GARP 2016-FRR 問題集

質問 1：
Arnold Wu owns a floating rate bond. He is concerned that the rates may fall in the future decreasing his payment amount. Which of the following instruments should he buy to hedge against the fall in interest rates?
A. Interest rate swap that receives floating and pays fixed
B. Interest rate floor
C. Index amortizing swap
D. Interest rate cap
正解：A
解説: (Topexam メンバーにのみ表示されます)

質問 2：
According to Basel II what constitutes Tier 3 capital?
A. Preference shares that confer on issuers the right to defer payment of a fixed dividend.
B. Subordinated debt issues that pay interest.
C. Hybrid debt capital instruments that are similar to equity.
D. Debt capital that can only be used to support market risk in the trading book of the bank.
正解：D
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 0.9%, and on January 31, 2010 the TED spread is 0.4%. 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：C
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 examples would not be considered a typical source of market risk?
A. Unexpected changes in the term structure of interest rates.
B. Changes in the oil price due to the discovery of new oil fields.
C. The JPY depreciating against the USD.
D. Increased default rate on commercial mortgages due to higher interest rates.
正解：D
解説: (Topexam メンバーにのみ表示されます)

質問 5：
The exercise for an American type option prior to expiration day is virtually certain in the following case:
A. In the event of a low dividend for an in-the-money put option
B. In the event of a high dividend for an in-the-money call option
C. In the event of a high dividend for an in-the-money put option
D. In the event of a low dividend for an in-the-money call option
正解：B
解説: (Topexam メンバーにのみ表示されます)

質問 6：
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 7：
Asset and liability management is typically concerned with all of the following activities:
I). Maintaining the desired liquidity structure of the bank.
II). Managing the factors affecting the structure and composition of a bank's balance sheet.
III). Effectively transferring the interest rate risk in the banking book to the investment bank at a fair transfer price.
IV). Focusing on the circumstances impacting the stability of income the bank generates over time.
A. I
B. III, IV
C. I, II, IV
D. II, III
正解：C
解説: (Topexam メンバーにのみ表示されます)

質問 8：
Alpha Bank determined that Delta Industrial Machinery Corporation has 2% change of default on a one-year no-payment of USD $1 million, including interest and principal repayment. The bank charges 3% interest rate spread to firms in the machinery industry, and the risk-free interest rate is 6%. Alpha Bank receives both interest and principal payments once at the end the year. Delta can only default at the end of the year. If Delta defaults, the bank expects to lose 50% of its promised payment. What interest rate should Alpha Bank charge on the no-payment loan to Delta Industrial Machinery Corporation?
A. 9%
B. 12%
C. 8%
D. 10%
正解：D
解説: (Topexam メンバーにのみ表示されます)

質問 9：
Which one of the four following statements about drawdowns is correct?
A. Drawdown quantifies the peak-to-trough decline of an investment over a known time period.
B. Drawdown estimates the effect on bank's liabilities when the bank's credit rating is cut.
C. Drawdown calculates significant losses in a particular business or a book.
D. Drawdown measures the aggregate decline in market values of assets and positions due to a shock.
正解：A
解説: (Topexam メンバーにのみ表示されます)