GARP 2016-FRR 問題集

質問 1：
A large multinational bank is concerned that their duration measures may not be accurate since the yield curve
shifts are not parallel. Which of the following statements would be typically observed regarding variability of
interest rates?
A. Short-term rates are less variable than long-term rates.
B. Short-term rates and long-term rates always move in opposite directions.
C. Short-term rates are more variable than long-term rates.
D. Short-term rates are equally variable as long-term rates.
正解：C

質問 2：
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. I
B. I, II
C. II
D. III, IV
正解：D

質問 3：
Since most consumers of natural gas do not have the ability to store it, they contract with gas suppliers to
receive a flow of natural gas equal to a specific number of MMBT's per day (MMBT is millions of British
Termal Units, the unit in which gas futures are quoted on the U.S. markets). To protect against price increases
with a bank, the natural gas consumer, concerned with the average price over the course of the month, will use
the following contracts:
A. Flexible volume options
B. Compound options
C. Asian options
D. American options
正解：C

質問 4：
If a bank is long £500 million pounds, short £300 million in delta-equivalent pound options, and long £100
million in pound-denominated stocks, what is the amount of pound exposure that would be shown in the
aggregated risk reports?
A. £500 million pounds
B. £300 million pounds
C. £800 million pounds
D. £900 million pounds
正解：B

質問 5：
Which one of the following four statements correctly defines an option's delta?
A. Delta measures the effect of 1 bp in interest rate change on the option price.
B. Delta measures the impact of volatility on the price of an option.
C. Delta is the multiplier that best approximates the short-term change in the value of an option.
D. Delta measures the expected decline in option with time and is usually expressed in years.
正解：C

質問 6：
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. Short-term debt convertible to non-cumulative preferred shares
B. Short-term callable debt
C. Convertible preferred shares
D. Long-term and callable debt convertible to equity
正解：C

質問 7：
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. I, II
B. II
C. I, II, III
D. II, III
正解：A

質問 8：
Which one of the following four statements about regulatory capital for a bank is accurate?
A. Regulatory capital is less than the regulatory capital requirement.
B. Regulatory capital reflects the economic tradeoffs of the bank as accurately as the bank can represent
them.
C. Regulatory capital is determined by rules imposed by an outside authority, such as a supervisor or
central bank.
D. Regulatory capital is the lowest level of economic capital the bank should have to meet regulatory
requirement.
正解：C

質問 9：
Which type of risk does a bank incur on loans that are in the "pipeline", i.e loans that are in the process of
origination but not yet originated?
A. Interest rate risk only
B. Credit Risk only
C. The bank does not incur any risk since the loan is not yet originated
D. Interest rate risk and credit risk
正解：A