2007 FRM － Mock Exam 模考试题 (31- 35)

31. Your firm has no prior derivatives trades with its counterparty Super Bank. Your boss wants you to evaluate some trades she is considering. in particular, she wants to know which of the following trades will increase your firm’s credit risk exposure to Super Bank:

i.   Buying a put option
ii.  Selling a put option
iii.  Buying a forward contract
iv.  Selling a forward contract

a. i and ii only
b. ii and iv only
c. iii and iv only
d. i, iii, and iv only

32. A bank would like to estimate the number of operational risk events due to problems with tellers (large mistakes, fraud, and so on). The bank decides to model teller operational risk events as a Poisson process with rate   (number of events per year). With this model, teller operational risk events are assumed to occur independently of one another and the number of teller operational risk events in a year is Poisson distributed with mean  . Other properties of a Poisson distribution with mean   include:
     Variance: 
     Skewness: 
     Excess Kurtosis: 1/
Based on historical data regarding the number of teller operational risk events that occurred in previous years, the bank determines that the average number of events has been 5 per year and decides to set  to 5. Which of the following is true regarding that model?

a. The corresponding exponential distribution that describes the time between two teller operational risk events has a mean value of 0.25 years.
b. The variance of the number of teller operational events in a year is 25.
c. The number of teller operational risk events in a year cannot exceed 25.
d. The model is not appropriate if a teller is more likely to have an operational risk event because his friend who is also a teller has been caught stealing.

33.Two banks enter into a five-year, first-to-default basket credit default swap transaction. The basic contains three uncorrelated credits, W, X, and Y, each with a USD 25 million notional amount. The protection seller has to settle on the credit that defaults first during the transaction. After that, protection seller has no obligation and the transaction terminates. Suppose the credits have the following five-year cumulative probability of defaults:
Credit Five-Year Cumulative Probability of Default
W 9.68%
X 8.97%
Y 8.02%

Which of the following is the probability of at least one default in the basket during the five years?

a. 9.68%
b. 8.02%
c. 26.67%
d. 24.38%

34. Consider a stock price S that follows a geometric Brownian motion  , with   strictly positive and   a fixed value. Which of the following statements is true?

a.  The instantaneous rate of return on the stock follows a uniform distribution.
b.  If the drift   is negative, the price one year from now will be below today’s price.
c.  This model imposes mean reversion.
d.  The stock price S follows a lognormal distribution.

35. Which of the following statements regarding Basel II non-advanced approaches is incorrect?
a.  The standardized approach makes it advantageous for a bank to book losses early if doing so reduces this year’s gross income sufficiently to make it negative.

b.  Corporate finance, trading and sales, and payment and settlement are the business lines with the highest regulatory capital requirements.
c.  The standardized approach divides the bank into business lines and uses data from the last three years of a business line’s gross income and a beta factor to obtain the regulatory capital for that business line.
d.  The standardized approach uses data from the last three years of gross income to obtain a bank’s operational risk capital charge.

[此贴子已经被作者于2009-3-31 14:25:07编辑过]