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真题：基因拥有永久等问题解答

来源：高顿网校 2015-07-24

　　假设基因拥有永久,保险公司支付1250美元,每年年底的。保险公司现在想换成永久减少1500美元下降1% p.a.付款日期没有任何变化。

　　1. Suppose that Gene owns a perpetuity, issued by an insurance company that pays $1,250 at the end of each year. The insurance company now wishes to replace it with a decreasing perpetuity of $1,500 decreasing at 1% p.a. without any change in the payment dates. At what rate of interest (assuming a flat yield curve) would Gene be indifferent between the choices?

　　A. 4%.

　　B. 5%.

　　C. 6%.

　　D. 9%.

　　2. Which of the following is considered to be the responsibility of the legal risk manager?

　　I. Inadequate documentation of OTC derivatives transactions.

　　II. The enforceability of netting agreements in bankruptcy.

　　III. Default on interest and principal payments.

　　A. I only

　　B. II only

　　C. I and II only

　　D. I, II, and III

　　3. 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.

　　4. 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.

　　5. 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.

　　Answers:

　　1. Correct answer: B

　　1,250 / r = 1,500 / (r + 1%) or, 1,250 x (r + 1%) = 1,500 x r or, r = 12.5 / (1,500 - 1,250) = 5%.

　　2. Correct answer : D

　　Legal risk management is concerned with adequate documentation, public filings, compliance with regulatory entities, and some borrower impositions. The legal manager is also involved in deciding if default has occurred and, if so, assisting with the enforcement of netting agreements.

　　3. 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.

　　4. 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.

　　5. Correct 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.

高顿网校温馨提醒：2015年FRM备考已经开始，为了帮助大家充分备考，体验实战，提供给大家FRM考试考点复习笔记，针对性地训练与模考，对学习过程进行全面总结。点击免费获取>>>

　　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