최신GARP Financial Risk and Regulation (FRR) Series - 2016-FRR무료샘플문제
문제1
A trader for EtaBank wants to take a leveraged position in Collateralized Debt Obligations. These CDOs can be used in a repurchase transaction at a 20% haircut. Starting with $100 worth of CDOs, which one of the following four positions would completely utilize the available leverage?
A trader for EtaBank wants to take a leveraged position in Collateralized Debt Obligations. These CDOs can be used in a repurchase transaction at a 20% haircut. Starting with $100 worth of CDOs, which one of the following four positions would completely utilize the available leverage?
정답: D
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문제2
A multinational bank just bought two bonds each worth $10,000. One of the bonds pays a fixed interest of 5% semi-annually and the other pays LIBOR semi-annually. The six month LIBOR isat 5% currently. The risk manager of the bank is concerned about the sensitivity to interest rates. Which of the following statements are true?
A multinational bank just bought two bonds each worth $10,000. One of the bonds pays a fixed interest of 5% semi-annually and the other pays LIBOR semi-annually. The six month LIBOR isat 5% currently. The risk manager of the bank is concerned about the sensitivity to interest rates. Which of the following statements are true?
정답: B
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문제3
ThetaBank has extended substantial financing to two mortgage companies, which these mortgage lenders use to finance their own lending. Individually, each of the mortgage companies have an exposure at default (EAD) of $20 million, with a loss given default (LGD) of 100%, and a probability of default of 10%.
ThetaBank's risk department predicts the joint probability of default at 5%. If the default risk of these mortgage companies were modeled as independent risks, the actual probability would be underestimated by:
ThetaBank has extended substantial financing to two mortgage companies, which these mortgage lenders use to finance their own lending. Individually, each of the mortgage companies have an exposure at default (EAD) of $20 million, with a loss given default (LGD) of 100%, and a probability of default of 10%.
ThetaBank's risk department predicts the joint probability of default at 5%. If the default risk of these mortgage companies were modeled as independent risks, the actual probability would be underestimated by:
정답: A
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문제4
The operational risk policy should include:
I. The firm's definition of risk
II. The governance of operational risk including who owns it, what it owns, and how issues should be escalated III. The main activities and elements that are managed by the operational risk function
The operational risk policy should include:
I. The firm's definition of risk
II. The governance of operational risk including who owns it, what it owns, and how issues should be escalated III. The main activities and elements that are managed by the operational risk function
정답: D
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문제5
By lowering the spread on lower credit quality borrowers, the bank will typically achieve all of the following outcomes EXCEPT:
By lowering the spread on lower credit quality borrowers, the bank will typically achieve all of the following outcomes EXCEPT:
정답: B
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문제6
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 may happen to the Delta's initial credit parameter and the value of its loan if the machinery industry experiences adverse structural changes?
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 may happen to the Delta's initial credit parameter and the value of its loan if the machinery industry experiences adverse structural changes?
정답: B
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문제7
An options trader is assessing the aggregate risk of her currency options exposures. As an options buyer, she can potentially ___ lose more than the premium originally paid. As an option seller, however, she has a ___ risk on the contract and always receives a premium.
An options trader is assessing the aggregate risk of her currency options exposures. As an options buyer, she can potentially ___ lose more than the premium originally paid. As an option seller, however, she has a ___ risk on the contract and always receives a premium.
정답: D
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문제8
Which one of the following areas does not typically report into a central operational risk function?
Which one of the following areas does not typically report into a central operational risk function?
정답: B
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문제9
Which one of the following four models is typically used to grade the obligations of small- and medium-size enterprises?
Which one of the following four models is typically used to grade the obligations of small- and medium-size enterprises?
정답: A
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문제10
For non-retail exposures, which one of the following factors must be determined by a bank when using the Foundation Internal Ratings-Based Approach?
For non-retail exposures, which one of the following factors must be determined by a bank when using the Foundation Internal Ratings-Based Approach?
정답: D
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문제11
Which one of the following four statements correctly defines chooser options?
Which one of the following four statements correctly defines chooser options?
정답: D
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문제12
Which one of the following is a typical reason why a bank's loan loss reserves differ from expected credit losses and normally exceed expected losses?
Which one of the following is a typical reason why a bank's loan loss reserves differ from expected credit losses and normally exceed expected losses?
정답: D
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문제13
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 bank considers issuing new capital to increase its Tier 1 capital levels. Which of the following financial instruments would most likely to be considered?
정답: C
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문제14
Which one of the following four statements regarding the basic Net Interest Income model is INCORRECT?
Which one of the following four statements regarding the basic Net Interest Income model is INCORRECT?
정답: C
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