[2025年03月23日] 最新の2016-FRR試験の的確なFinancial Risk and Regulation (FRR) SeriesのPDF問題
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質問 # 18
A credit analyst wants to determine if her bank is taking too much credit risk. Which one of the following four strategies will typically provide the most convenient approach to quantify the credit risk exposure for the bank?
- A. Using stress testing techniques to forecast underlying macroeconomic factors and bank's idiosyncratic risks
- B. Analyzing distribution of bank's credit losses and mapping credit risks at various statistical levels
- C. Assessing aggregate exposure at default at various time points and at various confidence levels
- D. Simplifying individual credit exposures so that they can be combined into a simplified expression of portfolio risk for the bank
正解：B
解説：
The most convenient approach for a credit analyst to quantify the credit risk exposure for the bank would be to analyze the distribution of the bank's credit losses and map credit risks at various statistical levels. This method provides a comprehensive view of potential losses and the probabilities associated with different loss levels, which is crucial for effective risk management and regulatory compliance.
質問 # 19
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, III
- B. I
- C. II, III
- D. I, II
正解：D
質問 # 20
Which one of the following four statements describes the advantage of using delta-gamma method of mapping
options positions over delta-normal method?
Delta-gamma method
- A. Converts options into underlying factor risks according to their deltas and the gammas to those factors.
- B. Fully captures option price risk, particularly for extreme price movements.
- C. Approximates more accurately the non-linear relationship of option values and risk.
- D. Overstates the risk of long option positions, but understate the risk of short option positions.
正解：C
質問 # 21
Altman's Z-score incorporates all the following variables that are predictive of bankruptcy EXCEPT:
- A. Sales to total assets
- B. Return on equity
- C. Return on total assets
- D. Equity to debt
正解：B
解説：
Altman's Z-score is a formula used to predict the likelihood of a company entering bankruptcy within a certain time frame. It incorporates several financial ratios, including return on total assets, sales to total assets, and equity to debt. However, it does not include return on equity. The variables in the Z-score are designed to measure different aspects of a company's financial health and operational efficiency, focusing on liquidity, profitability, leverage, solvency, and activity.
質問 # 22
Bank Alpha is making a decision about lending 10-year loans in a sector that is fairly illiquid and is looking at
various options to fund the loans. Which of the following options to fund the loans exhibits the most
exogenous liquidity risk?
- A. The 6-month LIBOR markets
- B. Foreign exchange markets
- C. The 1-year treasury markets
- D. Overnight interbank markets
正解：D
質問 # 23
Banks duration match their assets and liabilities to manage their interest risk in their banking book. Currently, the bank's assets and liabilities both have a duration of 10. To hedge against the risk of decreasing interest rates, the bank should
I. Increase the duration of the liabilities
II. Increase the duration of the assets
III. Decrease the duration of the liabilities
IV. Decrease the duration of the assets
- A. II and III.
- B. I and II.
- C. I only.
- D. I and IV
正解：D
解説：
To hedge against the risk of decreasing interest rates, a bank should look to reduce the duration of its assets or increase the duration of its liabilities. Decreasing the duration of assets makes them less sensitive to interest rate changes, while increasing the duration of liabilities does the same on the liability side. The bank currently has both assets and liabilities with a duration of 10, so it should decrease the duration of its assets and/or increase the duration of its liabilities to hedge against decreasing interest rates.
質問 # 24
Suppose Delta Bank enters into a number of long-term commercial and retail loans at fixed rate prevailing at the time the loans are originated. If the interest rates rise:
- A. The bank will have to pay lower interest rates to its depositors and would have to pay lower rates on its debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to fund the loans was of a shorter maturity than the loans.
- B. The bank will have to pay higher interest rates to its depositors and would have to pay lower rates on its debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to fund the loans was of a shorter maturity than the loans.
- C. The bank will have to pay lower interest rates to its depositors and would have to pay higher rates on its debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to fund the loans was of a shorter maturity than the loans.
- D. The bank will have to pay higher interest rates to its depositors and would have to pay higher rates on its debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to fund the loans was of a shorter maturity than the loans.
正解：D
解説：
When a bank enters into long-term fixed-rate loans and interest rates rise, the bank faces higher costs for its deposits and debt if these are linked to floating rates or have shorter maturities. This creates a mismatch between the fixed income from the loans and the increased cost of funds, potentially squeezing the bank's margins.
質問 # 25
An asset-sensitive bank will have a ___ cumulative gap and will benefit from ___ interest rates.
- A. Positive; rising
- B. Negative; rising
- C. Positive; dropping
- D. Negative; dropping
正解：A
質問 # 26
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 make the convexity zero
- B. Take positions to increase the duration
- C. Since the portfolio is duration hedged Sam does not need to take additional positions.
- D. Take positions to reduce the duration
正解：A
解説：
When hedging a portfolio of bonds against shifts in the yield curve, using only duration as a measure is effective for small parallel shifts. However, for larger shifts, convexity becomes significant. Convexity accounts for the curvature in the relationship between bond prices and yields, providing a more accurate measure of interest rate risk. To ensure the portfolio is hedged against larger parallel shifts, Sam should take positions that neutralize the portfolio's convexity. This involves adjusting the portfolio in a way that it is less sensitive to changes in interest rates, providing a second-order measure of risk beyond duration.
質問 # 27
Which of the following attributes are typical for early models of statistical credit analysis?
- A. The underlying default assumptions were analytically inconvenient.
- B. These models effectively incorporated herd behavior.
- C. The underlying default assumptions failed to develop relatively simple formulas for the determination of
portfolio credit risk. - D. These models assumed the default of any obligor was independent of the default of any other.
正解：D
質問 # 28
Which of the following statements describes correctly the objectives of position mapping ?
- A. II, III, and IV
- B. II and IV
- C. For VaR calculations, mapping converts positions based on their deltas to underlying factor risks.
- D. Position mapping groups similar positions into one group based on the closeness of their respective VaR.
- E. Position mapping models risk factors affecting the value of a position as combination of core risk factors used in the VaR calculations.
- F. I, II and III
- G. I and II
- H. Position mapping reduces the possible number of risk factors to a computationally manageable level.
正解：C
解説：
Position mapping is used in risk management to simplify the assessment of risks associated with various positions. The objectives of position mapping are:
* For VaR (Value at Risk) calculations, it converts positions based on their deltas to underlying factor risks. This means mapping the positions to their underlying risk factors to make the complex position simpler to manage and evaluate.
* Position mapping models risk factors affecting the value of a position as a combination of core risk factors used in the VaR calculations. This involves breaking down the complex risk factors into more manageable and fundamental risk components that can be easily analyzed.
By focusing on these two objectives, position mapping helps in both simplifying the risk assessment process and in ensuring that the primary risk factors are correctly identified and managed.
質問 # 29
Which one of the following four features is NOT a typical characteristic of futures contracts?
- A. Fixed dates for delivery
- B. Traded Over-the-counter only
- C. Fixed notional amount per contract
- D. Daily margin calls
正解：B
質問 # 30
The pricing of credit default swaps is a function of all of the following EXCEPT:
- A. Duration
- B. Loss given default
- C. Market spreads
- D. Probability of default
正解：C
解説：
The pricing of credit default swaps (CDS) is primarily influenced by:
* Probability of Default: The likelihood that the underlying entity will default on its obligations.
* Duration: The term or maturity of the CDS contract.
* Loss Given Default: The expected loss if the underlying entity defaults.
Market spreads, while relevant to bond pricing and other instruments, are not a direct factor in the calculation of the pricing of CDS contracts.
References
* Verified information on CDS pricing factors from the document
質問 # 31
A bank has a Var estimate of $100 million. It is considering a new transaction which has a correlation of 0.35 with the current portfolio and a standalone VaR estimate of $5 million. What would be the new VaR for the bank if it carried out the transaction?
- A. $ 213.67 million
- B. $105 million
- C. $100.22 million
- D. $101.86 million
正解：D
解説：
* Current VaR: The bank has an existing VaR estimate of $100 million.
* Standalone VaR for New Transaction: The standalone VaR of the new transaction is $5 million.
* Correlation with Current Portfolio: The correlation of the new transaction with the current portfolio is
0.35.
* Formula for Combined VaR:
New VaR=(Current VaR2)+(Standalone VaR2)+2×Correlation×Current VaR×Standalone VaR\text{New VaR} = \sqrt{(\text{Current VaR}^2) + (\text{Standalone VaR}^2) + 2 \times \text{Correlation} \times
\text{Current VaR} \times \text{Standalone
VaR}}New VaR=(Current VaR2)+(Standalone VaR2)+2×Correlation×Current VaR×Standalone VaR Plugging in the values:
New VaR=(1002)+(52)+2×0.35×100×5=10000+25+350=10375101.86\text{New VaR} = \sqrt{(100^2) + (5^2) + 2 \times 0.35 \times 100 \times 5} = \sqrt{10000 + 25 + 350} = \sqrt{10375} \approx
101.86New VaR=(1002)+(52)+2×0.35×100×5=10000+25+350=10375101.86
ReferencesSource: How Finance Works
質問 # 32
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
- B. II, III
- C. I, II
- D. III, IV
正解：C
質問 # 33
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