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FRM考试模拟练习及答案（六）

来源：互联网 2020-07-06

FRM一级

1.Use a stated rate of 9% compounded periodically to answer the following three questions. Select the choice that is the closest to the correct answer.

The semi-annual effective rate is:

A. 9.20%.

B. 9.00%.

C. 10.25%.

D. 9.31%.

2.Dennis Austin works for O’Reilly Capital Management and manages endowments and trusts for large clients. The fund invests most of its portfolio in S&P 500 stocks, keeping some cash to facilitate purchases and withdrawals. The fund’s performance has been quite volatile, losing over 20 percent last year but reporting gains ranging from 5 percent to 35 percent over the previous five years. O’Reilly’s clients have many needs, goals, and objectives, and Austin is called upon to design investment strategies for their clients.Austinis convinced that the best way to deliver performance is to, whenever possible, combine the fund’s stock portfolio with option positions on equity.

Given the following scenario:

Performance to Date: Up 3%

Client Objective: Stay positive

Austin's scenario: Low stock price volatility between now and end of year.

Which is the best option strategy to meet the client's objective?

A. Long butterfly.

B. Bull call.

C. Protective put.

D. 2:1 Ratio Spread.

3.A Treasury bill, with 45 days until maturity, has an effective annual yield of 12.50%. The bill's holding period yield is closest to:

A. 1.57%.

B. 12.50%.

C. 1.54%.

D. 1.46%.

FRM二级

4.Which one of the following statements about liquidity risk in derivatives instruments is not true?

A. Liquidity risk is the risk that an institution may not be able to, or cannot easily,unwind or offset a particular position at or near the previous market price because of inadequate market depth or disruptions in the marketplace.

B. Liquidity risk is the risk that the institution will be unable to meet its payment obligations on settlement dates or in the event of margin calls.

C. Early termination agreements can adversely impact liquidity because an institution may be required to deliver collateral or settle a contract early,possibly at a time when the institution may face other funding and liquidity pressures.

D. An institution that participates in the exchange-traded derivatives markets has potential liquidity risks associated with the early termination of derivatives contracts.

5.Which one of the following statements about contract netting is not correct?

A. By reducing the number and overall value of payments betwecn financial institutions, netting can enhance the efficicncy of na1ional payment systems and reduce settlement costs associated with the large and growing volume of foreign exchange transactions.

B. Netting can also contribute to an increase in systemic risk if, instead of achieving reductions in participants' true exposures, it merely obscures the level of exposures.

C. Netting can reduce the size of credit and liquidity exposures incurred by market participants and, thereby, contribute to the containment of systemic risk.

D. Netting provides for effective reduction in credit exposures because of the certainty provided by contract law throughout the wor1d.

6.The following statements compare a highly liquid asset against an (otherwise similar) illiquid asset. Which statement is most likely to be false?

A. It is possible to trade a larger quantity of the liquid asset without affecting the price.

B. The liquid asset has a smaller bid-ask spread.

C. The liquid asset has higher price volatility since it trades more often.

D. The liquid asset has higher trading volume.

Answer:

1.A

First, we need to calculate the periodic rate, or 0.09 / 2 = 0.045.

Then, the effective semi-annual rate = (1 + 0.045)2 ? 1 = 0.09203, or 9.20%.

2.A

Long butterfly is the choice as this combination produces gains should stock prices not move either up or down, while not producing much in loss if prices are volatile. None of the other positions produce gains should stock prices not move much. The protective put guards against falling prices, the bull call limits losses and gains should prices move, and the 2:1 ratio spread gains should prices move up.

3.D

The effective annual yield (EAY) is equal to the annualized holding period yield (HPY) based on a 365-day year. EAY = (1 + HPY)^365/t − 1. HPY = (EAY + 1)^t/365 − 1 = (1.125)^45/365 − 1 = 1.46%.

4.D

Each of the situations in A, B and C refers to either liquidity or funding difficulty due to liquidity.

D is not correct because exchange-traded derivatives are marked-to-market daily. An early termination of a derivative contract would not require any more funding than the daily mark-to-market actions.

5.D

Statement D is not correct. Netting agreements are not universally recognized or entorceable.

6.A liquid asset has a smaller bid-ask spread, higher trading volume, less price impact from a large trade, but not necessarily higher volatility than an otherwise comparable illiquid asset.

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