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FRM考试一级模拟考试四

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Var在险价值的理解和测量，以及有关债券和期权的一些概念。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。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

　　31. You are given the following specification of the currency swap: notional principal $10m euro 10.5m swap coupon 7.2% 6.8% current market yield 4.2% 3.6%

　　There are two payments left in the swap (the first one in a year) and the current exchange rate is $0.95/euro. Calculate the dollar value of the swap for the euro payer.

　　A. 16 299 $.

　　B. 17 344 $.

　　C. 19 344 $.

　　D. 21 283 $.

　　32. How would you describe the typical price behavior of a low premium mortgage pass-through security?

　　A. It is similar to a U.S. Treasury bond

　　B. It is similar to a plain vanilla corporate bond

　　C. When interest rates fall, its price increase would exceed that of a comparable duration U.S. Treasury.

　　D. When interest rates fall, its price increase would lag that of a comparable duration U.S. Treasury.

　　33. You are given the following information about a portfolio and are asked to make a recommendation about how to reallocate the portfolio to improve the risk/return tradeoff.

　　Which of the following the recommendations will improve the risk/return tradeoff of the portfolio?

　　A. Increase the allocations to assets 1 and 3 and decrease the allocations to assets 2 and 4.

　　B. Increase the allocations to assets 1 and 2 and decrease the allocations to assets 3 and 4.

　　C. Increase the allocations to assets 2 and 3 and decrease the allocations to assets 1 and 4.

　　D. Increase the allocations to assets 1 and 4 and decrease the allocations to assets 2 and 3.

　　34. Calculate the estimated default frequency (EDF) for a KMV credit risk model using the data given below (all figures in millions). Assets Liabilities Market value 195 185 Book value 180 165 Standard deviation 25 15 of returns

　　A. 11.5%.

　　B. 27.4%.

　　C. 34.5%.

　　D. 57.9%.

　　35. Suppose the payoff from a merger arbitrage operation is $5 million if successful, -$20 million if not. The probability of success is 83%. The expected payoff on the operation is

　　A. $5 million

　　B. $0.75 million

　　C. $0 since markets are efficient

　　D. Symmetrically distributed

　　怎么样，大家觉得自己考得如何，下面是这五道题的答案和解析，赶快来对照一下吧。本站提供FRM考试网络课程免费试听请点击试听

　　1. Correct answer: A

　　The swap is equivalent to long position in dollar denominated bond and short position in euro denominated bond. (720,000 / 1.042 + 10,720,000 / 1.042^2) - ((714,000 / 1.036 + 11,214,000 / 1.036^2) x 0.95) = - 16,299.

　　2. Answer: C

　　Mortgage pass-through securities, unlike Treasuries or plain vanilla corporate bonds, have

　　an embedded option allowing borrowers to repay the loan at any time. When rates fail, the effective duration of these securities decreases because borrowers will refinance mortgages at lower rates (putting the loans back to the investors); but when interest rates increase, borrowers will hold on to mortgages longer than they otherwise would, resulting in an increase in the effective duration of the loans. This is reflected in the price/yield relationship as negative convexity.

　　3. Answer: D

　　A is incorrect. Asset 3 should be decreased since it has the lowest marginal return-to-marginal risk ratio.

　　B is incorrect. Asset 4 should be increased since it has the highest marginal return-to-marginal risk ratio.

　　C is incorrect. Asset 4 should be increased since it has the highest marginal return-to-marginal risk ratio.

　　D is correct. A portfolio optimizing the risk-reward tradeoff has the property that the ratio of the marginal return to marginal risk of each asset is equal. Therefore, this option is the only recommendation that will move the ratios in the right direction.

　　4. Correct answer: A

　　The distance between the current value of the assets and the book value of the liabilities

　　= 195- 165 = 30. Using the standard deviations in the return on assets this distance = 30 / 25 = 1.2 standard deviations. Thus the probability of default = cumulative probability of standard normal distribution below -1.2, i.e. 11.5%.

　　5. Answer: B

　　The expected payoff is the sum of probabilities times the payoff in each state of the world, or 83% × $5 + 17% × (-$20) = $4.15 - $3.40 = $0.75. Note that the distribution is highly asymmetric, with a small probability of a large loss.
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