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FRM二级模拟试题<6>

来源：高顿网校 2015-03-18

　　为帮助广大考生迎战2015年FRM考试，高顿网校为考生们准备了FRM历年真题，模拟试题等题型，题题结合考试大纲贴近考试考点。马上开始练习 >>> ，报名高顿网课的学员，可通过高顿网校学习更多精品课程，练习更多免费题目，享受更多教学服务；更多详情请拨打高顿网校客服电话400-825-0088。

　　1. Your analysis shows that if a risky bond defaults, we can expect to recover 2,102.02 per 10,000 of face value, after a period of five years from the scheduled maturity date of the bond? The yield curve for risk-free debt is flat at 1.00%. What is the LGD ratio for this debt?

　　A. 20.00%.

　　B. 21.02%.

　　C. 22.09%.

　　D. None of the above.

　　2. An investor owns a stock and believes that the stock’s price will remain relatively unchanged for the short term but is bullish in the long term. Which of the following strategies will be the best for this investor?

　　A. A protective put.

　　B. An at-the-money strip.

　　C. A covered call.

　　D. An at-the money strap.

　　3. A credit manager discovers that the defaults by sub-investment grade clients of his bank follow a Poisson distribution, with an average number of defaults in the year equal to 7.

　　What is the probability that there will be 6 defaults over the next year?

　　A. 12.1%.

　　B. 12.8%.

　　C. 13.5%.

　　D. 14.9%.

　　4. All of the following are assumptions of the Capital Asset Pricing Model EXCEPT:

　　A. Each investor seeks to maximize the expected utility of wealth at the end of that investor’s horizon.

　　B. Investors can borrow and lend at the same risk-free rate.

　　C. Investors have the same expectations concerning returns.

　　D. The time horizons of investors are normally distributed.

　　5. The estimated default frequency in KMV model are calculated using:

　　I. bond spreads.

　　II. asset volatilities.

　　III. balance sheet items

　　IV. Monte Carlo simulation.

　　A. I and II.

　　B. I and IV.

　　C. II and III.

　　D. III and IV.

　　ANSWER:

　　1. Correct answer: A

　　We need to find the present value recovery at the time of Scheduled Maturity. Hence, LGD = (2,102.02 / 1.01^5) / 10,000 = 20.00%

　　2. Correct answer:C

　　A covered call strategy is used to generate cash on a stock position that is not expected to increase in value over the life of the option.

　　3. Correct answer: D

　　Probability of three defaults

　　= [7^6 × exp(-7)] / fact(6) = [117649 × 0.000912] / 720 = 14.9%.

　　4. Answer: D

　　The CAPM assumes that investors all have the same horizon (as well as expectations). This means that the distribution of the horizons is not normal because normality implies a bell-shaped curve distribution, which would have a positive variance and, hence, dispersion.

　　5. Correct answer: C

　　The estimated default frequency in KMV model is calculated using balance sheet items and the standard deviation of the assets.

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