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FRM一级模拟试题<5>

来源：高顿网校 2015-03-18

　　　1. Credit risk is NOT an increasing function of:

　　A. level of debt.

　　B. risk-free interest rate.

　　C. time to maturity of debt.

　　D. standard deviation of asset returns.

　　2. Prepayment models are complex and rely upon a number of different methods to circumvent the problem of prepayment path dependency. Which of the following is often used to avoid the problems associated with prepayment path dependency?

　　A. Error-correction model tree design.

　　B. Monte Carlo simulation.

　　C. Cox-Ingersoll-Ross tree design.

　　D. Bernard and Schwartz simulation.

　　3. Assume that the short-term interest rate in London is 4 percent and that the short-term interest rate in the US is 2 percent. If the current exchange rate between the euro and dollar is 1=US$1.2217, using the continuous time futures pricing model, what is the price of a three-month futures contract?

　　A. $1.2207.

　　B. $1.2156.

　　C. $1.2144.

　　D. $1.2235.

　　4. When an investor is obligated to buy the underlying asset in a futures position, it is a:

　　A. basis trade.

　　B. short-futures position.

　　C. hedged-futures position.

　　D. long-futures position.

　　5. Portfolio manager returns 10% with a volatility of 20%. The benchmark returns 8% with risk of 14%. The correlation between the two is 0.98. The risk-free rate is 3%. Which of the following statements is correct?

　　A. The portfolio has higher SR than the benchmark

　　B. The portfolio has negative IR

　　C. The IR is 0.35

　　D. The IR is 0.29

　　1. Answer: B

　　In the context of the analytical model, credit risk is a decreasing function of risk-free interest rate

　　2. Answer:B

　　Monte Carlo simulation techniques have been used to deal with problems associated with prepayment path dependency.

　　3.Answer: B.

　　The formula is: 1.2217e(0.02-0.04)(0.25) = $1.2156.

　　4. Answer:D

　　When an investor is obligated to buy the underlying asset in a futures position, it is a long futures position.

　　5. Answer: D

　　The Sharpe ratios of the portfolio and benchmark are (10% - 3%)/20% = 0.35, and (8% - 3%)/14% = 0.36, respectively. So, the SR of the portfolio is lower than that of the benchmark. Answer a) is incorrect. The TEV is the square root of 20%2 +14%2 + 2× 0.98× 20%×14% , which is 0.00472^0.5 = 6.87% . So the IR of the portfolio is (10% - 8%)/6.87% = 0.29. This is positive, so answer B) is incorrect. Answer C) is the SR of the portfolio, not the IR, so it is incorrect.

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