最新的GARP ICBRR免費考試真題

問題1

Oliver McCarthy owns a portfolio of bonds. Which of the following choices equals the modified duration of Oliver's portfolio?

A. Coupon-weighted average modified duration of the component bonds

B. Minimum of the modified durations of the component bonds

C. Maximum of the modified durations of component bonds

D. Value-weighted average modified duration of the component bonds

正確答案: D

問題2

Gamma Bank is active in loan underwriting and securitization business, and given its collective credit exposure, it will be typically most interested in the following types of portfolio credit risk:
I. Expected loss
II. Duration
III. Unexpected loss
IV.
Factor sensitivities

A. II

B. I, III, IV

C. I

D. I, III

正確答案: B

問題3

What is a difference between currency swaps and interest rate swaps?

A. Currency swaps do not require the exchange of notional principal on maturity.

B. Currency swaps generate foreign exchange rate risk in addition to interest rate risk.

C. Currency swaps allow banks and customers to obtain the risk/reward profile of long-term interest rates without having to use long-term funding.

D. Currency swaps are OTC derivative contracts.

正確答案: B

問題4

Foreign exchange rates are determined by various factors. Considering the drivers of exchange rates, which one of the following changes would most likely strengthen the value of the USD against other foreign currencies?

A. The global demand for US products decreases

B. The US current account surplus increases

C. The expected US inflation rate increases

D. The economic performance in the US weakens

正確答案: B

問題5

Which of the following factors are typically included in standard operational risk definitions?
I. Human errors
II. Process failure
III. Systems failure
IV.
Unexpected events

A. II and III

B. I, II and III

C. I and II

D. I and IV

正確答案: B

問題6

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. $1 million

B. $0.5 million

C. $0.7 million

D. $0.4 million

正確答案: B

問題7

Which one of the following four relationships should be used to price equity forwards or futures?

A. Equity forward or futures price = market equity price + (1 + risk-free rate + expected dividend rate)t

B. Equity forward or futures price = market equity price x (1 - risk-free rate - expected dividend rate)t

C. Equity forward or futures price = market equity price x (1 + risk-free rate - expected dividend rate)t

D. Equity forward or futures price = market equity price + (1 + risk-free rate - expected dividend rate)t

正確答案: C

問題8

Mega Bank has $100 million in deposits on which it pays 3% interest, and $20 million in equity on which it pays no interest. The loan portfolio of $120 million earns an average rate of 10%. If the rates remain the same, what is the net interest income of Mega Bank?

A. $9 million per year

B. $5 million per year

C. $12 million per year

D. $2 million per year

正確答案: A

問題9

Suppose that a regulator deems all corporate debt to have the same risk level. Which of the following behavior of banks would be an example of regulatory arbitrage?

A. Banks decrease their exposure to corporate debt.

B. Banks shift their exposure to less risky corporate debt.

C. Banks increase their exposure to corporate debt.

D. Banks shift their exposure to more risky corporate debt.

正確答案: D

問題10

To estimate a partial change in option price, a risk manager will use the following formula:

A. Partial change in option price = Delta x Gamma x Change in underlying price

B. Partial change in option price = Delta x Change in underlying price

C. Partial change in option price = Delta x (1+ Change in underlying price)

D. Partial change in option price = Delta x Gamma x (1+ Change in underlying price)

正確答案: B

問題11

Gamma Bank has a significant number of retail customers and finds its balance sheet shape and structure difficult to manage. Which one of the following characteristics of a bank with wide retail operations is INCORRECT?

A. The way retail customers behave in relation to the retail banking products they hold often results in the apparent contractual obligation of the parties providing a poor description of the actual nature of the obligations.

B. Pricing of retail products often has more to do with marketing considerations rather than prevailing market price.

C. Attracting and retaining customers often involves offering retail products whose features are different from wholesale market products.

D. Banks with a wide retail base are typically driven by contractual obligations and not simply relationship considerations.

正確答案: D

問題12

An asset-sensitive bank will have a ___ cumulative gap and will benefit from ___ interest rates.

A. Positive; rising

B. Positive; dropping

C. Negative; dropping

D. Negative; rising

正確答案: A

問題13

Which of the following statements presents an advantage of using risk and control self-assessments (RCSA) in the operational risk framework?
I. RCSA provides very accurate scoring of risks and controls due to its subjective nature.
II. RCSA program provides insight into risks that exist in a firm, but that may or may not have occurred before.
III. RCSA program can produce biased but transparent operational risk reporting.
IV.
RCSA program allows each department to take ownership of its own risks and controls.

A. II, III, and IV

B. II and IV

C. I and III

D. I, II and III

正確答案: B

問題14

Suppose Delta Bank enters into a number of long-term commercial and retail loans at fixed rate prevailing at the time the loans are originated. If the interest rates rise:

A. The bank will have to pay lower interest rates to its depositors and would have to pay higher rates on its debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to fund the loans was of a shorter maturity than the loans.

B. The bank will have to pay higher interest rates to its depositors and would have to pay lower rates on its debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to fund the loans was of a shorter maturity than the loans.

C. The bank will have to pay lower interest rates to its depositors and would have to pay lower rates on its debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to fund the loans was of a shorter maturity than the loans.

D. The bank will have to pay higher interest rates to its depositors and would have to pay higher rates on its debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to fund the loans was of a shorter maturity than the loans.

正確答案: D

問題15

Of all the risk factors in loan pricing, which one of the following four choices is likely to be the least significant?

A. Probability of default

B. Exposure at default

C. Duration of default

D. Loss given default

正確答案: C

最新的GARP International Certificate in Banking Risk and Regulation (ICBRR) - ICBRR免費考試真題

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