[2024年12月30日] 2016-FRRのPDFで最近更新された問題です集試験点数を伸ばそう
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質問 # 88
Which one of the following four statements about market risk is correct? Market risk is
- A. The maximum likely loss in the market value of portfolios and financial instruments caused by the
failure of the counterparty to meet its obligations. - B. The maximum likely loss in the market value of portfolios and financial instruments over a given period
of time. - C. The exposure to an adverse change in the credit quality in portfolios or of financial instruments.
- D. The exposure to an adverse change in the market value of portfolios and financial instruments caused by
a change in market prices or rates.
正解：D
質問 # 89
Which one of the following statements regarding collateralized mortgage obligations (CMO) is incorrect?
- A. CMOs are asset-backed securities that have pools of collateralized debt obligations (CDOs) as
underlying collateral. - B. CMOs are generally less risky investment than CDOs.
- C. CMOs are pools of mortgages that are divided according to the timing of cash flows.
- D. CMOs have senior tranches which are considered short-term, low-risk instruments by banks
正解：A
質問 # 90
The exercise for an American type option prior to expiration day is virtually certain in the following case:
- A. In the event of a high dividend for an in-the-money put option
- B. In the event of a low dividend for an in-the-money put option
- C. In the event of a high dividend for an in-the-money call option
- D. In the event of a low dividend for an in-the-money call option
正解：C
質問 # 91
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. £500 million pounds
- C. £900 million pounds
- D. £300 million pounds
正解：D
質問 # 92
A bank owns a portfolio of bonds whose composition is shown below.
What is the modified duration of the portfolio?
- A. 2.30
- B. 8.5
- C. 1.30
- D. 0.5
正解：C
質問 # 93
Which one of the following four examples would not be considered a typical source of market risk?
- A. Unexpected changes in the term structure of interest rates.
- B. The JPY depreciating against the USD.
- C. Increased default rate on commercial mortgages due to higher interest rates.
- D. Changes in the oil price due to the discovery of new oil fields.
正解：C
解説：
Market risk typically involves risks that affect the entire market or market segment. These include:
* Unexpected changes in the term structure of interest rates:
* This affects the prices of bonds and other interest-rate-sensitive securities.
* The JPY depreciating against the USD:
* This is an example of foreign exchange risk, which is a type of market risk.
* Changes in the oil price due to the discovery of new oil fields:
* This affects commodities markets and can have broader economic implications.
* Increased default rate on commercial mortgages due to higher interest rates:
* This is more of a credit risk than market risk. It specifically relates to the creditworthiness of borrowers rather than the overall market movements.
Thus, the increased default rate on commercial mortgages due to higher interest rates is not a typical source of market risk.
ReferencesSource: How Finance Works
質問 # 94
Alpha Bank determined that Delta Industrial Machinery Corporation has 2% change of default on a one-year
no-payment of USD $1 million, including interest and principal repayment. The bank charges 3% interest rate
spread to firms in the machinery industry, and the risk-free interest rate is 6%. Alpha Bank receives both
interest and principal payments once at the end the year. Delta can only default at the end of the year. If Delta
defaults, the bank expects to lose 50% of its promised payment. What interest rate should Alpha Bank charge
on the no-payment loan to Delta Industrial Machinery Corporation?
- A. 10%
- B. 12%
- C. 9%
- D. 8%
正解：A
質問 # 95
Which one of the following four statements correctly defines a non-exotic call option?
- A. A call option gives the call option buyer the obligation, but not the right, to sell the underlying
instrument at a known price in the future - B. A call option gives the call option buyer the right, but not the obligation, to buy the underlying
instrument at a known price in the future - C. A call option gives the call option buyer the right, but not the obligation, to sell the underlying
instrument at a known price in the future - D. A call option gives the call option buyer the obligation, but not the right, to buy the underlying
instrument at a known price in the future.
正解：B
質問 # 96
Which one of the four following aspects of legal risk is NOT included in the Basel II Accord?
- A. Punitive damages resulting from supervisory actions
- B. Private settlements
- C. Negative publicity resulting from reputational damages
- D. Exposure to fines
正解：C
質問 # 97
When operating in a heavily traded currency, a commercial and retail bank's treasury is likely to focus on cover operations. Which one of the following four commercial and retails treasury's operations is known as a cover operation?
- A. Mitigating liquidity risk, or effectively managing the balance sheet and its funding.
- B. Managing the net interest rate risk in the banking book directly with market counterparties by operating a derivatives trading desk.
- C. Ensuring that the risks generated by the bank's business are mitigated in the market.
- D. Effectively transferring the interest rate risk in the banking book to the investment bank at a fair transfer price.
正解：C
解説：
When operating in a heavily traded currency, a commercial and retail bank's treasury focuses on cover operations to mitigate risks. A cover operation involves taking actions to offset potential losses from the bank's business activities by hedging these risks in the market. This ensures that any adverse movements in exchange rates or interest rates do not negatively impact the bank's financial position.
References: No specific reference found in the document for this question. The provided answer is based on typical operations of bank treasuries related to risk management.
質問 # 98
In hedging transactions, derivatives typically have the following advantages over cash instruments:
I. Lower credit risk
II. Lower funding requirements
III. Lower dealing costs
IV. Lower capital charges
- A. I, III
- B. I, II, III, IV
- C. I, II
- D. II, IV
正解：B
質問 # 99
In the United States, during the second quarter of 2009, transactions in foreign exchange derivative contracts
comprised approximately what proportion of all types of derivative transactions between financial institutions?
- A. 25%
- B. 7%
- C. 2%
- D. 43%
正解：B
質問 # 100
Which one of the following four statements regarding counterparty credit risk is INCORRECT?
- A. Counterparty credit risk refers to the inability to realize gains in a contract with a counterparty due to its default.
- B. Dynamic collateral provisions often increase counterparty risk considerably.
- C. The exposure at default can be negatively correlated to probability of default.
- D. The exposure at default is variable due to fluctuations in swap valuations.
正解：B
解説：
* Counterparty credit risk refers to the risk that the counterparty to a financial contract will default before the final settlement of the contract's cash flows, resulting in a financial loss. This is correctly stated in option A.
* The exposure at default (EAD) is indeed variable due to fluctuations in the underlying valuations, such as swaps, as mentioned in option B.
* The EAD can be negatively correlated with the probability of default (PD) because as the credit quality of a counterparty deteriorates, their exposure may also decline, correctly stated in option C.
* However, dynamic collateral provisions are typically designed to reduce counterparty risk by adjusting collateral requirements based on changes in exposure and credit quality, not to increase it. Therefore, option D is incorrect.
References:
* How Finance Works: "Counterparty credit risk and its management through collateral provisions is a critical aspect of financial risk management."
質問 # 101
Jack Richardson wants to compute the 1-month VaR of a portfolio with a market value of USD 10 million, with an average monthly return of 1% and average monthly standard deviation of 1.5%. What is the portfolio VaR at 99% confidence level?
Probability Cumulative Normal distribution
0.90 1.282
0.91 1.341
0.92 1.405
0.93 1.476
0.94 1.555
0.95 1.645
0.96 1.751
0.97 1.881
0.98 2.054
0.99 2.326
- A. 164,500
- B. 246,750
- C. 348,900
- D. 232,600
正解：D
解説：
* Identify the variables:
* Market value of the portfolio (P) = $10,000,000
* Average monthly return () = 1%
* Average monthly standard deviation () = 1.5%
* Confidence level = 99%
* Corresponding z-score for 99% confidence level (z) = 2.326
* Calculate the 1-month VaR: The formula for VaR at a given confidence level is:
VaR=×(×)VaR=P×(z×)
Here, we need to use the absolute values for the standard deviation and the z-score:
* =1%=0.01=1%=0.01
* =1.5%=0.015=1.5%=0.015
* =2.326z=2.326
* Apply the formula:
VaR=10,000,000×(0.012.326×0.015)VaR=10,000,000×(0.012.326×0.015)
* Simplify the calculation:
VaR=10,000,000×(0.010.03489)VaR=10,000,000×(0.010.03489)
VaR=10,000,000×(0.02489)VaR=10,000,000×(0.02489) VaR=248,900VaR=248,900 The negative sign indicates a potential loss. Therefore, the absolute VaR is:
VaR=248,900VaR=248,900
However, the calculation provided in the multiple-choice options likely considers a rounding adjustment. The closest option to this calculation is B. 232,600. This could imply either a slight adjustment in the z-score or a rounding mechanism not detailed in the problem statement.
References:
* No specific reference needed as the calculation is based on standard financial formulas and given values.
質問 # 102
Which one of the following four models is typically used to grade the obligations of small- and medium-size enterprises?
- A. Historical frequency models
- B. Credit rating models
- C. Causal models
- D. Credit scoring models
正解：D
解説：
* Model Definition: Credit scoring models are typically used to grade the creditworthiness of small- and medium-sized enterprises (SMEs).
* Application: These models evaluate the credit risk of SMEs by considering various financial and non-financial parameters, providing a systematic and quantitative method to determine credit scores.
質問 # 103
A credit rating analyst wants to determine the expected duration of the default time for a new three-year loan,
which has a 2% likelihood of defaulting in the first year, a 3% likelihood of defaulting in the second year, and
a 5% likelihood of defaulting the third year. What is the expected duration for this three-year loan?
- A. 2.1 years
- B. 1.5 years
- C. 3.7 years
- D. 2.3 years
正解：D
質問 # 104
To estimate the forward price of oil, a commodity trader would most likely use the following pricing relationship:
- A. Oil forward price = Expected future oil price ± Oil market risk premium
- B. Oil forward price = Expected future oil price ± Oil storage cost + (1 + Oil market risk premium)
- C. Oil forward price = Expected future oil price ± storage cost + Oil market risk premium
- D. Oil forward price = Expected future oil price ± Oil storage cost + (1 - Oil market risk premium)
正解：A
解説：
* The forward price of a commodity like oil is typically determined by the expected future spot price and adjusted for the risk premium associated with the market.
* Storage costs are often considered separately and are not typically included in the forward pricing
* relationship in the simple form as given in option A.
* Therefore, the most straightforward and likely answer based on common financial theory is the expected future oil price adjusted by the market risk premium.
質問 # 105
Which one of the following four options is NOT a typical component of a currency swap?
- A. Periodic exchange of interest payments in different currencies
- B. An initial currency exchange of the notional amount
- C. Denomination of the original notional amount into a foreign currency
- D. A final currency exchange
正解：C
解説：
A currency swap typically involves four components: an initial exchange of notional amounts in different currencies, periodic exchange of interest payments in different currencies, and a final exchange of notional amounts at maturity. The denomination of the original notional amount into a foreign currency is not a standalone component of a currency swap; it is part of the initial and final exchanges.
質問 # 106
The skewness of ABC company's stock returns equal -1.5. What is the correct interpretation of this?
- A. It indicates higher relative probability of extreme events than non-extreme events compared to estimates
from a normal distribution. - B. It indicates lower probability of extreme negative events compared to the normal distribution.
- C. It indicates that the returns are indeed normally distributed.
- D. It indicates higher relative probability of negative returns compared to estimates derived from a normal
distribution.
正解：D
質問 # 107
The pricing of credit default swaps is a function of all of the following EXCEPT:
- A. Duration
- B. Probability of default
- C. Loss given default
- D. Market spreads
正解：A
質問 # 108
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