[2025年04月]更新のGARP 2016-FRR試験基本問題には解答が付きます
2025年最新の実際に出るGARP 2016-FRR試験問題集と解答
GARP 2016-FRR（金融リスクと規制）認定試験は、グローバル・アソシエーション・オブ・リスク・プロフェッショナルズ（GARP）によって提供される、世界的に認知された認定プログラムです。この認定は、金融リスク管理および規制に従事するプロフェッショナル向けに設計され、彼らが役割を果たすために必要な知識とスキルを提供します。 GARP FRRの認定試験は、リスク管理フレームワーク、規制要件、金融商品など、幅広いトピックをカバーしています。
質問 # 57
Oliver McCarthy owns a portfolio of bonds. Which of the following choices equals the modified duration of Oliver's portfolio?
- A. Value-weighted average modified duration of the component bonds
- B. Maximum of the modified durations of component bonds
- C. Coupon-weighted average modified duration of the component bonds
- D. Minimum of the modified durations of the component bonds
正解：A
解説：
The modified duration of a bond portfolio is calculated as the value-weighted average of the modified durations of the component bonds. This approach accounts for the proportion of the total portfolio value that each bond represents, providing a more accurate measure of the portfolio's sensitivity to changes in interest rates.
質問 # 58
Which type of risk does a bank incur on loans that are in the "pipeline", i.e loans that are in the process of origination but not yet originated?
- A. Credit Risk only
- B. Interest rate risk only
- C. The bank does not incur any risk since the loan is not yet originated
- D. Interest rate risk and credit risk
正解：D
解説：
When a bank has loans in the "pipeline," it means these loans are in the process of origination but have not yet been originated. During this period, the bank is exposed to both interest rate risk and credit risk.
* Interest Rate Risk: This risk arises because changes in interest rates can affect the bank's profitability on these loans. If interest rates change unfavorably between the time the loan terms are set and the time the loan is actually issued, the bank might end up earning less than expected. This is particularly relevant in a volatile interest rate environment.
* Credit Risk: Even though the loans are not yet originated, the bank assesses the creditworthiness of the potential borrowers during the pipeline stage. If the financial condition of a borrower deteriorates before the loan is finalized, the bank faces the risk of having to deal with a higher probability of default.
These risks are inherent to the loan origination process and are present even before the loan is officially on the bank's books.
質問 # 59
Bank G has a 1-year VaR of USD 20 million at 99% confidence level while bank H has a 1-year VaR of USD
10 million at the same confidence level. Which bank is in a more risky position as measured by VaR?
- A. Bank H is taking twice the risk of bank G as measured by VaR.
- B. Since the confidence levels are the same we cannot make any conclusions.
- C. Both banks are equally risky since the measurements are with the same confidence level.
- D. Bank G is taking twice the risk of bank H as measured by VaR.
正解：D
解説：
Value at Risk (VaR) is a statistical measure used to assess the risk of loss on a specific portfolio of financial assets. In this case, Bank G has a 1-year VaR of USD 20 million at 99% confidence level, while Bank H has a
1-year VaR of USD 10 million at the same confidence level. The VaR figure indicates the maximum potential loss over a given period (1 year) at a certain confidence level (99%). Therefore, Bank G is taking twice the risk of Bank H as the VaR is double that of Bank H.
質問 # 60
Which one of the four following statements about back testing the VaR models is correct?
Back testing requires
- A. Plotting the daily profit and losses along with the ranges predicted by VaR models
- B. Determining the proportion of daily profits exceeding those predicted by VaR.
- C. Plotting VaR forecasts against the proportion of daily losses exceeding the average loss.
- D. Comparing the predictive ability of VaR on a daily basis to the realized daily profits and losses.
正解：D
解説：
Back testing VaR models involves comparing the predicted losses (VaR estimates) with the actual daily profits and losses to assess the accuracy and reliability of the VaR model. This process helps in validating whether the model is effective in predicting risk and in identifying any discrepancies between predicted and actual outcomes. Therefore, the correct statement about back testing the VaR models is option B.
質問 # 61
James Johnson has a $1 million long position in ThetaGroup with a VaR of 0.3 million, and $1 million long position in VolgaCorp with a VaR of 0.4 million. The returns of the two companies have zero correlation.
What is the portfolio VaR?
- A. $0.7 million
- B. $0.4 million
- C. $1 million
- D. $0.5 million
正解：D
解説：
The portfolio VaR when the returns of two assets are uncorrelated can be calculated using the formula:
Portfolio VaR=(VaR of ThetaGroup)2+(VaR of VolgaCorp)2Portfolio VaR=(VaR of ThetaGroup)2+(VaR of Vo Plugging in the values:
Portfolio VaR=(0.3)2+(0.4)2=0.09+0.16=0.25=0.5Portfolio VaR=(0.3)2+(0.4)2=0.09+0.16=0.25=0.5 So, the portfolio VaR is $0.5 million.
質問 # 62
Which one of the following four statements correctly identifies the Basel II Accord's definition of operational risk?
- A. Operational risk is all the risk that is not captured by market and credit risks.
- B. Operational risk is a form of risk that summarizes the risks a company or firm undertakes when it attempts to operate within a given field or industry.
- C. Operational risk is a risk arising from execution of a company's business functions.
- D. Operational risk is the risk of loss resulting from inadequate or failed processes, people and systems or from external events.
正解：D
解説：
The Basel II Accord defines operational risk as the risk of loss resulting from inadequate or failed processes, people, and systems, or from external events. This definition encompasses a wide range of potential risks that banks must manage.
質問 # 63
Which of the following factors would typically increase the credit spread?
I. Increase in the probability of default of the issuer.
II. Decrease in risk premium.
III. Decrease in loss given default of the issuer.
IV. Increase in expected loss.
- A. I and IV
- B. I
- C. II and III
- D. I, II, and IV
正解：A
解説：
The credit spread reflects the additional yield over the risk-free rate that investors demand to compensate for the risk of default. An increase in the probability of default of the issuer (I) would directly increase the credit spread as investors require more return for higher risk. Similarly, an increase in expected loss (IV) would increase the credit spread since the potential loss in the event of default is greater. On the other hand, a decrease in risk premium (II) or a decrease in loss given default (III) would typically lower the credit spread, not increase it.
質問 # 64
US based Alpha Bank holds European corporate bonds and US inflation-indexed Treasury notes in its
investment portfolio. This investment portfolio is not exposed to changes in which of the following?
- A. Equity values
- B. Foreign exchange rates
- C. Credit spread on the corporate bonds
- D. European interest rates
正解：A
質問 # 65
The market risk manager of SigmaBank is concerned with the value of the assets in the bank's trading book.
Which one of the four following positions would most likely be not included in that book?
- A. $10,000,000 loan to IBM worth $9,800,000.
- B. $10,000,000 bond issued by IBM worth $11,000,000.
- C. 300,000 options on IBM shares worth $10,000,000.
- D. 10,000 shares of IBM worth $10,000,000.
正解：A
解説：
A $10,000,000 loan to IBM worth $9,800,000 would most likely not be included in the trading book. Loans held to maturity are generally part of the banking book rather than the trading book, which typically includes assets intended for trading and short-term profit.
質問 # 66
To achieve leverage in long positions, a bank can use the following strategy:
I. Securities may be purchased with borrowed funds using a bank loan from the broker.
II. Securities may be borrowed on margin by taking a loan from a broker.
III. Securities may be purchased and used in a repo transaction to generate cash for further security purchases.
IV. The bank may enter into a derivative transaction, such as a total return swap, that requires little to no collateral but mimics the performance of a long or short position in the underlying instrument.
- A. I, II
- B. I, II, III, IV
- C. I, III
- D. II, IV
正解：B
解説：
* Identify the strategies for achieving leverage in long positions:
* I. Securities may be purchased with borrowed funds using a bank loan from the broker.
* This is a common method known as margin trading, where an investor borrows money from a broker to purchase securities.
* II. Securities may be borrowed on margin by taking a loan from a broker.
* This is another form of margin trading where the securities themselves are used as collateral for the loan.
* III. Securities may be purchased and used in a repo transaction to generate cash for further security purchases.
* In a repurchase agreement (repo), securities are sold with an agreement to buy them back at a later date, providing immediate liquidity for further investments.
* IV. The bank may enter into a derivative transaction, such as a total return swap, that requires little to no collateral but mimics the performance of a long or short position in the underlying instrument.
* Derivatives like total return swaps allow for exposure to the performance of an asset without owning it, often with minimal collateral requirements.
* Explanation:
* All the listed strategies (I, II, III, IV) are valid methods for a bank to achieve leverage in long positions. They involve different mechanisms of borrowing funds or utilizing existing assets to increase the potential return on investment.
References:
* From the search results, this information is consistent with standard financial practices outlined in the
"How Finance Works" document and general financial knowledge on leverage and margin trading.
質問 # 67
Typically, which one of the following four option risk measures will be used to determine the number of
options to use to hedge the underlying position?
- A. Vega
- B. Delta
- C. Theta
- D. Rho
正解：B
質問 # 68
What is the order in which creditors and shareholders get repaid in the event of a bank liquidation?
- A. Depositors, shareholders, depositors.
- B. Depositors, debt holders, shareholders.
- C. Debt holders, depositors, shareholders.
- D. Depositors, shareholders, debt holders.
正解：B
質問 # 69
Which one of the following four alternatives lists the three most widely traded currencies on the global foreign exchange market, as of April 2007, in the decreasing order of market share? EUR is the abbreviation of the European euro, JPY is for the Japanese yen, and USD is for the United States dollar, respectively.
- A. EUR, USD, JPY
- B. USD, JPY, EUR
- C. JPY, EUR, USD
- D. USD, EUR, JPY
正解：D
解説：
As of April 2007, the three most widely traded currencies on the global foreign exchange market in decreasing order of market share were the United States dollar (USD), the European euro (EUR), and the Japanese yen (JPY). This ranking reflects the liquidity and trading volume associated with each currency, with the USD being the most traded, followed by the EUR and then the JPY.
References:Information confirming the ranking of the three most widely traded currencies can be found in financial market reports and historical data from financial institutions that track foreign exchange volumes.
質問 # 70
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. Protecting against the risk of the failure of one of the large banks
- B. Mitigating option hedging risks and altering margin requirement
- C. Eliminating the collateral requirement
- D. Protecting itself against increases in future collateral demands
正解：B
質問 # 71
A bank customer expecting to pay its Brazilian supplier BRL 100 million asks Alpha Bank to buy Australian
dollars and sell Brazilian reals. Alpha bank does not hold Brazilian reals so it asks for a quote to buy Brazilian
reals in the market. The market rate is 100. The bank quotes a selling rate of 101 to its customer, sells the
reals, and receives AUD 1,010,000. To perform foreign exchange matched position trading, the banks should
- A. Immediately buy the real above the market rate of 105 and pay AUD 1,050,050.
- B. Immediately sell the real at the market rate of 100 and receive AUD 1,000,000.
- C. Immediately sell the real above the market rate of 105 and receive AUD 1,050,050.
- D. Immediately buy the real at the market rate of 100 and pay AUD 1,000,000.
正解：D
質問 # 72
Which one of the following four options does NOT represent a benefit of compensating balances to the bank?
- A. Compensating balances allow the bank to net some of the exposure they may have in case of default, by
taking funds from these specific deposit account one the borrower defaults. - B. Since the compensating balances reduce the next amount lent to the borrower, the earned return on the
loan is increased, further widening the bank's interest rate margin and profitability. - C. Compensation balances influence the expected loss rate of the bank given the default obligor and
improve capital structure by controlling obligor type and avoiding payment delays. - D. Since the compensating balances cannot be withdrawn at short notice, if at all, they are not considered
transaction accounts and are able to provide a stable funding to the bank, reducing its reliance on more
volatile external inter-bank based funding sources.
正解：C
質問 # 73
Using a forward transaction, Omega Bank buys 100 metric tones of aluminum for delivery in six-months' time.
However, after two months, the bank becomes concerned with the potential fluctuations in aluminum prices
and wants to hedge its potential exposure against a possible decline in aluminum prices. Which one of the
following four strategies could the bank use to offset the risk from its current exposure to aluminum as it sets
the price for selling the commodity in four-months' time?
- A. Sell an aluminum forward contract
- B. Buy an aluminum futures contract
- C. Sell an aluminum futures contract
- D. Buy an aluminum forward contract
正解：C
質問 # 74
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 reduce the duration
- C. Take positions to make the convexity zero
- D. Since the portfolio is duration hedged Sam does not need to take additional positions.
正解：C
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 # 75
Which one of the following four exotic option types has another option as its underlying asset, and as a result of its construction is generally believed to be very difficult to model?
- A. Chooser options
- B. Spread options
- C. Compound options
- D. Binary options
正解：C
解説：
Compound options are exotic options that have another option as their underlying asset, making them particularly complex to model. The complexity arises because the value of a compound option is derived from another option, which is already a derivative with its own set of valuation challenges. This nested structure introduces multiple layers of volatility and dependencies that are difficult to predict and model accurately using standard option pricing models.
質問 # 76
Which one of the following four statements regarding commodity derivative risks is INCORRECT?
- A. In most commodities, the longest term contracts are the most volatile, while the shortest term forward
contract are the least volatile. - B. Calendar spreads represent a special case of basis risk and occur when the relative prices of commodity
futures do not come in alignment and the trader becomes exposed to the absolute price movements. - C. Some commodities can be both in backwardation and a have a strong seasonal element.
- D. Because of the different demand/supply balance in each region and the cost of transporting the oil
between regions, a tanker of Brent crude oil in the UK will have a different value to a UK buyer than a
tanker of Arab light crude oil in Singapore, which results in the basis risk.
正解：A
質問 # 77
A trader for EtaBank wants to take a leveraged position in Collateralized Debt Obligations. If these CDOs can
be used in a repo transaction at a 20% haircut, what is the maximum leverage factor for a transaction with the
CDOs?
- A. 0.8
- B. 1.5
- C. 0
- D. 1
正解：D
質問 # 78
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2016-FRR練習テストエンジンで今すぐ使おう344試験問題：https://drive.google.com/open?id=12dZ80bYo8UIscR2wdA8ZtGZxnU11gtSp