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FRM*7模拟试题<2>

来源：高顿网校 2015-03-18

　　6. An analyst has constructed the following t-test for a portfolio of financial securities whose returns are normally distributed： Number of securities = 40. H0： Mean return >= 18 percent. Significance level = 0.1 What is the rejection point for this test？

　　A. 1.304.

　　B. 1.684.

　　C. 2.021.

　　D. 2.023.

　　Correct answer： A

　　This is a one-tailed test with 39 degrees of freedom and significance level of 0.1. Looking up the Student‘s t-distribution for df = 39 and p = 0.1， we get the critical value of 1.304.

　　7. Consider an A-rated institution that funds itself in the wholesale market at LIBOR + 90bps.

　　Which of the following is the most attractive instrument for this firm to take exposure to an AAA-corporate issuer？

　　A. Credit swap.

　　B. Floating rate note.

　　C. Credit-linked note.

　　D. Fixed coupon bond.

　　Correct answer： A

　　This firm has a fairly high funding cost. Funding itself at 90 bps over LIBOR and lending to AAA names at around LIBOR is a loss making strategy， which rules out the notes and the bond. The only way this firm can make money is by selling credit protection via a credit swap that does not require it to make a physical investment.

　　8. Which of the following statements about the Treynor ratio is correct？

　　A.The Treynor ratio considers both systematic and unsystematic risk of a portfolio.

　　B.The Treynor ratio is equal to the excess return of a portfolio over the risk-free rate divided by the total risk of the portfolio.

　　C.The Treynor ratio can be used to appraise the performance of well-diversified portfolios.

　　D.The Treynor ratio is derived from portfolio theory since it assesses a portfolio’s excess return relative to its risk.

　　Answer： C

　　A is incorrect - Treynor ratio considers only systematic risk of a well-diversified portfolio

　　B is incorrect - Treynor ratio denominator is beta of the portfolio

　　C is correct - this statement is correct

　　D is correct - Treynor ratio is derived from CAPM and not portfolio theory

　　9. Which of the following is TRUE in relation to affirmative covenants？

　　A. They prohibit the borrower from issuing new debt.

　　B. They prohibit the borrower from paying dividends above a limit to shareholders.

　　C. They require the borrower to take actions to service the debt and maintain collateral.

　　D.They prohibit the borrower from paying dividends under certain circumstances to shareholders

　　Correct answer： C

　　Affirmative covenants are terms that require the borrower to take actions to service the

　　debt and maintain collateral.

　　10. Suppose that you need to borrow $1 million for 24 months. Two large US-based international banks with equal credit ratings offer deposit rates of 2%. To choose between the two banks， you would need all of the following except：

　　A. day count basis.

　　B. compounding basis.

　　C. currency of deposit.

　　D. balance sheets of the banks.

　　Correct answer： D

　　$1 million is a relatively small amount and the liquidity risk is not high in most markets.

　　All other factors are crucial for the decision.

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