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2007 FRM - Mock Exam 模考试题 (111- 115)

 

111. You don’t have access to KMV’s data. Your boss wants you to estimate the probability of default of a credit. To do so, you use the Merton model because the credit you are considering has no systematic risk. In Merton’s model, the distance to default and expected default frequency are:


a.       negatively and linearly related.

b.       positively and linearly related.

c.       negatively and nonlinearly related.

d.       positively and nonlinearly related.







112. An investor is investigating three hedge funds as potential investments. Hedge fund A is an equity market neutral fund, B is a global macro fund with emphasis on equity markets, and C is a convertible arbitrage fund. Which answer correctly specifies the funds with the highest exposure to a worldwide, value-weighted equity index and to a credit default swaps index?

        

        Highest Equity Index Exposure       Highest Credit Default Swap Index Exposure

a.             A                                C

b.             B                                C

c.             B                                A

d.             A                                B






113. Your bank is an active player in the commodity market. The view of the economist of the bank is that inflation is expected to rise moderately in the near term and market volatility is expected to remain low. The traders are advised to undertake deals on the metals exchange to align your book to conform with the expectations of the economist of the bank. As risk manager, you are asked to monitor the positions of the traders to make sure that they have the exposures to inflation and market volatility sought by the bank. Which trader has taken an appropriate position among the traders you are monitoring?


a.       Trader A bought a call and a put, both with 90 days to expiration and with strike price equal to the existing spot level.

b.       Trader B bought a put option with a down-and-in knock in feature.

c.       Trader C bought a call option at the existing spot levels and sold a call at a higher strike price, both with 90 days to expiration.

d.       Trader D sold a call option and bought a put at the existing levels, both with 90 days to expiration.






114. It has been found that the correlations across indices increase during adverse market events (e.g., severe volatility, market crash). You are assessing the risks of a long-only global equity portfolio and are asked to describe for your boss the implications adverse market events might have in a VaR context. Which of the following statements is correct about the impact on future estimates of VaR for a long-only global equity portfolio?


a.       Following the onset of adverse market events, future VaR estimates will increase if VaR is estimated using the historical method compared to what would have happened had there been no adverse events.

b.       The effect of increased correlation on future VaR estimates cannot be estimated because, by definition, a crisis is a unique event with no comparable period.

c.       The performance of future VaR estimates will remain unaffected since by definition a crisis has a probability that is much lower than the probability level typically used to estimate VaR.

d.       Following the onset of adverse market events, future VaR estimates will decrease if VaR is estimated using a GARCH (1,1) model compared to what would have happened had there no adverse events.








115. You have been asked to evaluate the performance of two hedge funds: Global Asset Management I and International Momentum II. Both are benchmarked to MSCI EAFE. The volatility of EAFE is 17.5% and the annualized performance is 10.6%. The risk-free rate is 3.5%.

     

           Fund                       Volatility         Performance

        Global Asset Management I          24.5%             12.5%

        International Momentum II           27.3%             13.6%


      Which of the two funds had a higher relative risk-adjusted performance (RAP) last year, and what is the RAP?

a.       International Momentum II, 5.42%

b.       International Momentum II, 1.18%

c.       Global Asset Management I, 4.85%

d.       Global Asset Management I, 6.16%

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确实是不错的喔~本人亲自体验过。

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确实是不错的喔~本人亲自体验过。

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确实是不错的喔~本人亲自体验过。

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17

做人要厚道,看帖要回帖.

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