FRM一级模拟题(六)
FRM一级模考
FRM一级模拟题1 . Which of the following statements regarding the lease rate in commodity futures contracts is incorrect?I The lease rate is the return required by the lender in exchange for lending a commodity.II Assuming it is positive, as the lease rate increases, the futures price for a commodity increases.III In a cash-and-carry arbitrage, the lease rate is earned whether or not the underlying commodity is actually loaned.IV Lease rates are similar to dividends paid lo the lender of a share of common stock.V If the lease rate is less than the risk-free rate, the forward market is said to be in contango.A . II and IIIB . III and VC . I, III, and VD . II and IVAnswer: AThe lease rate is the amount that a lender requires as compensation for Jending a commodity. In determining the price of a commodity futures contract, the lease rate, 81, is subtracted from the risk-free rate, r, as follows:Assuming a positive lease rate, the lease rate effectively reduces the futures price, all else constant.This also assumes that there is an active market for lending the commodity underlying the futures contract. The lease rate can only be earned by actually lending the underlying commodity.2 . .Consider the factors that affect the price of futures contracts on various commodities. Which of the following statements does not accurately describe the relationship between a commodity's futures price and its underlying factors?A. Gold futures have an implicit lease rate which, because it is not actually paid by commodity borrowers, creates incentive to' hold physical rather than synthetic gold as ideal strategy to gain gold exposure.B. Natural gas is produced relatively consistently but has seasonal demand, causing the futures price to rise steadily in the fall months, since natural gas is too expensive to store.C. The cost of storing corn, which has relatively constant demand, causes the futures price to rise until the next harvest at which point the price falls.D. Relatively constant worldwide demand for oil and its ability to be cheaply transported keep oil prices relatively stable in the absence of short-run supply and demand.Answer: AGold futures have an implicit lease rate, because it is not actually paid by commodity borrowers, which creates incentive to hold physical rather than synthetic gold as ideal strategy to gain gold exposure.Gold can be loaned out to financial intermediaries and other investors willing to pay the lease rate (the price for borrowing the gold) to the lender. Thus, holding physical gold requires the investor to forgo earning the lease rate while also incurring storage costs. Therefore, the ideal gold exposure strategy is generally to hold synthetic gold.3 . The S&P 500 index is trading at l,025. The S&P 500 pays an expected dividend yield of l .2% and the current risk-free rate is 2.75%. The value of a 3-month futures contract on the S&P 500 index is closest to:A. $1,028.98B. $1,108.59C. $984.86D. $1,025.00Answer: A4 . Which of the following statements describing the role of a convenience yield in pricing commodity futures is true? The convenience yield:I will cause contango in the futures pricing relationship.II Effectively reduces the cost of carry in the futures pricing relationship.III Eliminates the potential for arbitrage between the futures and spot price.IV Accounts for additional costs for storing an asset in the futures pricing Relationship.A. I onlyB. II onlyC. II, III, an d IV onlyD. I and II onlyAnswer: BThe convenience yield suggests there is a benefit, or convenience, to owning the spot asset. This generally means the spot price of the underlying asset will be above the futures price (normal backwardation). The convenience yield serves to reduce the cost of carry in the futures pricing relationship. .5 . Consider a 6-month futures contract on the S&P 500, and suppose the current value of the index is1330. Suppose the dividend yield is l.5% annually for the stocks underlying the index, and that the continuously compounded risk-free interest rate is 5.5% annually. What is the cost of carry for this futures contract?A. 4.0%B. -4.0%C. 2.0%D. -2.0%。
FRM一级模考
FRM一级模拟题1 . When an analyst makes an investment recommendation, which of the following statements must be disclosed to clients?A.The firm is a market maker in the stock of the recommended companyB .An employee of the firm holds a directorship with the recommendedcompanyC .The analyst's farther in law has a material ownership in the securityD .All of these statements must be disclosed to clientsAnswer: DStandard VI(A), disclose of conflicts2 .Will Lambert, FRM, is a financial risk analyst for Offshore Investment; he is preparing a purchase recommendation on Burch Corporation. According to the GARP Code of Conduct, which of the following statement about disclosure of conflicts is most correct? Lambert would have to disclose that:A. All of these choices require disclosureB. His wife own 2000 shares of Burch CorporationC. Offshore is a an OTC market maker for Burch Corporation 's stockD. He has a material beneficial ownership of Burch Corporation through a family trustAnswer: AGARP members should make full and fair disclosure of all matters that could reasonably be expected to impair independence and objectivity or interfere with respective duties to their employer, clients, and prospective clients.3 .the investment banking department of MLB&J often receives material nonpublic information that could have considerable value to MLB&J's brokerage clients. To comply with the GARP Code of Conduct, MLB&J should most appropriatelyA .ensure that material nonpublic information is not disseminated beyond the firm's investment banking, brokerage, and research departments.B. Contact the firms involved and request that they make this information available to the public before MLB&J allows its clients to trade in these securities.C. prohibit MLB&J analyst from making buy or sell recommendation on this information until ten business days after receipt of this informationD. restrict proprietary trading in the securities of companies about which the investment banking department has access to material nonpublic informationAnswer: DStandard l.3, members must take reasonable precautions to ensure that Member's service are not used for improper, fraudulent or illegal purposes.4 .Over the past two days, Lorraine Quigley, FRM , manager of a hedge fund, has been purchasingoptions on the same stock. Quigley did not notify her clients of the trades although they are aware of the fund's general strategy to generate returns. Which of the following statements is most likelycorrect? Quigley:A. violated the Code by manipulating the prices of publicly traded securities.B. violated the Code by failing to disclose the transactions to clients before they occurred. C．violated the Code by failing to establish a reasonable and adequate basisbefore making the trades.D .did not violate the Code.Answer: D 'Quigley's trades are most likely an attempt to take advantage of an arbitrage opportunity that exists between Craeger's common stock and its put options. She is not manipulating the prices of securities in an attempt to mislead market participants. She is pursuing a legitimate investment strategy. Participants in her hedge fund are aware of the fund's investment strategy, and thus Quigley did not violate the Code by not disclosing this specific set of trades in advance.of trading. '。
frm一级题库 2023
frm一级题库2023
一、单项选择题
1.在2023年FRM考试中，一级考试的合格分数线是多少？
2. A. 400
3. B. 500
4. C. 600
5. D. 700
6.FRM一级考试中，风险管理基础占比多少？
7. A. 15%
8. B. 25%
9. C. 35%
10. D. 45%
11.FRM一级考试中，数量分析占比多少？
12. A. 10%
13. B. 15%
14. C. 20%
15. D. 25%
16.FRM一级考试中，金融市场与产品占比多少？
17. A. 20%
18. B. 25%
19. C. 30%
20. D. 35%
21.FRM一级考试中，估值与风险建模占比多少？
22. A. 15%
23. B. 20%
24. C. 25%
25. D. 30%
二、多项选择题
1.下列哪些科目是FRM一级考试的重要内容？
2. A. 风险管理基础
3. B. 数量分析
4. C. 公司金融
5. D. 金融市场与产品
6. E. 估值与风险建模
7.在FRM一级考试中，下列哪些知识点是考生需要掌握的？
8. A. 市场风险的管理方法
9. B. 信用风险的计算方式
10. C. 操作风险的识别与评估
11. D. 企业价值的评估方法
12. E. 对冲策略的有效性分析
三、简答题
1.请简述FRM一级考试的主要目的。
2.在FRM一级考试中，考生应具备哪些基本能力？。
FRM一级模考
FRM一级模拟题1 . Which of the following statements about the Sortino ratio are valid?I TheSortino ratio is more appropriate for asymmetrical return distributions.II The Sortino ratio compares the portfolio return to the return of a benchmark portfolio. III TheSortino ratio allows one to evaluate portfolios obtained through an optimization algoritlim that uses variance as a risk metric.IV TheSortino ratio is defined on the same principles as the Sharpe ratio, but theSortino ratio replaces the risk free rate with the minimum acceptable return and the standard deviation of returns with the standard deviation of returns below the minimum acceptable return.A. II and IIIB. I, III and IVC. I andIIID. I and IVAnswer: DA. Incorrect. II - The information ratio, not the Sortino ratio, compares the portfolio return to thereturn of a benchmark portfolio. III - The Sortino ratio allows one to evaluate portfolios obtainedthrough an optimization algorithm that uses semi-variance, not variance, as a risk metric.B. Incorrect. III - The Sortino ratio allows one to evaluate portfolios obtained through anoptimization algorithm that uses semi-variance, not variance, as a risk metric.C. Incorrect. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.D. Correct. I - Since the Sortino ratio uses the notion of semi-variance, it is more appropriate for asymmetric return distributions than any metric that uses standard deviation (such as the Sharpe ratio). IV - The Sortino ratio is similar to the Sharpe ratio, except the risk free rate is replaced with the minimum acceptable return in the numerator and the standard deviation of the returns is replaced with the standard deviation of the returns below the minimum acceptable return in the denominator. II - The information ratio, not the Sortino ratio, compares the portfolio return to the return of a benchmark portfolio. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.2. An analyst has compiled thefollowing information on a portfolio:. Sortino Ratio: 0.82. Beta: 1.15. Expected return: 12.2%Standard deviation: ll.g%Risk-free rate : 4.75%What is the semi-standard deviation of the portfolio return?A . 0.4%B . 8.2%C. 14.9%D. 9.08%Answer:DAs a result, the correct answer is D.3 .An analyst gathers the following data about the mean monthly returns of four securities.: Which security has the lowest and highest level of relative risk as measured by the Coefficient of variation?Answer: DThe coefficient of variation, CV = standard deviation/arithmetic mean, is a common measure of relative dispersion (risk) CVW = 0.4/0.5 = 0.80, CVX = 0.7/0.9 = 0.78; CVY = 4.7/1.2 = 3.92 and CVZ = 5.2/1.5=3.47 Because a lower relative risk, Security X has the lowest relative risk and Security Y has the highest relative risk.4. You have been asked to evaluate the performance of two hedge funds: Global Asset Management I and International Momentum II. Both are benchmarked to MSCI EAFE. The volatility of EAFE is 17.5% and the annualized performance is 10.6%. The risk-free rate is 3.5%.Which of the two funds had a higher relative risk-adjusted performance (RAP)last year, and what is the RAP?A. International Momentum 11, 9.97%B. International Momentum II, l .18%C. Global Asset Management l, 9.93%D. Global Asset Management l, 6.16%5 .Suppose the daily returns of a portfolio and a benchmark portfolio it is replicatingare as follows:。
FRM一级模考
FRM一级模拟题1 .Dana Eggenton is an underwriter for Federal Insurance Group, a large propertyand casualty insurance company. Eggenton is currently in the process ofunderwriting an insurance policy to a global beverage company, JT Cola,which would protect JT Cola against potential charges of officers of the firmmanipulating the world cola market. After going through the underwritingprocess, Eggenton issues a policy with a $10,000,000 face value and a$1,000,000 deductible. The most likely concern for Eggenton in setting theterms of the policy was the:a. the correlation between sales cycles for Federal Insurance Group and JTCola.b. parametric nature of operational risk resulting from business processdimensions.c. the low-frequency, high-severity nature of market manipulation charges.d. the potential for moral hazard.解析：dMoral hazard refers to the fact that an insured parry may engage in risky behavior (or at least behave in a less risk averse manner) knowing that an insurance policy will insulatethem against the consequences of such behavior. The way that Eggencon can mitigatethe moral hazard problem is to include a deductible or co-insurance feature which wouldforce JT Cola to pay a portion of the cost should a claim be made against the policy. Ifa deductible feature were not included in the policy, JT Cola management would havebeen free to act in any manner they would choose, including manipulating the globalcola market, and Federal Insurance Group would have assumed all of the risk.2. Big City Bank has contractually agreed to a $20,000,000 credit facility withUpstart Corp. Upstart will immediately access 40% of the total commitment.Big City Bank estimates a 1-year probability of default between 1% and 2%and assigns a 20% recovery rate. Big City has no experience with Upstart andconservatively estimates draw down upon default to be between 50-75%. Whatis the difference between the minimum and maximum expected loss for Big CityBank?a. Less than $100,000.b. Between $100,000 and $200,000.c. Between $200,000 and $300,000.d. Greater than $300,000.解析：bWe can calculate the expected loss as follows.EL = AE×EDF×LCDMaximum lossAdjusted exposure = OS + (COMu- OS) x UGD= ＄8,000,000+(＄12,000,000)×(0.75)= ＄17,000,000Minimum lossAdjusredcxposure = OS + (COM U - OS) x UGD=$8,000,000 + ($12,000,000) x (0.5)=$14,000,000EL= ($14,000,000) x (0.01) x (0.80) = $112,000Therefore the difference between maximum and minimum loss is $272,000-$112,000=$160,000.3. An existing option short position is delta-neutral, but has a -5,000 gammaexposure. An option is available that has a gamma of 2 and a delta of 0.7. Whatactions should be taken to create a gamma-neutral position that will remaindelta-neutral?a. Go long 2,500 options and sell 1,750 shares of the underlying stock.b. Go short 2,500 options and buy 1,750 shares of the underlying stock.c. Go long 10,000 options and sell 1,750 shares of the underlying stock.d. Go long 10,000 options and buy 1,7/50 shares of the underlying stock.解析：aSince the current position is short gamma, the action that must be taken is to go longthe option in the ratio of the current gamma exposure to the gamma of the instrumentto be used to create the gamma neutral position (5,000 / 2 = 2,500). However, this willchange the delta of the portfolio from zero to (2,500 x 0.7) = 1,750. This means that1,750 of the underlying stock position will need to be sold to maintain both gamma anddelta neutrality.4. Suppose that you buy a call option with an exercise price of $25 for $3 and sella call option with an exercise price of $35 for $1. If the stock price is $34 atexpiration, your net profit/loss per share is closest to:a. $5.b. $6.c. $7.d. $9.解析：cYou have purchased a bull spread. You will exercise the call that you purchased for a net profit of (34 - 25)-3=$6 per share. The call that you sold will not be exercised, soyour net profit is the cost of $1 per share. Your total net profit is 6 + 1 - $7 per share.5. To create a delta-neutral portfolio, an investor who has written 15,000 calloptions that have a delta equal to 0.65 will have to be:a. long 9.750 shares in the underlying.b. short 9,750 shares in the underlying.d. short 4,875 shares in the underlying and short 4,875 more options.解析：aIf the investor has written 15,000 call options, he must go long delta times the shortoption position to create a delta-neutral position, or buy $15,000 x 0.65 = 9,750 shares,。
FRM一级模考
FRM一级模拟题1 . You are asked by your boss to estimate the exposure of a hedge fund to the S&P 500. Though the find claims to mark to market weekly, it does not do so and marks to market once a month. The fund also does not tell investors that it simply holds anExchange Traded Fund (ETF) that is indexed to the S&P 500. Because of the claimsof the hedge fund, you decide to estimate the market exposure by regressing weeklyreturns of the fund on the weekly return of the S&P 500. Which of the followingcorrectly describes a property of your regression estimates? 'A. The intercept of your regression will be positive, showing that the fund has positive alpha when estimated using an OLS regression.B. The beta will be misestimated because hedge fund exposures are nonlinear.C. The beta of your regression will be one because the fund holds the S&P 500.D. The beta of your regression will be zero because the fund returns are not synchronous with the S&P 500 returns.Answer: DThe weekly returns are not synchronized with those of the S & P. As a result, the estimate of beta from weekly data will be too low. According to mark to market monthly, the fund find that it is not synthesized with S&P 500, so the correlation coefficient of S&P 500 and ETF is not the same to one.2 . Consider two stocks, A and B. Assume their annual returns are jointly normally distributed, the marginal. distribution of each stock has mean 2% and standard deviation l0%, and the correlation is 0.9. What is the expected annual return of stock A if the annual return of stock B is 3%?A.2%B. 2.9%C. 4.7%D. 1.1%Answer: B3 . Consider the following estimated linear regression model:4 .A. -0.90B. +0.90C. +0.81D. -0.50Answer: CR-squared is the square of the correlation coefficient and measures the fraction of the variance of Y that is attributable to X. R2 = (_0.90)2 = 0.815 . lf the correlation coefficient of a linear regression is 0.6, the percentage of variation of the dependent variable that is not explained by the independent variable is CLOSEST to:A.36%B.40%C. 60%D. 64%Answer: D。
FRM一级模考
FRM一级模拟题1 . Which of the following statements regarding a Puttable bond is true?A. A Puttable bond has more market risk than a similar non-Puttable bondB. A Puttable bond has more credit risk than a simijar non-Puttable bondC. Both A and BD. Neither A nor BAnswer: BThe holder of a Puttable bond has the right to sell the bond to the issuer at its face value. This has the effect of reducing the market risk and increasing the credit risk of the bond, and the result is a bond with a higher value and lower yield than a similar non-Puttable bond2 . With any other factors remaining unchanged, which of the following statements regarding bonds is not valid?A. The price of a callable bond increases when interest rates increaseB. Issuance of a callable bond is equivalent to a short position in a straight bond plus a long call option on the bond price .C. . The put feature in a Puttable bond lowers its yield corripared with the yield of an equivalent straight bondD. The price of an inverse floater decreases as interest rates increaseAnswer: AA is incorrect. The price of a callable bond will increase when the interest rate decreases, as the cost of issuing new debt is lower than the current coupon. Thus, the issuer will call back the bond.B is correct. The issuance of callable bond is equivalent to a short position in a straight bond plus a long call option on the bond price.C is correct. The put feature will make the bond more attractive to investors, increasing its priceand lowering its yield.D is correct. As the interest rate increases, the coupon of inverse floater decreases. In addition, the discount factor increases. Hence, the value of the inverse floater note must decrease even more than a regular fixed-coupon bond.3 . The issuer of a Puttable bond has a:A. Long position in a non-callable bond and a put optionB. Short position in a non-callable bond and a put optionC. Short position in a non-callable bond and a long position in a put optionD. Long position in a non-callable bond and a short position in a put optionAnswer: BThe callable bond has an embedded call option that allows the investor to sell the bond back to the issuer at a pre-determined price. Therefore the issuer is short the bond and a put option on the bondA. Long position in a non-callable bond and a short position in a put optionB. Short position in a non-callable bond and a long position in a call optionC. Long position in a non-callable bond and a long position in a call optionD. Long position in a non-callable and a short position in a call optionAnswer: DA callable bond includes an embedded option for the issuer to call the bond at a stated redemption or call price. If the issuer is long the' call option, then the holder of a callable bond is short the call option.5 . A 15-year5.45 percent semi-annual coupon bond is selling at a price of $102. If the bond is callable in seven years at $100.5, its yield to call is closest to:A. 5.11%B. 5.17%C. 5.28%D. 5.36%Answer: B。
FRM一级模考
FRM一级模拟题1 . The l-year US dollar interest rate is 3% and the l-year Canadian dollar interest rate is 4.5%. The current USD/CAD spot exchange rate is l.5000. Calculate the l-year forward rate.A. 1.5225B. 1.5218C. 1.5207D. 1.51992 . A risk manager determines that the semiannual spot rates for l, 2,3 and4 years are 5%; 6%, 6.5%, and 6.75% respectively. Based on this information, the l-year forward rate two years from now is closet to:A. 6.25%B. 6150%C. 6.97%D. 7.4g%Answer: D3 . A1-year 7.25% coupon bond is trading at a price of 98, a 2-year 6.1% coupon bond is trading at 99, and a 3-year 7.55% coupon bond is trading at 101 .'All coupons and rates are given using the annual Actual/Actual convention. Using this information the l-year forward rate 2 years from now is closest to:A. 6.57%B. 7.14%C. 8.24%D. 8.2g%Answer: D4 . The price of a three-year zero coupon government bond is 85.16. The price of a similar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4? Answer: D5 . A buffalo farmer is concerned that the price he can get for his buffalo herd will be less than he has forecasted. To protect himself from price declines in the herd, the farmer has decided to hedge with live cattle futures. Specifically, he has entered into the appropriate number of cattle future positions for September delivery that he believes will help offset any buffalo price declines during the winter slaughter season. The appropriate position and the likely sources of basis risk in the hedge are, respectively:A. Short; choice of futures delivery date.B. Short; choice of futures asset.C. Short; choice of futures delivery date and asset.D. Long; choice of futures delivery date and asset.Answer: CThe farmer needs to be short the futures contracts. The two sources of basis risk confronting the farmer wⅢresult from the fact that he is using a cattle contract to offset the price movement of his buffalo herd, Cattle prices and buffalo prices may not be perfectly positively correlated. As a result, the correlation between buffalo 'and cattle prices will have an impact on the basis of the cattle futures contract and spot buffalo meat. The delivery date is a problem in this situation, because the farmer's hedge horizon is winter, which probably will not commence until December or January. In order to maintain a hedge during this period, the farmer will have to enter into another futures contract, which will introduce an additional source of basis risk.。
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FRM一级模拟题
1. All else held constant and assuming no change in the value of the underlying, what impact should an increase
in interest rates have on the price of stock index futures?
a. Increase futures prices
b. Reduce futures prices
c. Have no impact on futures prices
d. Make futures prices same as spot
Answer: a
Explanation: The formula to compute futures price on a stock index future is:
.All else held constant if r rises, so should F.
2. Which of the following methods will generally be effective in reducing the likelihood that your firm Is exposed to "hidden risks"?
i .Reducing the flexibility traders have to r6spond to market events
ii .Creating a culture of risk awareness throughout the organization Structuring
pensation to be aligned with the risk appetite of the firm
iv. Investing heavily in quantitative risk models
a. i only
b. iv only
c. ii and iii only
d. i, ii, and iii only
Answer: C
Explanation: Besides eliminating flexibility within the firm, risk monitoring is costly so that at some point, tighter risk monitoring is not efficient. The effectiveness of risk monitoring and control depends crucially on an institution's culture and incentives. lf risk is everybody's business in an organization> it is harder for pockets of risk to be left unobserved. If employees' compensation is affected by how they take risks. they will take risk more judiciously. The best risk models in a firm with poor culture and poor incentives will be much less effective than in a firm where the incentives of employees are better aligned with the risk-taking objectives of the firm.
3. A hedge fund has invested USD 100 million in mortgage about prepayment risk if interest rates fall. Which of the potential loss due to a drop in interest rates?
a. Short forward rate agreement (FRA), long T-bond futures
b. Long FRA, short T-bond futures
c. Long FRA, long T-bond futures
d. Short FRA, short T-bond futures
Answer: a
Explanation: When rates drop, the long position in the futures and the short position in the FRA
both gain
4. Sam Seel has a small portfolio of options. Since the options are currently in-the-money, he is considering the possibility of earl\t exercise. Which of the following statements is correct?
a. It is never optimal to exercise European call options early.
b. It is best to exercise a put option when it is just in-the-money.
c. Early exercise of put options bacom6s more attractive when interest rates ris6.
d. Early exercise of put options becomes more attractive when interest rates decline
Answer: C
Explanation: When interest rates rise stock prices have a tendency to fall. This increases the value of a put option on a stock. All options benefit from high volatility.
.
5. Portfolio A has an expected return of 8%. volatility of 20%, and beta of 0.5. Assume that the market has an expected return of 10% and volatility of 25%. Also assume a risk-free rate of 50A. What is Jensen's alpha for portfolio A?
a. 0 5%
b. 1.0%
c. 10%
d.15%
Answer: a
Explanation: The Jensen measure of a portfolio, or Jensen's alpha, is computed as follows。