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

（A）Thrifts and large commercial banks, where the risks become isolated.

（B）Regional banks with international operations, where the risks depend on the specific derivative transactions.

（C）All banks with international branches, where the risks become widely distributed based on trading exposures.

（D）A few large internationally active banks, where the risks become concentrated.

（A）OTC derivative contracts that allow banks to take positions in series of future exchange rates.

（B）Exchange traded derivative contracts that allow banks and customers to obtain the risk/reward profile of long-term interest rates without having to use long-term funding.

（C）Exchange traded derivative contracts that allow banks to take positions in future interest rates.

（D）OTC derivative contracts that allow banks and customers to obtain the risk/reward profile of long-term interest rates without relying on long-term funding.

（A）There is a 5% chance that the bank would lose more than USD 10 million in a year.

（B）There is a 5% chance that the bank would lose less than USD 10 million in a year.

（C）There is a 5% chance that the least loss would be USD 10 million in a year.

（D）There is a 5% chance that the worst loss would be USD 10 million in a year.

（A）A bank borrows funds in a low-interest currency and places the funds on deposit in a high-interest currency.

（B）A bank borrows funds in a low-interest currency, accumulates reserves, and lends in another low- interest currency.

（C）A bank borrows funds in a high-interest currency and places the funds in a long-term low volatility investment vehicle.

（D）A bank borrows funds in a high-interest currency and invests the funds into high-yield emerging market debt.

（A）PD (Probability of Default)

（B）EAD (Exposure at Default)

（C）LGD (Loss Given Default)

（D）M (Maturity)

（A）Fixed notional amount per contract

（B）Fixed dates for delivery

（C）Traded Over-the-counter only

（D）Daily margin calls

（A）2.0%

（B）-2.0%

（C）3.0%

（D）0.5%

（A）VaR is the maximum of past losses over a given period of time.

（B）VaR is the minimum likely loss on a financial instrument or a portfolio of financial instruments with a given degree of probabilistic confidence.

（C）VaR is the worst possible loss on a financial instrument or a portfolio of financial instruments over a given time period.

（D）VaR is the maximum likely loss on a financial instrument or a portfolio of financial instruments over a given time period with a given degree of probabilistic confidence.

（A）1.0%

（B）2.0%

（C）2.5%

（D）3.0%

（A）Market risk; market risk; credit risk

（B）Credit risk, legal risk; market risk

（C）Market risk; credit risk; market risk

（D）Legal risk; market risk; credit risk

（A）The given information is not enough to determine the sensitivity of the bond prices.

（B）Both bond prices are equally sensitive to interest rates.

（C）The price of the bond paying fixed interest is more sensitive to interest rates than the bond paying floating interest.

（D）The price of the bond paying floating interest is more sensitive to interest rates than the bond paying fixed interest.

（A）Stout options

（B）Power options

（C）Basket options

（D）Chooser options

（A）Interest rate cap

（B）Interest rate floor

（C）Index amortizing swap

（D）Interest rate swap that receives fixed and pays floating

（A）II, III

（B）I, II

（C）I, II, IV

（D）I, III

（A）Cash flow stress testing

（B）Earnings-at-risk stress testing

（C）Value-at-risk back testing

（D）Large exposure risk identification

（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.

（A）Pandemic risk

（B）Reputational risk

（C）Legal risk

（D）Strategic risk

（A）Ensuring that the bank has minimum levels of capital against market, credit, and operational risk

（B）Improving the transparency of the different types of banking risks

（C）Ensuring that the bank properly manages all of the risks it takes

（D）Identifying risk-weighted assets for reputational risk