GARPは2025年最新の2016-FRRテスト解説（更新されたのは344問があります) [Q203-Q222]

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GARPは2025年最新の2016-FRRテスト解説（更新されたのは344問があります)

2016-FRR試験問題集を提供していますGARP問題

GARP 2016-FRR（金融リスクおよび規制）試験は、金融業界で働く専門家向けに設計された包括的な認定プログラムです。この試験は、グローバルリスク専門家協会（GARP）によって実施されており、金融リスク管理と規制の分野における専門家の専門知識を測定するための基準としてグローバルに認識されています。

FRRシリーズ認定試験は、金融リスクを効果的に管理するために必要なスキルと知識を厳密に評価するものです。市場リスク、信用リスク、業務リスク、流動性リスクなど、幅広いトピックをカバーしています。また、規制遵守、倫理、ガバナンスに関するセクションも含まれます。この試験は、金融リスク管理の分野で最低2年の実務経験を持つ個人が受験できます。

質問 203
Company A needs to provide a risk probability/frequency score for its RCSA program. If the event is likely to happen once in 2 years, then the frequency score will be equal to:

0.2

0.5

質問 204
Which of the following statements describes correctly the objectives of position mapping ?

For VaR calculations, mapping converts positions based on their deltas to underlying factor risks.

Position mapping models risk factors affecting the value of a position as combination of core risk factors
used in the VaR calculations.

Position mapping groups similar positions into one group based on the closeness of their respective
VaR.

Position mapping reduces the possible number of risk factors to a computationally manageable level.

I and II

II and IV

I, II and III

II, III, and IV

質問 205
Which one of the following four statements about the relationship between exchange rates and option values is correct?

As the dollar appreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate decreases.

As the dollar appreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate increases.

As the dollar depreciates relative to the pound, the right to buy dollars at a fixed pound exchange rate increases.

As the dollar appreciates relative to the pound, the right to sell dollars at a fixed pound exchange rate increases.

質問 206
When the cost of gold is $1,100 per bullion and the 3-month forward contract trades at $900, a commodity
trader seeks out arbitrage opportunities in this relationship. To capitalize on any arbitrage opportunities, the
trader could implement which one of the following four strategies?

Short-sell physical gold and take a long position in the futures contract

Take a long position in physical gold and short-sell the futures contract

Short-sell both physical gold and futures contract

Take long positions in both physical gold and futures contract

質問 207
To estimate the required risk-adjusted rate of return on a highly volatile energy stock, a risk associate compiled the following statistics:
Risk-free rate = 5%
Beta = 2.5
Market Risk = 8%
Using the Capital Asset Pricing Model, she estimates the rate of return to be equal:

10%

15%

25%

40%

質問 208
Which of the following factors can cause obligors to default at the same time?
I. Obligors may be harmed by exposures to similar risk factors simultaneously.
II. Obligors may exhibit herd behavior.
III. Obligors may be subject to the sampling bias.
IV. Obligors may exhibit speculative bias.

II, III

I, II

III, IV

質問 209
In its VaR calculations, JPMorgan Chase uses an expected tail-loss methodology which approximates losses at
the 99% confidence level. This methodology consists of two subsequent steps to estimate the VaR. Which of
the following explains this two-step methodology?

After VaR is computed at the 97% confidence level, the expected tail loss in excess of that confidence
level is determined, which is then compared with the VaR estimate at the 99% confidence level.

After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence
level is determined, which is then compared with the VaR estimate at the 98% confidence level.

After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence
level is determined, which is then compared with the VaR estimate at the 99% confidence level.

After VaR is computed at the 1% confidence level, the expected tail loss in excess of that confidence
level is determined, which and is then compared with the VaR estimate at the 98% confidence level.

質問 210
Bank Alpha is making a decision about lending 10-year loans in a sector that is fairly illiquid and is looking at
various options to fund the loans. Which of the following options to fund the loans exhibits the most
exogenous liquidity risk?

Overnight interbank markets

The 6-month LIBOR markets

The 1-year treasury markets

Foreign exchange markets

質問 211
James Johnson bought a coupon bond yielding 4.7% for $1,000. Assuming that the price drops to $976 when
yield increases to 4.71%, what is the PVBP of the bond.

$26.

$76.

$870.

$976.

質問 212
A trader for EtaBank wants to take a leveraged position in Collateralized Debt Obligations. These CDOs can be used in a repurchase transaction at a 20% haircut. Starting with $100 worth of CDOs, which one of the following four positions would completely utilize the available leverage?

The trader can buy $100 in CDO’s, and repo the CDO’s to get back $100, less interest.

The trader can buy $100 in CDO’s, and repo the CDO’s to get back $80, less interest.

The trader can buy $100 in CDO’s, and repo the CDO’s to get back $60, plus interest.

The trader can buy $100 in CDO’s, and repo the CDO’s to get back $20, plus interest.

質問 213
Alpha Bank estimates its 1-month, 95% VaR is 30 million EUR. This means that in the next month, there is a

95% chance that AlphaBank can lose more than 30 million EUR.

95% chance that AlphaBank will lose exactly 30 million EUR.

95% chance that AlphaBank can lose at most 30 million EUR.

95% chance that AlphaBank will at least lose 30 million EUR.

質問 214
A credit rating analyst wants to determine the expected duration of the default time for a new three-year loan, which has a 2% likelihood of defaulting in the first year, a 3% likelihood of defaulting in the second year, and a 5% likelihood of defaulting the third year. What is the expected duration for this three-year loan?

1.5 years

2.1 years

2.3 years

3.7 years

質問 215
If a bank is long £500 million pounds, short £300 million in delta-equivalent pound options, and long £100 million in pound-denominated stocks, what is the amount of pound exposure that would be shown in the aggregated risk reports?

£900 million pounds

£800 million pounds

£500 million pounds

£300 million pounds

質問 216
Which one of the following statements describes Macauley’s duration?

The change in value of a bond when yields increase by 1 basis point.

The weighted average life of the bond payments.

The present value of the future cash flows of a bond calculated at a yield equal to 1%.

The percentage change in a bond price when the yields change by 1%.

質問 217
Which one of the four following statements about a minimal loss threshold in operational loss data collection
is incorrect?

A company can have differing operational loss data collection and reporting thresholds for different
departments.

The operational loss data collection program has to capture all losses regardless of their size.

Setting an operational loss data collection threshold depends on the risk appetite of the firm and
regulatory requirements it needs to meet.

The operational loss data collection program must include all material losses that are above minimal
gross loss threshold.

質問 218
Using a forward transaction, Omega Bank buys 100 metric tones of aluminum for delivery in six-months’ time.
However, after two months, the bank becomes concerned with the potential fluctuations in aluminum prices
and wants to hedge its potential exposure against a possible decline in aluminum prices. Which one of the
following four strategies could the bank use to offset the risk from its current exposure to aluminum as it sets
the price for selling the commodity in four-months’ time?

Sell an aluminum futures contract

Buy an aluminum futures contract

Sell an aluminum forward contract

Buy an aluminum forward contract

質問 219
Which one of the following four statements correctly defines credit risk?

Credit risk is the risk that complements market and liquidity risks.

Credit risk is a form of performance risk in contractual relationship.

Credit risk is the risk arising from execution of a company’s strategy.

Credit risk is the risk that summarizes the exposures a company or firm assumes when it attempts to
operate within a given field or industry.

質問 220
Which one of the following four statements presents a challenge of using external loss databases in the
operational risk framework?

Use of benchmarked data reflects similar data collection standards.

External events are usually not of interest to senior management.

If the external data is gathered from news sources, it may only reflect events that are interesting to the
press.

They provide a source of data on what operational loss events will occur.

質問 221
Which of the following statements are reasons for mathematical valuation and risk assessment models to be
misleading or inaccurate?
I. There could be missing factors in models.
II. The data used as input for the model could be bad or wrong.
III. Model results could be misinterpreted.
IV. There could be errors in the derivation of the model.

I, II, III IV

III and IV

I, II, and III

I, III, and IV

質問 222
Suppose Delta Bank enters into a number of long-term commercial and retail loans at fixed rate prevailing at
the time the loans are originated. If the interest rates rise:

The bank will have to pay higher interest rates to its depositors and would have to pay higher rates on its
debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to
fund the loans was of a shorter maturity than the loans.

The bank will have to pay higher interest rates to its depositors and would have to pay lower rates on its
debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to
fund the loans was of a shorter maturity than the loans.

The bank will have to pay lower interest rates to its depositors and would have to pay higher rates on its
debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to
fund the loans was of a shorter maturity than the loans.

The bank will have to pay lower interest rates to its depositors and would have to pay lower rates on its
debt to the extent the debt interest rate was linked to floating indices, or to the extent the debt used to
fund the loans was of a shorter maturity than the loans.