FRMExam完整版真题试题.docx

1、FRMExam完整版真题试题Question 1Which type of option produces discontinuous payoff profiles .meaning that the payoff does not increase or decrease continuously with the underlying asset value?a. Chooser options b. Barrier options c. Binary optionsd. Lookback options Question 2The exchange rate of the Canadi

2、an dollar for the u.s.dollar can evolve to one of two possible values over the next period with equal probability. the table shows the possible values for the u.s. dollar price of the Canadian dollar and the Canadian dollar price of the u.s. dollar in one period .using this table. determine which of

3、 the statements below are correct.Level CADUSD USDCADCurrent 1.0000000 1.000000 UP 1.1000000 0.9090909DOWN 0.9000000 1.1111111a. ECADUSD Rate=1/EUSDCAD Rateb. EUSDCAD Rate 1/ECADUSD Ratec. EUSDCAD Rate 1/ECADUSD Rated. ECADUSD Rate=EUSDCAD RateAnswer questions 3 and 4 based on the following informat

4、ionA risk manager for ABC bank has compiled the following date regarding a bond trader and an equity trader. Assume that the returns are normally distributed and that there are 52 trading weeks per year. ABC bank computes its capital using a 99% VaR. the after-tax profits are all-inclusive. ABC Bank

5、 DateUSD millionsAfter-tax net book weekly tax Profit market value volatility rateBond traderEquity trader USD 8 USD 120 1.1% 40%USD 18 USD 180 1.94% 40%Question 3Using the ABC bank date .calculate the annual risk-adjusted return on capital (RAROC) for the bond trader?a. 25.24%b. 36.08%c. 60.15%d. 8

6、4.92%Question 4Using the ABC bank date. which of the following statements are correct in relation to the equity trader? The equity trader has an annual .after-tax VaR at a 99%confidonce level of USD 33.2 million. In comparing the RAROC for both traders. the equity trader is performing better than th

7、e bond trader.a. only b. only c. Both d. NeitherQuestion 5The stand-alone economic capital requirements for insurance companies can be broken down into three major risk; credit risk, market/ALM risk and operating and other risks .analyzing the risk. profiles of a life insurer ;a P&C insurer. A diver

8、sified insurer ,and a property insurer the highest market/ALM risk would be for a :a. Life insurerb. P&C insurerc. Diversified insurerd. Property insurerQuestion 6company XYZs pension fund has liabilities of USD 100 million and assets of USD 120 million. The annual growth of the liabilities has an e

9、xpected value of 5% with 3% volatility . the return of the assets has an expected value of 8% with 12% volatility. The correlation between asset return and liability growth is 0.3. what is the 95%surplus-at-risk?a. USD 27.6 millionb. USD 22.7millionc. USD13.8 milliond. USD 18.1 millionQuestion 7cons

10、ider an all-equity firm with equity capitalization of USD 2 billion. The firms CFO considers the following three financing strategies 1. issue zero-coupon senior debt with principal amount of USD 1 billion payable in 10 years and purchase insurance for USD 100 million that will pay losses on the sen

11、ior debt to investors in excess of USD 500 million2. issue zero-coupon junior debt with principal amount of USD 500 million payables 10 years and issue zero-coupon senior debt with principal amount of USD 500million payables 10years3. issue zero-coupon senior debt with principal amount of USD 1 bill

12、ion payable 10 years with a put option attached that gives investors the right to put debt to the firm at maturity for the principal amount which of theses strategies would have the most risky senior debt?a. Strategy 1b. Strategy 2c. Strategy 3d. Senior debts are equally risky in all three strategie

13、s Question 8gamma industries inc issues an inverse floater with a face value of USD 50.000.000 that pays a semiannual coupon of 1150% minus LIBRO gamma industries intends to execute an arbitrage strategy and earn a profit by selling the notes. Using the proceeds to purchase a bond with a fixed semia

14、nnual coupon rate of 6.75% a year and then hedge the risk by entering into an appropriate swap. Gamma industries receives a quote from a swap dealer with a fixed rate of 5.75% and a floating rate of LIBOR. What would be the most appropriate type of swap of Gamma industries, Inc., to enter into to he

15、dge its risk?a. Pay-fixed, receive-fixed swapb. Pay-floating, receive-fixed swapc. Pay-fixed, receive-floating swapd. The risk cannot be hedged with a swapQuestion 9a portfolio manager enters into a total of return swap as the total return receiver. Under which of the following situations would the

16、portfolio manger be required to make a net outlay to the counterparty?a. If the transaction was initiated as a hedge. Then no outlay was required b. If there were a capital gain on the reference asset c. If the market value of the reference asset decreased significantly d. If the spread between the

17、reference asset and the benchmark asset changedQuestion 10which of the following statements about combating model risk are incorrect?1 If a position is know to have considerable model risk. A firm can limit its exposure by imposing a tighter position limit2 If we always choose the model that takes i

18、nto account the largest number of real-world factors that affect prices. The firms exposure to model risk will be reduced 3 Running regular stress tests or scenario analyses to test the volatility. Correlation and liquidity assumptions in model helps reduce model risk 4 Risk managers should check th

19、e traders pricing model to ensure that model calibration is up-to-date and that models are upgraded in line with market best practice and to ensure that obsolete models are identified and taken out of use a. None are true b. only c. ， and d. ，and Question 11Which type of distribution produces the lo

20、west probability for a variable to exceed a specified extreme value “X” Which is greater than the mean ,assuming the distribution all have the same mean and variance?a. A leptokurtic distribution with a kurtosis of 4.b. A leptokurtic distribution with a kurtosis of 8.c. A normal distribution.d. A pl

21、atykurtic distribution.Question 12An American investor holds a portfolio of French stocks. The market value of portfolio is 10 million ,with a beta of 1.35 relative to CAC index .In November ,the spot value of the CAC index is 4750.The exchange rate is USD 1.25/.The dividend yield.auro interest rate

22、s and dollar interest rates are all equal to 4% .Which of the following option strategies would be the most appropriate to protect the portfolio against a decline of the euro? March Euro options (all prices in US dollar per) Strike Call euro Put euro1.25 0.018 0.022 a. Buy calls with a premium of US

23、D 160,000.b. Buy puts with a premium of USD 220,000.c. Sell calls with a premium of USD 180,000.d. Sell puts with a premium of USD 220,000.Question 13In an attempt to provide guidance on an additional steps to be taken by the private sector to promote the efficiency ,effectiveness and stability of t

24、he global financial system .The counterparty risk management policy Group II (GRMPG II) published a report in July 2005 containing recommendations and guiding principles. According to the GRMPG II report, which of the following statements relating to Emerging Issue is incorrect ?a. GRMPG II recommen

25、ds that fiduciaries taking on risks associated with complex products should have the ability to aggregate risk across their entire pool of assets in order to understand portfolio-level implications.b. GRMPG II recommends that hedge funds. on a voluntary basis, adopt the relevant recommendations and

26、guiding principles contained in their (GRMPG II) report.c. As a guiding principle in selling structured products to retail investors ,financial intermediaries should consider whether disclosure appropriately conveys the fact that secondary market value ,at maturity, will be less than the issue price

27、.d. As a guiding principle，senior management should conduct periodic reviews of the financial intermediarys internal controls for the sale of complex products retail investors.Question 14 Which statement best describes correlations an variances in times of financial crisis ?a. There are only margina

28、l changes in correlations and variances in times of crisis, and therefore they do not need to be factored into risk management.b. The diversification benefits decrease because correlations increase, and therefore your risk level increases.c. The diversification benefits increase because correlations

29、 decrease, and therefore your risk level decreases.d. VaR estimates using the Riskmetrics approach provide for the effects of increased correlations during periods crisis, and therefore the effects are factored into current positions.Question 15Assume the marginal monthly default rates (conditional

30、on no previous default )for a firm are 2%each month during the first year and 3%each month during the second year. What is the marginal probability of defaulting over the the second year, conditional on not having defaulted the first year ?a. Insufficient information to answer the question b. 30.6%

31、c. 36.0%d. 47.4%Question 16Given two random variables X and Y ,What is the variance of X,Given VarianceY=100.Variance4X-3Y=2,700 and the correlation between X and Y is 0.5?a. 56.3b. 113.3c. 159.9d. 225.0 Question 17A portfolio has an average return over the last year of 13.2%.Its benchmark has provi

32、ded an average return over the same period of 12.3%. The portfolios standard deviation is 15.3%,its beta is 1.15,its tracking error volatility is 6.5% and its semi- standard deviation is 94%.Lastly ,the risk-free rate is 4.5%.Calculate the portfolios information Ratio (IR).a. 0.569b. 0.076c. 0.138d.