be 2, and the modified duration of the deposits is estimated to be 1, then the change in Gamma Bank's equity value per 1% change in yield will be:

（A）-$4 million

（B）-$2 million

（C）-$3 million

（D）-$1 million

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 5

A bank customer expecting to pay its Brazilian supplier BRL 100 million asks Alpha Bank to buy Australian dollars and sell Brazilian reals. Alpha bank does not hold Brazilian reals so it asks for a quote to buy Brazilian reals in the market. The market rate is 100. The bank quotes a selling rate of 101 to its customer, sells the reals, and receives AUD 1,010,000. To perform foreign exchange matched position trading, the banks should

（A）Immediately sell the real at the market rate of 100 and receive AUD 1,000,000.

（B）Immediately sell the real above the market rate of 105 and receive AUD 1,050,050.

（C）Immediately buy the real at the market rate of 100 and pay AUD 1,000,000.

（D）Immediately buy the real above the market rate of 105 and pay AUD 1,050,050.

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 6

Which one of the following market risk measures evaluates the bank's earnings sensitivity?

（A）Cash flow stress testing

（B）Earnings-at-risk stress testing

（C）Value-at-risk back testing

（D）Large exposure risk identification

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 7

An asset manager just bought a coupon paying bond with principal value $100,000 for $87,000 with a current yield of 4.7%. He assumes that if the yields change to 5.7% the price of the bond would be $84,500. Based on this assumption what is the modified duration of the bond?

（A）2,507.

（B）2.97.

（C）97.12.

（D）2.88.

正解：D 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 8

Which one of the four following statements about a minimal loss threshold in operational loss data collection is incorrect?

（A）Setting an operational loss data collection threshold depends on the risk appetite of the firm and regulatory requirements it needs to meet.

（B）The operational loss data collection program has to capture all losses regardless of their size.

（C）A company can have differing operational loss data collection and reporting thresholds for different departments.

（D）The operational loss data collection program must include all material losses that are above minimal gross loss threshold.

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 9

Which of the following statements depicts a difference between funding liquidity risks and trading liquidity risks?

（A）Funding liquidity risks are associated only with the bank assets while trading liquidity risks are associated with both assets and liabilities of the bank.

（B）Funding liquidity risks are concerned with the ability of the bank to fund deposits withdrawals while trading liquidity risks are concerned with the change in bid-offer spreads of asset values.

（C）Funding liquidity risks are associated with how fast prices move in the market while trading liquidity risks originate out of bank trades.

（D）Funding liquidity risks are short term risks while trading liquidity risks are longer term risks.

正解：B 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 10

Which one of the four following statements regarding foreign exchange (FX) swap transactions is INCORRECT?

（A）FX swap generates more exchange rate risk than simple forward transactions.

（B）FX swap is a common short-term transaction.

（C）FX swap is generally used to for funding foreign currency balances and currency speculation.

（D）FX swap is normally used for hedging various currency positions.

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 11

Asset and liability management is typically concerned with all of the following activities:
I. Maintaining the desired liquidity structure of the bank.
II. Managing the factors affecting the structure and composition of a bank's balance sheet.
III. Effectively transferring the interest rate risk in the banking book to the investment bank at a fair transfer price.
IV. Focusing on the circumstances impacting the stability of income the bank generates over time.

（A）III, IV

（B）II, III

（C）I, II, IV

（D）I

正解：C 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 12

A bank customer expecting to pay its Brazilian supplier BRL 100 million asks Alpha Bank to buy Australian dollars and sell Brazilian reals. Alpha bank does not hold reals so it asks for a quote to buy Brazilian reals in the market. The market rate is 100. The bank quotes a selling rate of 101 to its customer and sells the reals at this quoted price. Then the bank immediately buys the real at the market rate and completes foreign exchange matched transaction. What is the financial impact of this transaction for Alpha bank?

（A）This transaction leaves the bank a profit of AUD 10,101.

（B）This transaction leaves the bank a loss of BRL 10,101.

（C）This transaction leaves the bank a profit of BRL 10,101.

（D）This transaction leaves the bank a loss of AUD 10,101.

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

質問 13

Which one of the four following statements about Basis point values is correct?
Basis point value:

（A）Refers to the change in the value of a fixed income position for a very small change yields.

（B）Provides a quick estimate of the sensitivity of the bank's banking book, to increasing volatility in interest rates.

（C）Is a widely used statistical tool used to measure market risk.

（D）Is a risk sensitivity measure used to measure the point spread risk in the banking book.

正解：A 解答を投票する

解説: (JPNTest メンバーにのみ表示されます)

2016-FRR 無料問題集「GARP Financial Risk and Regulation (FRR) Series」

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