[2023年01月15日] 検証済みの2016-FRR問題集と345格別な問題
2016-FRR問題集合格保証付きの合格できる2016-FRR試験2023年更新
質問 163
Alpha Bank, a small bank,has a long position with larger BetaBank and has an identical short position with
another larger bank GammaBank. Each large bank requires a 20% initial collateral to support the trade. As
prices fluctuate in either direction, one large bank will require additional collateral from the small bank, while
the risk of loss to the other large bank will increase. By running the trades through a clearinghouse, the small
bank can achieve all of the following objectives EXCEPT:
- A. Mitigating option hedging risks and altering margin requirement
- B. Eliminating the collateral requirement
- C. Protecting against the risk of the failure of one of the large banks
- D. Protecting itself against increases in future collateral demands
正解: A
質問 164
Sam has hedged a portfolio of bonds against a small parallel shift in the yield curve using the duration
measure. What should Sam do to ensure that the portfolio is hedged against larger parallel shifts in the yield
curve?
- A. Take positions to increase the duration
- B. Take positions to make the convexity zero
- C. Since the portfolio is duration hedged Sam does not need to take additional positions.
- D. Take positions to reduce the duration
正解: B
質問 165
Which of the following reports have been suggested by the FDIC that banks should produce in addition to the
usual probabilistic analysis and stress tests in order to gauge liquidity issues?
I. Cash flow gaps
II. Funding availability
III. Critical assumptions used in credit projections
- A. I, III
- B. I, II
- C. I, II, III
- D. I
正解: C
質問 166
Banks duration match their assets and liabilities to manage their interest risk in their banking book. A bank has
$100 million in interest rate sensitive assets and $100 million in interest rate sensitive liabilities. Currently the
bank's assets have a duration of 5 and its liabilities have a duration of 2. The asset-liability management
committee of the bank is in the process of duration-matching. Which of the following actions would best
match the durations?
- A. Increase the duration of liabilities by 2 and decrease the duration of assets by 1.
- B. Increase the duration of liabilities by 2 and increase the duration of assets by 1.
- C. Decrease the duration of liabilities by 1 and increase the duration of assets by 1.
- D. Decrease the duration of liabilities by 1 and decrease the duration of assets by 1.
正解: A
質問 167
Of all the risk factors in loan pricing, which one of the following four choices is likely to be the least
significant?
- A. Loss given default
- B. Exposure at default
- C. Duration of default
- D. Probability of default
正解: C
質問 168
Arnold Wu owns a floating rate bond. He is concerned that the rates may fall in the future decreasing his
payment amount. Which of the following instruments should he buy to hedge against the fall in interest rates?
- A. Interest rate swap that receives floating and pays fixed
- B. Interest rate floor
- C. Interest rate cap
- D. Index amortizing swap
正解: B
質問 169
Which one of the following four regulatory drivers for operational risk management includes risk and control
requirements for financial statements in the United States?
- A. Solvency II
- B. The Markets in Financial Instruments Directive
- C. Basel II Accord
- D. The Sarbanes-Oxley Act
正解: D
質問 170
A credit portfolio manager analyzes a large retail credit portfolio. Which of the following factors will represent
typical disadvantages of market-linked credit risk drivers?
I. Need to supply a large number of input parameters to the model
II. Slow computation speed due to higher simulation complexity
III. Non-linear nature of the model applicable to a specific type of credit portfolios
IV. Need to estimate a large number of unknown variable and use approximations
- A. III, IV
- B. I
- C. II, III
- D. I, II
正解: D
質問 171
A risk associate is trying to determine the required risk-adjusted rate of return on a stock using the Capital
Asset Pricing Model. Which of the following equations should she use to calculate the required return?
- A. Required return = risk-free return + beta x (1 - market risk)
- B. Required return = risk-free return + 1/beta x market risk
- C. Required return = (1-risk free return) + beta x market risk
- D. Required return = risk-free return + beta x market risk
正解: D
質問 172
By foreign exchange market convention, spot foreign exchange transactions are to be exchanged at the spot
date based on the following settlement rule:
- A. Two-day rule
- B. Three-day rule
- C. Four-day rule
- D. One-day rule
正解: A
質問 173
Modified duration of a bond measures:
- A. The percentage change in a bond price when the yields change by 1%.
- B. The change in value of a bond when yields increase by 1 basis point.
- C. The percentage change in a bond price when yields increase by 1 basis point.
- D. The present value of the future cash flows of a bond calculated at a yield equal to 1%.
正解: A
質問 174
A credit risk analyst is evaluating factors that quantify credit risk exposures. The risk that the borrower would
fail to make full and timely repayments of its financial obligations over a given time horizon typically refers
to:
- A. Probability of default.
- B. Exposure at default.
- C. Loss given default.
- D. Duration of default.
正解: A
質問 175
James Johnson bought a 3-year plain vanilla bond that has yield of 4.7% and 4% coupon paid annually, for
$87,139. Macauley's duration of the bond is 2.94 years. Rate volatility is 20% of the yield. The bond's
annualized volatility is therefore:
- A. 2.81%.
- B. 2.64%.
- C. 3.15%.
- D. 2.90%.
正解: B
質問 176
Which one of the following four features is NOT a typical characteristic of futures contracts?
- A. Daily margin calls
- B. Fixed notional amount per contract
- C. Traded Over-the-counter only
- D. Fixed dates for delivery
正解: C
質問 177
Which one of the following four statements about planning for the operational risk framework is
INCORRECT?
- A. Planning for the operational risk framework suggests that short-term planning and focus on immediate
benefits is strongly preferred to the long-term planning approach. - B. Once the elements of an operational risk framework are up and running, they need to be monitored to
ensure they maintain their integrity and do not deteriorate over time. - C. An operational risk framework is a complex and evolving challenge, and to keep its development under
control it is important to apply strong project management skills to the design and implementation of
each new element. - D. Planning for the operational risk framework involves setting clear goals, realistic milestones and
achievable deliverables that add value.
正解: A
質問 178
Which one of the following four examples would not be considered a typical source of market risk?
- A. Increased default rate on commercial mortgages due to higher interest rates.
- B. Changes in the oil price due to the discovery of new oil fields.
- C. The JPY depreciating against the USD.
- D. Unexpected changes in the term structure of interest rates.
正解: A
質問 179
Which of the following are conclusions that could be drawn from the shape of the statistical distribution of
losses that a bank might incur over a future time period?
I. In most years a bank would look more profitable than it will be on average.
II. Most of the time a sufficiently well capitalized bank will appear over-capitalized.
III. Bad years do not come along very often, but when they do they lead to enormous losses.
- A. I, III
- B. I, II
- C. I, II, III
- D. II, III
正解: C
質問 180
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