GARP 2016-FRR 問題集

質問 1：
Which one of the following four statements regarding the current value of a transaction and its purposes is INCORRECT?
A. Profit and loss calculations are made by comparing the current values to the intrinsic values.
B. Counterparty credit risk calculations are made by analyzing the current values of all deals with the same counterparty.
C. For cash settled instrument the final market value is used to settle the transaction with the counterparty
D. Margin call by futures exchanges are based on the current market value.
正解：A
解説: (Topexam メンバーにのみ表示されます)

質問 2：
A credit rating analyst wants to determine the expected duration of the default time for a new three-year loan, which has a 2% likelihood of defaulting in the first year, a 3% likelihood of defaulting in the second year, and a 5% likelihood of defaulting the third year. What is the expected duration for this three-year loan?
A. 2.1 years
B. 2.3 years
C. 3.7 years
D. 1.5 years
正解：A
解説: (Topexam メンバーにのみ表示されます)

質問 3：
On January 1, 2010 the TED (treasury-euro dollar) spread was 0.4%, and on January 31, 2010 the TED spread is 0.9%. As a risk manager, how would you interpret this change?
A. Increase in credit risk on T-bills.
B. Increase in interest rates on both interbank loans and T-bills.
C. The decrease in the TED spread indicates a decrease in credit risk on interbank loans.
D. The decrease in the TED spread indicates an increase in credit risk on interbank loans.
正解：A
解説: (Topexam メンバーにのみ表示されます)

質問 4：
Which one of the following four statements about equity indices is INCORRECT?
A. Capitalization-weighted equity indices are not generally considered better to track the performance of an overall market.
B. Equity indices are numerical calculations that reflect the performance of hypothetical equity portfolios.
C. Equity indices do not trade in cash form, rather, they are meant to track the overall performance of an equity market.
D. Price-weighted equity indices give greater weight to shares trading at high prices.
正解：A
解説: (Topexam メンバーにのみ表示されます)

質問 5：
Which of the following statements regarding collateralized debt obligations (CDOs) is correct?
I. CDOs typically have loans or bonds as underlying collateral.
II. CDOs generally less risky than CMOs.
III. There is a correlation among defaults in the CDO collateral which should be considered in valuation of these complex instruments.
A. I and III
B. I only
C. I, II, and III
D. II and III
正解：A
解説: (Topexam メンバーにのみ表示されます)

質問 6：
If the LTV (loan-to-value ratio) is 75%, what is the haircut?
A. 5%
B. 50%
C. 75%
D. 25%
正解：D
解説: (Topexam メンバーにのみ表示されます)

質問 7：
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. I, III
B. I, II
C. II, IV
D. I, II, III, IV
正解：D
解説: (Topexam メンバーにのみ表示されます)

質問 8：
Which one of the following four statements about the "market-maker" trading strategy is INCORRECT?
A. A market maker can benefit from the market information she gets from the trades she is asked to execute.
B. This risk in this strategy is that traders have to take positions that may quickly incur a loss.
C. This strategy is independent of market liquidity and number of other market makers.
D. A market maker that attracts buy and sell orders can make a profit from the spread quoted between the buy and sell price.
正解：C
解説: (Topexam メンバーにのみ表示されます)

質問 9：
Which of the following statements describes correctly the objectives of position mapping ?
A. Position mapping groups similar positions into one group based on the closeness of their respective VaR.
B. Position mapping reduces the possible number of risk factors to a computationally manageable level.
C. For VaR calculations, mapping converts positions based on their deltas to underlying factor risks.
D. II, III, and IV
E. I, II and III
F. II and IV
G. I and II
H. Position mapping models risk factors affecting the value of a position as combination of core risk factors used in the VaR calculations.
正解：C
解説: (Topexam メンバーにのみ表示されます)