2016-FRR問題集、GARP実際の試験問題

質問 1

What are some of the drawbacks of correlation estimates? Which of the following statements identifies major problems with correlation calculations?
I. Correlation estimates are not able to capture increases in factor co-movements in extreme market scenarios.
II. Correlation estimates tend to be unstable.
III. Historical correlations may not forecast future correlations correctly.
IV. Correlation estimates assume normally distributed returns.

A. I and IV

B. II, III, and IV

C. I, II and III

D. I and II

正解: C

解説: (PassTest メンバーにのみ表示されます)

質問 2

Short-selling is typically associated with the following risks:
I. Potential for extreme losses
II. Risk associated with the availability of shares to borrow
III. Market behavior risk
IV. Liquidity risk

A. II, IV

B. I, II

C. I, III

D. I, II, III, IV

正解: D

解説: (PassTest メンバーにのみ表示されます)

質問 3

In the United States, foreign exchange derivative transactions typically occur between

A. Thrifts and large commercial banks, where the risks become isolated.

B. All banks with international branches, where the risks become widely distributed based on trading exposures.

C. A few large internationally active banks, where the risks become concentrated.

D. Regional banks with international operations, where the risks depend on the specific derivative transactions.

正解: C

解説: (PassTest メンバーにのみ表示されます)

質問 4

A bank considers issuing new capital to increase its Tier 1 capital levels. Which of the following financial instruments would most likely to be considered?

A. Long-term and callable debt convertible to equity

B. Short-term debt convertible to non-cumulative preferred shares

C. Convertible preferred shares

D. Short-term callable debt

正解: C

解説: (PassTest メンバーにのみ表示されます)

質問 5

Short-selling is typically associated with which of the following risks?
I. Potential for extreme losses
II. Risk associated with the availability of shares to borrow
III. Market behavior risk
IV. Liquidity risk

A. II, III, IV

B. I, II

C. I, III

D. I, II, III, IV

正解: D

解説: (PassTest メンバーにのみ表示されます)

質問 6

Which of the following statements explain how securitization makes the retail assets highly liquid and the balance sheet easier to manage?
I. By securitizing assets any lack of capital can be accommodated by selling the securitized bonds.
II. Any need to diversify credit risk can be achieved by selling bank's own securitized bonds and buying other bonds that increase diversification.
III. Securitization could be used to promote hedging by using limited market instruments.

A. II

B. II, III

C. I, II

D. I, II, III

正解: C

解説: (PassTest メンバーにのみ表示されます)

質問 7

From the bank's point of view, repricing the retail debt portfolio will introduce risks of fluctuations in:
I. Duration
II. Loss given default
III. Interest rates
IV. Bank spreads

A. II

B. III, IV

C. I, II

D. I

正解: B

解説: (PassTest メンバーにのみ表示されます)

質問 8

Which of the following statements about the interest rates and option prices is correct?

A. As interest rates rise, all options will rise in value.

B. As interest rates fall, all options will rise in value.

C. If rho is positive, rising interest rates increase option prices.

D. If rho is positive, rising interest rates decrease option prices.

正解: C

解説: (PassTest メンバーにのみ表示されます)

質問 9

Unico Bank, concerned with managing the risk of its trading strategies, wants to implement the trading strategy that exposes the bank to the lowest market risk. Which one of the following four strategies should Unico take to limit its risk exposure?

A. A covering strategy that manages positions in the product by executing covering deals or hedging deal at the discretion of the trading des.

B. A market-maker strategy that allows the traders to quote a buy and sell price to customers and other banks and to trade at the relevant price on the sell side of the market.

C. A passive hedging strategy that allows the traders to price transactions with customers and other banks, at the relevant bid price on the market.

D. A matched book strategy that allows the trading desk to match all customer positions immediately with an equal and opposite position by trading internally or with another bank.

正解: D

解説: (PassTest メンバーにのみ表示されます)

GARP Financial Risk and Regulation (FRR) Series - 2016-FRR 模擬練習