최신GARP Financial Risk and Regulation (FRR) Series - 2016-FRR무료샘플문제
문제1
A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this portfolio is to changes in interest rates. Which one of the following four metrics is typically used for this purpose?
A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this portfolio is to changes in interest rates. Which one of the following four metrics is typically used for this purpose?
정답: B
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문제2
The potential failure of a manufacturer to honor a warranty might be called ____, whereas the potential failure of a borrower to fulfill its payment requirements, which include both the repayment of the amount borrowed, the principal and the contractual interest payments, would be called ___.
The potential failure of a manufacturer to honor a warranty might be called ____, whereas the potential failure of a borrower to fulfill its payment requirements, which include both the repayment of the amount borrowed, the principal and the contractual interest payments, would be called ___.
정답: A
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문제3
By foreign exchange market convention, spot foreign exchange transactions are to be exchanged at the spot date based on the following settlement rule:
By foreign exchange market convention, spot foreign exchange transactions are to be exchanged at the spot date based on the following settlement rule:
정답: A
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문제4
A risk analyst at EtaBank wants to estimate the risk exposure in a leveraged position in Collateralized Debt Obligations. These particular CDOs can be used in a repurchase transaction at a 20% haircut. If the VaR on a
$100 unleveraged position is estimated to be $30, what is the VaR for the final, fully leveraged position?
A risk analyst at EtaBank wants to estimate the risk exposure in a leveraged position in Collateralized Debt Obligations. These particular CDOs can be used in a repurchase transaction at a 20% haircut. If the VaR on a
$100 unleveraged position is estimated to be $30, what is the VaR for the final, fully leveraged position?
정답: D
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문제5
Which one of the four following statements regarding minimum loss data standards is not correct?
Which one of the four following statements regarding minimum loss data standards is not correct?
정답: B
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문제6
James Johnson bought a 3-year plain vanilla bond that has yield of 4.7% and 4% coupon paid annually, for
$87,139. Macauley's duration of the bond is 2.94 years. Rate volatility is 20% of the yield. The bond's annualized volatility is therefore:
James Johnson bought a 3-year plain vanilla bond that has yield of 4.7% and 4% coupon paid annually, for
$87,139. Macauley's duration of the bond is 2.94 years. Rate volatility is 20% of the yield. The bond's annualized volatility is therefore:
정답: C
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문제7
Which one of the following statements accurately describes market risk tolerance?
Which one of the following statements accurately describes market risk tolerance?
정답: C
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문제8
Why is economic capital across market, credit and operational risks simply added up to arrive at an estimate of aggregate economic capital in practice?
Why is economic capital across market, credit and operational risks simply added up to arrive at an estimate of aggregate economic capital in practice?
정답: A
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문제9
Which one of the following four statements correctly identifies the Basel II Accord's definition of operational risk?
Which one of the following four statements correctly identifies the Basel II Accord's definition of operational risk?
정답: C
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문제10
Which one of the four following statements about a minimal loss threshold in operational loss data collection is incorrect?
Which one of the four following statements about a minimal loss threshold in operational loss data collection is incorrect?
정답: B
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문제11
According to a Moody's study, the most important drivers of the loss given default historically have been all of the following EXCEPT:
I). Debt type and seniority
II). Macroeconomic environment
III). Obligor asset type
IV). Recourse
According to a Moody's study, the most important drivers of the loss given default historically have been all of the following EXCEPT:
I). Debt type and seniority
II). Macroeconomic environment
III). Obligor asset type
IV). Recourse
정답: A
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