201103 FRM �级�线模&

201103 FRM �级�线模& - FRM 1....

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FRM 一级在线模考试题 1. In analyzing two commonly-used VAR methods, which of the following statements regarding such methods is least likely correct? A. The delta-normal method often results in a lower proportion of distributions with thin tails. B. The delta-normal method does not allow for a reasonable valuation of option-like positions. C. The historical simulation method often recognizes changes in volatility and correlations from structural changes. D. The historical simulation method is not subject to model risk. 2. A $1,000 par corporate bond carries a coupon rate of 6%, pays coupons semiannually, and has ten coupon payments remaining to maturity. Market rates are currently 5%. There are 90 days between settlement and the next coupon payment. The dirty and clean prices of the bond, respectively, are closest to: A. $1,043.76, $1,013.76 B. $1,043.76, $1,028.76 C. $1,056.73, $1,041.73 D. $1,069.70, $1,054.70 3. Which of the following statements regarding option “Greeks” is (are) correct? I Vega is highest when options are at-the-money. II Forward instruments cannot be used to create gamma-neutral positions. III Rho is higher for at-the-money versus in-the-money options. IV Theta represents the expected change in delta for a change in the value of the underlying instrument. A. I and III only B. I and II only C. IV only D. I, II, and IV 4. A bank has a USD 4 million portfolio available for investing. The cost of funds for the $4 million is 5.5%. The bank lends 50% of the assets to domestic customers for an average loan rate of 7.35%. The rest of the portfolio is lent to some UK clients at 8% at a current exchange rate of USD1.62/GBP. At the same time, the bank sells a forward contract to eliminate exchange rate risk equal to the expected receipts one year from now. The forward rate is USD1.52/GBP. The net interest margin on the bank’s investment balance sheet is closest to: A. -1.16% B. 1.93% C. 2.18% D. 4.34% 5. Which of the following statements regarding the valuation applications of the CAPM is least
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likely correct? A. According to the CAPM, only systematic risk is rewarded with higher expected returns. B. In a frictionless market, financial transactions to reduce a firm’s systematic risk will not increase firm value. C. Operational changes to reduce a firm’s systematic risk may increase firm value. D. The value of a firm’s equity is equal to the present value of its expected net income, where the appropriate discount rate is the expected rate of return from the CAPM. 6. Based on a sample size of 100 and sample mean of $30, you estimate a 95% confidence interval for the mean weekly soft drink expenditures of students at a local college. Your estimate of the confidence interval is $26.77 to $33.23. Since you knew the standard deviation beforehand, your confidence interval was based on a standard deviation closest to: A. 1.65 B. 6.59 C. 11.53 D. 16.48 7. Consider a 1-year European call option with a strike price of $27.50 that is currently valued at $4.10 on a $25 stock. The 1-year risk-free rate is 6% compounded annually. Which of the following is closest to the value of the corresponding put option (assume continuous compounding)?
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This note was uploaded on 11/02/2011 for the course FINANCE 611 taught by Professor Liyang during the Spring '11 term at Covenant School of Nursing.

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201103 FRM �级�线模& - FRM 1....

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