更多服务

特色服务

找学习资源

查报考信息

看备考资讯

备考工具箱

报考指南

报名入口

报名流程

考试动态

考试日历

备考指南

资料中心

福利政策

热门题库

全部

FRM二级模拟试题<5>

来源：高顿网校 2015-03-18

　　各位考生想顺利通过FRM考试，除了掌握专业知识和答题技巧之外，还可以关注高顿网校的精品网课，高顿网校专业讲师为考生们提供考试复习笔记汇总，帮助考生更好地理解FRM知识，高顿祝各位考生考试大捷！进入直播>>

　　1. In commodity trading, the exchange removes any daily losses from a trader’s account and adds any gains to the trader’s account. This process is known as:

　　A. initial margin.

　　B. maintenance margin.

　　C. variation margin.

　　D. marking to market.

　　2. A portfolio manager is constructing a portfolio of stocks and corporate bonds. The portfolio manager has estimated that stocks and corporate bond returns have daily standard deviations of 1.8 percent and 1.1 percent, respectively, and estimates a correlation coefficient of returns of 0.43. If the portfolio manager plans to allocate 35 percent of the portfolio to corporate bonds and the rest to stocks, what is the daily portfolio VAR (2.5 percent) on a percentage basis?

　　A. 2.71%.

　　B. 3.05%.

　　C. 2.57%.

　　D. 2.27%.

　　3. A corn grower is concerned that the price he can get from the field in mid-September will be less than he has forecasted. To protect himself from price declines, the farmer has decided to hedge. The best available futures contract he can find is for August delivery. Which of the following is the appropriate direction of his position and the source of basis risk that may impact the farmer?

　　A. Short futures; correlation.

　　B. Long futures; correlation.

　　C. Short futures; rollover.

　　D. Long futures; rollover.

　　4. Two banks enter into a 1-year plain vanilla interest-rate swap with the following terms:

　　＊Notional principal is $500,000,000.

　　＊The fixed component of the swap is 7%, which is the current market rate.

　　＊The floating component of the swap is LIBOR + 200bps.

　　If the current risk-free rate is 4 percent, the value for this swap at inception is closest to:

　　A. $0.

　　B. $500,000,000.

　　C. $8,750,000.

　　D. $35,000,000.

　　5. What is the value of the European call option given below using the Black-Scholes model?

　　Spot rate = 120 Strike price = 125 Risk- free rate = 8% Time to expiration = 0.5 years N(d1) = 0.554 N(d2) = 0.498

　　A. 1.69.

　　B. 4.23.

　　C. 6.67.

　　D. 11.83.

　　1. Correct answer:D.

　　To safeguard the clearinghouse, commodity exchanges require traders to settle their accounts on a daily basis. Marking to market is when any loss for the day is deducted from the trader’s account, and any gains are added to the account.

　　2. Correct answer : A

　　First, calculate the daily percentage VAR for stocks and corporate bonds:

　　Stocks: VAR(2.5%)Percentage Basis = z2.5% ? σ = 1.96(0.018) = 0.0353 = 3.53%

　　Bonds: VAR(2.5%)Percentage Basis = z2.5% ? σ = 1.96(0.011) = 0.0216 = 2.16%

　　Next calculate the portfolio VAR using weights of 35% for bonds and 65% for stocks:

　　[0.652(0.03532) + 0.352(0.02162) + 2(0.35)(0.65)(0.0353)(0.0216)(0.43)]0.5 = 0.0271 = 2.71%

　　3. Correct answer : C

　　The farmer needs to be short the futures contracts. The source of basis risk for this farmer arises from the fact that his contract and harvest dates do not perfectly match. As a result, he will be exposed to basis risk due to a necessary rollover in his position.

　　4. Correct answer:A

　　The initial value of a swap is always zero. As interest rates move and payments take place, the value of the swap will change for both parties.

　　5. Correct answer: C

　　Using the Black-Scholes model, the value of a call option

　　= Spot price×N(d1) - Strike price×exp(-Risk-free rate×Time to expiration)×N(d2)

　　= 120×0.554 - 125×exp(- 0.08 x 0.5) ×0.498

　　= 6.671.

　　FRM考试免费题库【手机题库下载】| 在线直播

　　FRM高清网课免费体验 FRM名师精品班免费试听

　　精彩推荐：

FRM考试，FRM是什么？

2015年FRM考试常见问题解析

FRM考试在线高清视频指导

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线