2003年FRM考试回忆精选

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2003年FRM考试回忆精选
以下十九题「接近原版题目」要特别感谢Matt 先生不计辛劳在百忙
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FRM2003Questions
#2. Doing a linear aggression, and getting the following result
Number verified: 250
R square=0.379
Estimate Standard
Error
Alpha 0.013 0.015
Beta 0.85 0.18
Which one can be concluded
a. beta is significantly different from 0, correlation coeff icient=0.62
b. beta is significantly different from 1, correlation coefficient=0.38
c. beta is significantly different from 0, correlation coefficient=0.38
d. beta is significantly different from 1, correlation coefficient=0.62
#7. Calculate the marginal morality rate for the following company's bond
Year Bond value in the
beginning
Dollar Value of Bond if
default at the year-end
1 USD 1,000 45
2 55
3 80
a. 3.45%
b. 6.38%
c. 6.40%
d. 8.59%
1
#14. A company has a bond portfolio with notional amount=100m,
expected return =10%, costs=5.5m, capital earning=0.5m,
and operational cost=1.5m, the company's cost of equity=15%
the net economic profit is
a. 3.5m
b. 0.5m
c. 2.5m
d. 2m
#15. following #14, to calculate the RORAC, the answer of #14 should
a. divided by 100m
b. divided by 7.5m
c. deduct 7.5m then divided by 7.5m
d. 10.5m
#23. Stock A's volatility is 30% against 20% for the S&P500.
If Stock A's beta is 1.2 against S&P500, then calculate the correlation
coefficient and covariance
#61. If a company's marginal default rate is 2.3%, what's the survival rate
a. 2.3%
b. 7.7%
c. 97.7%
d. not enough information
#62. Buying a option with strike price=103.75, and the underlying stock
is currently
traded at 104. The option is going to expire half an hour later, then
the highest risky greek is
a. delta
b. gamma
c. rho
d. theta
2
#63. Which of the following has the lowest credit
Probability of
default
Loss Given
default
Time to maturity
(month)
a. 1.99% 60% 3
b. 0.90% 70% 9
c. 1% 75% 6
d. 0.25% 50% 12
#72. A linear regression equation Y=0.10-0.50X, and correlation
coefficient=0.9,
then the fraction of Variance of Y(X ) attribute to Variance X(Y ) is
a. -0.9
b. +0.9
c. +0.81
d. -0.5
#74. There are 17 names in a bond portfolio, and each name has an
identical marginal
default rate=5.93%, calculate the probability of exactly 2 defaults in
the first month
a. 0.0325%
b. 0.325%
c. 0.024%
d. 0.24%
#79. If a bond has a constant default rate of 7%, the probability it will
default after
3 years is
a. 7%
b. 19.6%
c. 21%
d. 22.5%
#80. Two portfolio, and the first portfolio has a notional amount
USD1.5m with
volatility=7%, and the second one's notional amount USD3m with
volatility=3%. If the correlation coefficient between the 2 portfolio is
10%,
3
calculate the 95% VaR for the combined portfolio.
a. USD 7,351
b. USD 212,920
c. USD 365,715
d. USD 234,015
#89. Currently, exchange rate for AUD/USD is traded at 0.6650
(1AUD=0.6650USD)
the interest rate is 4.5% for AUD and 1.0% for USD. The lower bound
for a 5-
month put option for strike price=0.6880 is
a. 0.0135
b. 0.0245
c. 0.0325
d. 0.0455
#91. A company invest 100M in 10-year 6% coupon bond, and 100M
0-coupon rate,
the best estimate of the portfolio if interest rate falling 0.5% is
a. 219m
b. 195m
c. 209m
d. 206m
#93. If a 3-year bond has a notional amount 1,000 with a coupon=10%, and
the
current yield to maturity is 5%, the modified duration of the bond is
a. 2.62
b. 2.85
c. 3
d. 2.75
#98. A company invests USD100m in a stock with beta=1.5, and plans to
hedge with
S&P500 futures. Currently, the S&P500 futures is traded at 1,000,
and the movement=USD250. If the company wants reduce the beta to
0.8, it should
a. long 600 S&P500 futures
4
b. short 600 S&P500 futures
c. long 280 S&P500 futures
d. short 280 S&P500 futures
#107. If 1-year rate is 2% for 365days basis, then continuously compound
rate with an
ACT/360 basis is
a. 1.98%
b. 2.0078%
c. 1.9846%
d. 2.0075%
#108. Company A has 3 transactions following netting agreement with
Company B,
and the 3 netting amount for Company A is +5m, -4m, -2m.
In addition, Company has a 10m loan to Company B with no netting
agreement, thus, the credit exposure of Company A is
a. 0
b. 9m
c. 10m
d. 15m
#140 If Y=ln(X), where Y is a lognormal distribution with a mean=0,
standard
deviation=2.33, what is the expected value of X
以下内容为该次FRM考试之重点部分记录,由金证照学员马丁所提
供!
第115题
A trader who set up a stock and option position that is gamma positive.
What the trader should do in order to create a delta neutral and gamma
neutral position
a. buy call options and buy underlying stocks
b. sell call options and sell underlying stocks
c. buy put options and buy underlying stocks
5
d. sell put options and sell underlying stocks
0.688 five month USD/AUD 0.675
USD=0.01
AUD=0.045
Put option
Five months
Calculate the put option's intrinsic value
Binary options is most path dependent
Asia options
Return unlimited
RAROC
100
10%
0.5
1.5
cost of capital=15%
fund needed 5.5
calculate economic profit
Basel 1996
Basel 1988
Market risk introduced already
Basel 2001
Sarbanes-Oxley act
Board of directors audit every quarter
SEC review every three years
Add-on Factor
6
Mortality rate
1000
45
55
80
calculate the marginal mortality rate at year 3
5m limit
B bank buy undervalued put
C bank write deep in the money put
Is the trader responsible for
Ans: unethical
Bond upgrade, the effect on duration
Increase ans: B
Which instrument has negative effective duration
IO
PO
CMO
CDS
4%
240 strike
280 spread
calculate net payment to credit spread option buyers
D
Two year zeros A rating, one year later migration as follows, compound
annually:
Treasury bond flat at 4%
85% stay A 4.8
5% upgrade to AA 4.4
downgrade to BBB 5.5
calculate the value of the bond
7
B bond 2 year default probability = 1 year default and second year stay or
upgrade or downgrade and their associated probability and default rate,
and add up these two year's probability together.
Answer: D
2.33
Answer A. 15.1
Which of the following stock price later has the largest time value in
percentage of its underlying stock, given now the exercise price is 50
a. 10
b. 40
c. 50
d. 80
beta 1.5 want to down to 0.8, current sp500 at 1000, the portfolio has
100m, how much futures needed
Can EVT distribution calculate both market VAR and operational VAR
Shortfall VS VAR
GBM
Has the paying willingness is the definition of BBB or BB
What is the lowest investment grade of Moody's
a. Baa1
b. Ba
c. Baa3
d. Caa
Normal distribution has kurtosis of zero and skewness of 0
T distribution will approaches z distribution as sample enlarges
Rating agencies can price off balance sheet better than KMV's
8
KMV's distance to default: the formula
What is the probability of marginal default probability given a year (ask
Hsu)
# 69
violation of Interest Rate Parity and arbitrage opportunity
The question states that if you invest in USD one year with US risk free
rate, you will end up being better than you switch to SF at spot rate and
put on Swiss bank for a year at its risk free rate and change back to USD
using future rate stated in the question.
Answer: either USD is undervalued at spot market, or USD is overvalued
at futures market
Sell Swiss Franc spot
Buy Swiss futures
Invest in US dollars
A year later, change your USD principal and interest back to SF using
agreed-upon future prices and use your SF to cover your SF short position
Incremental VAR
Ans: A)26400
Diversified VAR:
the answer is nothing closer to the four choices
The definition of collar is:
Buy a call and sell a put
Probability and severity
MS and AS both have
Beta is 0.9
Benchmark SD=10%
Underlying SD=12%
9
Residual risk
Tracking error
Correlation
Coefficient of determination
Is the slope, and various slopes significant from Zero Given the mean and
standard error
There is a question asking about how to calculate standard error You need
to divided by 400 (sample size)
Which of the following will create positive exposure to the party
This is a very typical question to appear in FRM
Short put option and underlying stock price is declining
Received fixed rate and the interest rate is increasing
Buy a cap and the interest rate is decreasing
The price of the put option when you buy a corporate bond can be
calculated by KMV model, given bond par price and interest income, since
KMV is based on Merton model
Volatility smile in currency options
Gamma's change in price axis and at the money and maturity
Which option is path dependent
a. knock out options
b. binary
c. American call
d. European call
Which of the following is a acturial method
a. creditmetrics
b. creditrisks
c. KMV
d. Portfolio risk view
10
probability number
0.8 0
0.2 1
Probability loss
0.75 20000
0.24 100000
0.01 600000
#70
Which model is better for derivatives trading department risk control
Sharpe or RAROC
Which of the distribution are EVT like
a. Weibull
b. F….
c. GPD
d. student t distribution
draw a chart of negatively skewed distribution and list three items and
choice which combinations are true
Only III are true
(this question looks like CFA L1 style)
Synthetic CDS two tranches #one and #two, one's yield call S and junior
one called J. What happen to the premium if the portfolio's correlation
reduced
a.
b. the J will increase more relative to S
Which of the following has largest credit risk in expiration
a. interest rate swap
b. FX forward
c. Cross rate currency swap
Your boss is asking you to review business line's operational risks. Which
of the following statements is inappropriate regarding your action
11
As CRO you want to deal with your counterparty with bad credit rating,
which action is best in mitigating that
a. standby letter of credit
which credit enhancement is least effective
a. parental guarantee
we know and spot and know the free interest rate and then calculate 1
month futures price. This is the easy one.
An equity position has 5 million is stake and annual standard deviation of
20% assuming 255 trading days. You come up with 6.25 VAR. What's wrong
with that
a. wrong volatility assumption
you have option position with A B C counterparties. A is +5m, B is -2, C is -4.
and bond position with this bank at 10m but without netting with other
parts. What is your exposure to this bank
a. 10 million
b. 8 million
which of the following is not in ISDA agreement
Spot rate of 0.08 for first year and 0.10 for second year, which of the
following statements are true
b) If second year spot rate is 3%, then 1F2 will be negative, which is
theoretically impossible
c)Forward rate can be approximate by (0.10)+(0.1-0.08)
You should know the definition of these option strategies:
Butterfly's definition
Vertical spread
Straddle
Short bull spread
A seller for bronze have to sell short futures to hedge, the correlation is
0.77 and the standard deviation of each is identified. Find the number of
contracts need to do the hedge
12
c. short 25 contracts
GBM, the variable X:
d ln(s) is normally distributed
d s/s is normally distributed
S is lognormal distributed
Novation
The difference in credit risk of swap and loan
Which of the following is not a hedge provided under FAS 133
a. fair value hedge
b. cash flow hedge
c. macro hedge
d. net investment hedge
Which of the following is not option under FAS 133
a. convertible bond
b. Exchanged traded REIT
c. Interest rate swaps
d. Currency forwards
Which of the following has the highest repayment risk
a. residential mortgage
b. commercial mortgage
c. credit card
securitization are tested in 2 to 3 questions, including:
the benefit of securitization
how securitization change the structure of the bank and how to adjust it
from an risk management analytical viewpoint
which of the following combination has the largest funding liquidity risk
a. 50 million in OTC currency put options and 50 million in corporate loans
when Russia crisis happened in 1998, which strategy would incur the
largest liquidity risk
13
a. buy low grade corporate bonds and sell high grade ones
which of the following has the greatest expected loss
Default P. Loss rate Month
A .02 .6 3 mo
B .0099 .5 6 mo.
C .01 .7 9 mo
D .015 .8 1 yr
In embedded option, how the gain and loss being recognized in the financial
statement
a. in income statements
when of the following are ALL operational risk distribution being used
a. poisson, Weibull
b. negative binominal, Cuur
c. exponential, GED
d. GED, poisson
An asset management has the following exposures most Correct
a. a large market risk and a moderate credit risk
b. a large credit risk and a large operational risk
Moral Hazard is the answer of a question
If the FX forward and its net investment's correlation is reduced from 0.9
to 0.1 in half year period, how would a company do under FAS 133
A. book the gain and loss in the first half year period
B. didn't book and P/L
14
Which point is the bond's convexity equal to zero
C
B
A
Which statements are wrong when the trading book is different from
accounting book
a. conformity to both
(this question appeared in previous questions)
which statement is true when a company defaults
(kind of forget how the answer asks)
two options worth 50m each with 96% being -100 and 4% being 0, assuming
independent, what is the expected VAR
a. 50m
b. 100m
the relationship between spot rate and forward rate:
when yield curve is upward sloping, forward is larger than spot, vise versa
How to hedge with reverse floater
a. pay fixed swap
b. received fixed swap
c. long Eurodollars
Terminology: Granular: something to do with operational risk estimation
what does economic capital do
a. small probability, high severity
when a CRO found a head of trade have missed a large trading, and report
to CEO about that, how will CEO do
a. don't sign up the financial report
15
以下题目部分重点精选为Willy所提供,也一并感谢!
1) something about hedge effectiveness -- if during the first 6 month,
R-squared= 0.9, the 2nd half predicted R-suqared = 0.75. what do you do
terminate the hedge at the end of the 6th month
2) if not fully hedged, what do you do report effective/ineffective part in
earnings
3) about options -- if you have a stock+options position with delta neutral
and positive gamma, how do you hedge with buy/sell puts/calls as well as
buy/sell stocks
4) long-dated or short-dated ATM options have higher gamma
5) which one has more time value premium ATM/in-the-money/out-of the
money call
6) brownian motion - which one is normally/lognormally distributed e.g. S,
dS, dS/S
7) what is invert floater (ps: i may have typed it wrong....)
8) Y=ln(x). if Y is normally distributed, with mean of 0, what's the mean of
x
9) which distributions can do EVT (I know generalized pareto dist., but
that didn't help eliminate many answers.....)
10) quote 2%, which rate to input into black-scholes model
11) relationship between notional amount and BPV, if yield changes by 1%,
assuming paralell shift (ps: this quesiton may not be recalled right.)
12) options that are very path-dependent barrier options
13) asian calls have unlimited upside
16
14) the lady trader sell deep-ITM puts to party C, .......etc. Is it
appropriate
15) a portfolio with 17 A-rated bonds, given default rate x%, the probabiliy
of exactly 2 default at the end of the first month (ps: for some reason, i
couldn't find the answer in the given 4 choices !)
16) 2-yr zero coupon bond, A-rated. After one year, probability of being
upgraded to AA rating x%, stay A-rated y%, and downgraded to B rating
z%. given spread over T-bill rate (4%) for three different rated bonds. ask
the value of the zero coupon bond after one year. (ps: i can't remember
the exact # or ratings. Do we calculate the expected spread over 4% and
then calculate the PV of the bond I got a closer answer, but not exactly
the same....)
17) there's a table showing credit migration from the beginning of the
year on the Y-axis to the end of the year on the X-axis. ask B-rated bond
cumulative default rate in (/over ) two years. (ps: Is that 2% number in
the table the final answer I was confused about the "two" year word. I
couldn't find another number to do any multiplication....)
18) as a CRO, which (of the four options) would be problematic I was
wondering if i should choose the 5% compensation one, but I still chose d),
which said something like using 3rd party system, etc. But I have a feeling
that I was wrong.
19) securitization -- rank from the least risky one. eg. cash, parental
something, collateralized, etc. (ps: can't remember those terms exactly)
20) stock with volatility of 50%, 99% C.I., current ( reserve) capital more
than market value. Right or wrong why (ps: i thought this has to do with
Cooke ratio 8%, but apparently it didn't kick in at all....)
21) the company's ( compliance officer/lady) left the work a few months
ago, as a CRO, should you sign the audit report or something like that.
22) A, B companies. A with securitization; B without. A's financial report
may be misleading
17
23) company A with netting agreements with B, A owes B 1 million (net).
without agreements with B, B owes A 10 million. what's A's exposure to B
24) actuarial approach KMV, CreditMetrics, etc
25) given beta, variance of portfolio and variance of benchmark. calculate
specific risk and tracking error. (I think this is a question often seen in
CFA level 3 exam too!)
26) similar to 25), given beta of portfolio, variance of benchmark, calculate
covariance, correlation between portfolio and benchmark.
27) a couple of questions about the relationship between corr(X,Y) and
R-squared, given an OLS simple regression result. (a good and basic
question too; actually I'm going to ask my students in the econometrics
class to do this as an exercise tomorrow! They might feel excited when
they know that their knowledge can help them do the exam.)
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