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FRM一级冲刺备考：考生常见易错题汇总（13）

来源：高顿网校 2015-10-20

　　FRM冲刺阶段，除了多练习多看书，还有什么注意事项？FRM一级考前冲刺专题，为你全面解析FRM一级考试！点击进入>>

　　1.Which of the following statements regarding accrued interest is most accurate?

　　A. The accrued interest is paid by the seller of the bond to the buyer (new owner) of the bond.

　　B. If the seller must pay the buyer accrued interest, the bond is said to be trading cum-par.

　　C. If the buyer must pay the seller the accrued interest, the bond is said to be trading ex-coupon.

　　D. The bond is trading flat if the bond issuer is in default and the bond is trading without accrued interest.

　　2.Which of the following is the first step in creating a simulated portfolio value distribution at the end of the investment horizon and computing the resulting VAR using Monte Carlo simulation?

　　A. Select a distribution from which to draw random variables.

　　B. Specify the VAR parameters.

　　C. Identify relevant market factors.

　　D. Choose a stochastic process and its parameters.

　　3.Credit optionality on a commitment is best viewed as:

　　A. call option for the lender.

　　B. put option for the borrower.

　　C. put option for the lender.

　　D. call option for the borrower.

　　Answer:

　　1.D

　　The accrued interest is paid by the new owner of the bond to the seller of the bond. If the buyer must pay the seller accrued interest, the bond is said to be trading cum-coupon. Otherwise, it is trading ex-coupon.

　　2.D

　　There are four steps in creating a simulated portfolio value distribution at the end of the investment horizon and the resulting VAR using Monte Carlo simulation.

　　Step 1: Choose a stochastic process and its parameters.

　　Step 2: Generate a pseudosequence of random variables and use these as inputs to the model to simulate a price path.

　　Step 3: Calculate the asset value for this price path at the end of the investment horizon.

　　Step 4: Run a large number of iterations of steps 2 and 3.

　　3.D

　　The commitment fee gives the borrower the right, but not the obligation, to draw down on the commitment at any time.

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