最新的GARP Financial Risk and Regulation (FRR) Series - 2016-FRR免費考試真題
To estimate the interest charges on the loan, an analyst should use one of the following four formulas:
正確答案: D
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Which one of the following four statements about hedging is INCORRECT?
正確答案: C
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Mega Bank holds a $250 million mortgage loan portfolio, which reprices every 5 years at LIBOR + 10%. The bank also has $150 million in deposits that reprices every month at LIBOR + 3%. What is the amount of Mega Bank's rate sensitive assets?
正確答案: D
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A bank customer chooses a mortgage with low initial payments and payments that increase over time because the customer knows that she will have trouble making payments in the early years of the loan. The bank makes this type of mortgage with the same default assumptions uses for ordinary mortgages, thus underestimating the risk of default and becoming exposed to:
正確答案: C
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While contractually, depositors are not required to keep liquid funds on deposit for very long, in fact they tend to leave their deposits for longer periods of time, even if interest rates rise and the bank does not raise its deposit interest rate. What does a bank consider these deposits to be?
正確答案: C
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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.
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.
正確答案: B
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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 95% confidence level. Which bank is in a more risky position as measured by VaR?
10 million at 95% confidence level. Which bank is in a more risky position as measured by VaR?
正確答案: B
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Which one of the following four statements regarding commodity exchanges is INCORRECT?
正確答案: D
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Which one of the following four interest rate related yield curves is used to revalue loan and deposit positions in banks?
正確答案: C
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A bank customer can use either a plain vanilla option or an option contract with volumetric flexibility to reduce the following risks:
I). Market Risk
II). Basis Risk
III). Operational Risk
I). Market Risk
II). Basis Risk
III). Operational Risk
正確答案: D
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Which of the following statements regarding bonds is correct?
I. Interest rates on bonds are typically stated on an annualized rate.
II. Bonds can pay floating coupons that are directly linked to various interest rate indices.
III. Convertible bonds have an element of prepayment risk.
IV. Callable bonds have an element of equity risk.
I. Interest rates on bonds are typically stated on an annualized rate.
II. Bonds can pay floating coupons that are directly linked to various interest rate indices.
III. Convertible bonds have an element of prepayment risk.
IV. Callable bonds have an element of equity risk.
正確答案: C
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BIS Principles for Sound Liquidity Risk Management and Supervision seek to raise standards in which of the following areas?
I. Aligning the risk-taking incentives of individual business units with their liquidity risk exposures.
II. Management of intraday liquidity risks and collateral positions.
III. Public disclosures of a bank's liquidity risk profile and management.
IV. Maintenance of sufficient regulatory capital to survive protracted periods of liquidity stress.
I. Aligning the risk-taking incentives of individual business units with their liquidity risk exposures.
II. Management of intraday liquidity risks and collateral positions.
III. Public disclosures of a bank's liquidity risk profile and management.
IV. Maintenance of sufficient regulatory capital to survive protracted periods of liquidity stress.
正確答案: A
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Which one of the following areas does not typically report into a central operational risk function?
正確答案: A
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For a bank a 1-year VaR of USD 10 million at 95% confidence level means that:
正確答案: B
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