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FRM考试一级模拟考试六

来源：高顿网校 2015-03-02

　　以下5道模拟题考察的是FRM考试一级的内容，一级考试一共有100道选择题，这次模拟试题一共有5道。主要考察的考点有期权估值、资产负债表、买卖权等价理论、正态分布和债券评级的概念和计算。高顿网试题中心的此次模拟试题都是考生容易犯错误的考点，大家务必把做题时间控制在15分钟之内，住大家考出好成绩。本站提供FRM考试网络课程免费试听请点击试听

　　1. Which statement about option valuation is least accurate?

　　A. The value of an option is its time value plus its intrinsic value.

　　B. Prior to maturity, out-of-the-money options have no value.

　　C. The buyer of a call option contract can never lose more than the initial premium.

　　D. If the stock price is lower than the strike price at expiration, a put option is worth the difference between the stock price and the strike price.

　　2. Balance sheet liquidity refers to the ability to:

　　A. meet debt covenants.

　　B. raise debt without moving the market.

　　C. meet financial obligations as they arise.

　　D. merge with or acquire other firms at short notice.

　　3. Which of the following best explains put-call parity?

　　A. No arbitrage requires that using any three of the four instruments (stock, call, put, bond) the fourth can be synthetically replicated.

　　B. A stock can be replicated using any call option, put option and bond.

　　C. A stock can be replicated using any at the money call and put options and a bond.

　　D. No arbitrage requires that only the underlying stock can be synthetically replicated using at the money call and put options and a zero coupon bond with a face value equal to the strike price of the options.

　　4. A portfolio has a mean value of $100 million and a daily standard deviation of $19 million. Assuming that the portfolio values are normally distributed, the lowest value that the portfolio will fall to over the next five days and within 95% probability is:

　　A. -$31.7 million.

　　B. $1.2 million.

　　C. $30.1 million.

　　D. $57.5 million.

　　5. You are considering an investment in one of three different bonds. Your investment guidelines require that any bond you invest in carry an investment grade rating from at least two recognized bond rating agencies. Which, if any, of the bonds listed below would meet your investment guidelines?

　　A. Bond A carries an S&P rating of BB and a Moody’s rating of Baa.

　　B. Bond B carries an S&P rating of BBB and a Moody’s rating of Ba.

　　C. Bond C carries an S&P rating of BBB and a Moody’s rating of Baa.

　　D. None of the above.
　　高顿网校为考生准备了史上最全的FRM考试备考指南，轻松学习，简单、高效，让考试So Easy！了解详情

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