リアルGARP 2016-FRR試験問題 [更新されたのは2023年]
2016-FRR試験問題集で合格させるのは更新されたのは2023年年最新のFinancial Risk and Regulation (FRR) Series
GARP 2016-FRR 試験は、市場リスク、信用リスク、オペレーショナルリスク、流動性リスク、規制コンプライアンスフレームワークなど、金融リスク管理と規制コンプライアンスに関連する広範なトピックをカバーしています。この試験は、量的分析に焦点を当てた Part I と規制および業界の実践をカバーした Part II の2つのパートに分かれており、両方のパートを合格する必要があります。この試験はコンピュータベースで、世界中のテストセンターで提供されています。合格者は、金融リスクと規制コンプライアンスに関する知識と専門知識を証明し、金融サービス業界でキャリアを進めるための有利な立場にあります。
GARP 2016-FRR試験は、リスク管理と規制のコンプライアンスに関する専門知識を実証したい金融専門家の重要な認定試験です。この試験では、幅広いトピックをカバーしており、候補者は金融業界と規制環境を深く理解する必要があります。試験に合格することは、専門能力開発へのコミットメントと職業上の行動の最高水準を示す重要な成果です。
質問 # 194
Which one of the following four statements about preferred shares is INCORRECT?
- A. Preferred shares are subordinated to debt.
- B. Preferred shares represent residual of a corporation after its other liabilities have been paid.
- C. Preferred shares refer to a class of securities that is a cross between equity and debt.
- D. Preferred shares can be perpetual or have maturities far exceeding debt maturities.
正解：B
質問 # 195
Counterparty credit risk assessment differs from traditional credit risk assessment in all of the following
features EXCEPT:
- A. Counterparty risk creates a two-way credit exposure
- B. Collateral arrangements are typically static in nature
- C. Exposures can often be netted
- D. Exposure at default may be negatively correlated to the probability of default
正解：B
質問 # 196
All of the four following exotic options are path-independent options, EXCEPT:
- A. Power options
- B. Basket options
- C. Asian options
- D. Chooser options
正解：C
質問 # 197
Gamma Bank estimates its monthly portfolio volatility at 5%.The portfolio's annual volatility is closest to
which of the following?
- A. 35%
- B. 30%
- C. 8%
- D. 17%
正解：D
質問 # 198
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. Duration of default.
- B. Loss given default.
- C. Exposure at default.
- D. Probability of default.
正解：D
質問 # 199
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. Increased by 1120 basis points
- B. Decreased by 880 basis points
- C. Increased by 880 basis points
- D. Increased by 1000 basis points
正解：C
質問 # 200
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 may happen to the Delta's initial credit parameter and the value of its loan if the machinery industry
experiences adverse structural changes?
- A. Probability of default and loss at default may decrease simultaneously, while duration rises causing the
loan value to decrease. - B. Probability of default and loss at default may increase simultaneously, while duration rises causing the
loan value to decrease. - C. Probability of default and loss at default may decrease simultaneously, while duration falls causing the
loan value to decrease. - D. Probability of default and loss at default may increase simultaneously, while duration falls causing the
loan value to decrease.
正解：D
質問 # 201
According to the largest global poll of foreign exchange market participants, which one of the following four
global financial institutions was the most active participant in the global foreign exchange market?
- A. Barclays Capital
- B. UBS AG
- C. Deutsche Bank
- D. Citibank
正解：C
質問 # 202
James manages a loans portfolio. He has to evaluate a large number of loans to choose which of them he will
keep in the bank's books. Which one of the following four loans would he be most likely to sell to another
bank?
- A. Loan to a commercial customer with a good payment history and collateral.
- B. Loan to a borrower who has been delinquent previously, but now is performing as agreed.
- C. Loan to a major customer who is also a director and a large owner.
- D. Loan made to a highly risky borrower that is fully collateralized by the customer's deposits.
正解：A
質問 # 203
Which one of the following four statements does identify correctly the relationship between the value of an
option and perceived exchange rate volatility?
- A. As the perceived future foreign exchange volatility increases, the value of all options increases.
- B. With increases in perceived future foreign exchange volatility, the value of all foreign exchange
- C. Option values can only change due to the factors related to the demand for specific options
- D. As the perceived future foreign exchange volatility decreases, the value of all options increases.
正解：A
質問 # 204
Which of the following statements about implementation of a successful RCSA program is correct?
- A. The RCSA scoring methodology should include only financial impacts and not include reputational,
legal, regulatory, client and life safety impacts. - B. An RCSA is only complete after all possible mitigating actions have been identified and analyzed as a
result of the assessment process. - C. Internal loss data help to identify the risks and control weaknesses that need to be addressed in the
RCSA; external events are not helpful in informing the discussions around potential risks. - D. To ensure that the RCSA is well designed, it is important to interview participants, stakeholders and
support functions prior to the launching the RCSA.
正解：D
質問 # 205
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. 2.3 years
- B. 3.7 years
- C. 2.1 years
- D. 1.5 years
正解：A
質問 # 206
In the United States, foreign exchange derivative transactions typically occur between
- A. All banks with international branches, where the risks become widely distributed based on trading
exposures. - B. Regional banks with international operations, where the risks depend on the specific derivative
transactions. - C. A few large internationally active banks, where the risks become concentrated.
- D. Thrifts and large commercial banks, where the risks become isolated.
正解：C
質問 # 207
The risk management department of VegaBank wants to set guidelines on commodity carry trades. Which of
the following strategies should she pursue to achieve a profitable commodity carry?
I. Buy short-term commodity futures and sell longer-dated position when the curve is in contango.
II. Buy short-term commodity futures and sell longer-dated position when the curve is in backwardation.
III. Buy long-term commodity futures and sell shorter-dated positions when the curve is in contango.
IV. Buy long-term commodity futures and sell shorter-dated positions when the curve is in backwardation.
- A. I, II
- B. II, IV
- C. I, III
- D. I, IV
正解：D
質問 # 208
BetaFin has decided to use the hybrid RCSA approach because it believes that it fits its operational
framework. Which of the following could be reasons to use the hybrid RCSA method?
I. BetaFin has previously created series of RCSA workshops, and the results of these workshops can be used to
design the questionnaires.
II. BetaFin believes that using the questionnaire approach should be more useful.
III. BetaFin had used the questionnaire approach successfully for certain businesses and the workshop
approach for others.
IV. BetaFin had already implemented a sophisticated RCSA IT-system.
- A. I and III
- B. I and II
- C. II, III, and IV
- D. III and IV
正解：A
質問 # 209
Which of the following are typical properties of a statistical distribution of potential losses that a bank might
sustain over a period of time?
I. The range of possible losses above the average loss is much greater than those below the average loss.
II. The loss that is most likely to occur is below the average loss.
III. The loss that is most likely to occur is above the average loss.
- A. I, II
- B. I, III
- C. III
- D. II
正解：D
質問 # 210
Which of the following statements depicts a difference between funding liquidity risks and trading liquidity
risks?
- A. Funding liquidity risks are associated with how fast prices move in the market while trading liquidity
risks originate out of bank trades. - B. Funding liquidity risks are associated only with the bank assets while trading liquidity risks are
associated with both assets and liabilities of the bank. - C. Funding liquidity risks are concerned with the ability of the bank to fund deposits withdrawals while
trading liquidity risks are concerned with the change in bid-offer spreads of asset values. - D. Funding liquidity risks are short term risks while trading liquidity risks are longer term risks.
正解：C
質問 # 211
Which one of the following four statements correctly defines a typical carry trade?
- A. A bank borrows funds in a high-interest currency and invests the funds into high-yield emerging market
debt. - B. A bank borrows funds in a low-interest currency, accumulates reserves, and lends in another
low-interest currency. - C. A bank borrows funds in a low-interest currency and places the funds on deposit in a high-interest
currency. - D. A bank borrows funds in a high-interest currency and places the funds in a long-term low volatility
investment vehicle.
正解：C
質問 # 212
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