2023年12月 GARP 2016-FRR実際の問題とブレーン問題集
2016-FRR合格させる問題集でGARP24時間で試験合格できます
質問 # 204
A hedge fund trader buys options to establish an exposure in the currency market, thereby effectively
removing the risk of being able to participate in a gapping market. In this case the options premium represents
the price paid for eliminating the execution risk of
- A. The delta-hedging strategy.
- B. The vega-hedging strategy.
- C. The theta-hedging strategy.
- D. The gamma-hedging strategy.
正解：A
質問 # 205
Which statements correctly describe the features of using subscription databases for operational loss data
analysis?
Subscription databases
I. Provide central data repositories and benchmarking services to their members.
II. Can provide insight into whether the losses in a firm reflect the usual losses in their industry.
III. Assist with mapping the events to the appropriate business lines, risk categories and causes.
IV. Reflect only events that are interesting to the press and are reported in the press.
- A. I, II and III
- B. II, III, and IV
- C. II and III
- D. I and II
正解：C
質問 # 206
Over a long period of time DeltaBank has amassed a large equity option position. Which of the following risks
should be considered in this transaction?
I. Counterparty risk on long OTC option positions
II. Counterparty risk on short OTC option positions
III. Counterparty risk on long exchange-traded option positions
IV. Counterparty risk on short exchange-traded option positions
- A. I, II
- B. II, III
- C. I
- D. II, III, IV
正解：C
質問 # 207
Alpha Bank estimates its 1-month, 95% VaR is 30 million EUR. This means that in the next month, there is a
- A. 95% chance that AlphaBank can lose at most 30 million EUR.
- B. 95% chance that AlphaBank will at least lose 30 million EUR.
- C. 95% chance that AlphaBank can lose more than 30 million EUR.
- D. 95% chance that AlphaBank will lose exactly 30 million EUR.
正解：A
質問 # 208
A key function of treasuries in commercial/retail banks is:
I. To manage the interest margin of the banks.
II. To focus on underwriting risk.
III. To ensure strong earnings.
IV. To increase profit margins.
- A. III, IV
- B. II, III
- C. II
- D. I
正解：D
質問 # 209
If a bank is long £500 million pounds, short £300 million in delta-equivalent pound options, and long £100
million in pound-denominated stocks, what is the amount of pound exposure that would be shown in the
aggregated risk reports?
- A. £800 million pounds
- B. £900 million pounds
- C. £500 million pounds
- D. £300 million pounds
正解：D
質問 # 210
Which one of the following four statements regarding counterparty credit risk is INCORRECT?
- A. The exposure at default is variable due to fluctuations in swap valuations.
- B. Dynamic collateral provisions often increase counterparty risk considerably.
- C. The exposure at default can be negatively correlated to probability of default.
- D. Counterparty credit risk refers to the inability to realize gains in a contract with a counterparty due to its
default.
正解：A
質問 # 211
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. 97.12.
- C. 2.97.
- D. 2.88.
正解：D
質問 # 212
A portfolio manager is interested in computing risk measures for his bond investment portfolio. Which of the
following measures the sensitivity of duration to interest rates?
- A. Convexity.
- B. Credit spread.
- C. Modified duration.
- D. Yield curve
正解：A
質問 # 213
US-based BetaBank have accumulated Japanese yen, Japanese government bonds, options on Japanese yen,
and positions in commodities that have a positive correlation with yen. Which one of the four following
non-statistical risk measures could be used to evaluate the BetaBank's exposure to the Japanese economy?
- A. Position sensitivities
- B. Position turnover
- C. Position volatility
- D. Position concentrations
正解：D
質問 # 214
Gamma Bank estimates its monthly portfolio volatility at 5%.The portfolio's annual volatility is closest to
which of the following?
- A. 30%
- B. 17%
- C. 35%
- D. 8%
正解：B
質問 # 215
Interest rate swaps are:
- A. 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. - B. Exchange traded derivative contracts that allow banks to take positions in future interest rates.
- C. 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. - D. OTC derivative contracts that allow banks to take positions in series of future exchange rates.
正解：A
質問 # 216
Which of the following are the most common methods to increase liquidity in stressed conditions?
I. Selling or securitizing assets.
II. Obtaining additional credit lines.
III. Securing a better credit rating.
- A. I, II
- B. I, II, III
- C. I
- D. II, III
正解：A
質問 # 217
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. Decreased by 880 basis points
- B. Increased by 1000 basis points
- C. Increased by 1120 basis points
- D. Increased by 880 basis points
正解：D
質問 # 218
Which of the following factors are typically included in standard operational risk definitions?
I. Human errors
II. Process failure
III. Systems failure
IV. Unexpected events
- A. II and III
- B. I and IV
- C. I, II and III
- D. I and II
正解：C
質問 # 219
According to the principles of the Basel II Accord, the implementation and relative weights of the elements of
the operational risk framework depend on:
I. The culture of the financial institution
II. Regulatory drivers
III. Business drivers
IV. The bank's reporting currency
- A. I, II, III
- B. II, IV
- C. II, III
- D. I, IV
正解：A
質問 # 220
Changes to which one of the following four factors would typically not increase the cost of credit?
- A. Higher return earned on alternative investments.
- B. Higher risk premium on a fixed income instrument.
- C. Increasing inflation rates in a country.
- D. Increase in consumption of goods and services.
正解：B
質問 # 221
Which of the following factors can cause obligors to default at the same time?
I. Obligors may be harmed by exposures to similar risk factors simultaneously.
II. Obligors may exhibit herd behavior.
III. Obligors may be subject to the sampling bias.
IV. Obligors may exhibit speculative bias.
- A. I, II
- B. I
- C. III, IV
- D. II, III
正解：A
質問 # 222
Which one of the following four models is typically used to grade the obligations of small- and medium-size
enterprises?
- A. Causal models
- B. Credit rating models
- C. Credit scoring models
- D. Historical frequency models
正解：C
質問 # 223
A multinational bank just bought two bonds each worth $10,000. One of the bonds pays a fixed interest of 5%
semi-annually and the other pays LIBOR semi-annually. The six month LIBOR is at 5% currently. The risk
manager of the bank is concerned about the sensitivity to interest rates. Which of the following statements are
true?
- A. The price of the bond paying fixed interest is more sensitive to interest rates than the bond paying
floating interest. - B. Both bond prices are equally sensitive to interest rates.
- C. The price of the bond paying floating interest is more sensitive to interest rates than the bond paying
fixed interest. - D. The given information is not enough to determine the sensitivity of the bond prices.
正解：A
質問 # 224
Securitization is the process by which banks
I. Issue bonds where the payment of interest and repayment of principal on the bonds depends on the cash flow
generated by a pool of bank assets.
II. Issue bonds where the bank has transferred its legal right to payment of interest and repayment of principal
to bondholders.
III. Sell illiquid assets.
- A. I, II
- B. I
- C. I, II, III
- D. I, III
正解：C
質問 # 225
Which of the following attributes of duration gap model typically cause criticism?
I. Basis risk
II. Errors in the linear model
III. Costs of immunization
IV. Constant nature of calculation
- A. I, II
- B. I, II, III
- C. I, III, IV
- D. II, III, IV
正解：B
質問 # 226
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