2014年05月FRM一级模拟考试（一）
1.Monte Carlo simulation and the historical method are two means of calculating V AR. Which
of the following describes a disadvantage of the Monte Carlo method compared to the historical method of calculating V AR? The Monte Carlo method: （）
I Takes advantage of the normal distribution.
II Incorporates flexibility in modeling price paths.
A.I only
B.II only
C.Both I and II
D.Neither I nor II
2.Given the following information, which of the following amounts is clost to d (l.0), the
discount factor for the first year? （）
Bond A Bond B Bond C Bond maturity in years 0.5 1 2
Coupon 6.00% 12.00% 9.00%even是什么意思
Price 101.182 102.341 99.573
A.0.9099
B.0.9138
C.0.9655
D.0.9823
3. A portfolio manager received a report on his fund’s pe rformance. According to the report, the
portfolio return was 2.5% with a standard deviation of 21% and a beta of 1.2. The risk-free rate over this period was 3.5%, the mi-standard deviation of the portfolio was 16%, and the tracking error of the fund was 2%. What is the difference between the value of the fund’s Sortino ratio (assuming the risk-free rate is the minimum acceptable return) and its Sharpe ratio? （）
A.0.563.
B.0.347.
C.-0.053.
D.-0.015.
4.Gloria Brown, FRM, calculated the intrinsic value of RTN Company and expects the stock to
generate a 25% annual return over the foreeable future. However, Brown is concerned that her price forecast may be too high. She conducted a hypothesis test and concluded that at a 5% significance level, the null hypothesis can be rejected that RTN Company’s investment return would be equal to or less than 25% per year. The one-tailed test utilized a z-test.
Indicate the meaning of the significance level chon by Brown and state the correct rejection region. （）
Significance level Rejection region
A.Brown will reject a true null hypothesis 5% of the time z > 1.645
B.Brown will reject a fal null hypothesis 95% of the time z < -1.645
C.Brown will reject a true null hypothesis 5% of the time z < -1.645
D.Brown will reject a fal null hypothesis 95% of the time z > 1.645
5.Assume a 3-year bond with a face value of $100 pays a 3.5% coupon on a miannual basis.
What is the price of the bond according to the following spot rates?
Maturity (years) Spot rate (%)
0.5 2.20%
1.0
2.25%
1.5
2.30%
2.0 2.35%
2.5 2.40%
3.0 2.45%
A.101.15.
B.102.85.
C.102.97.
D.103.07.
6.An investor owns a stock and is bullish over the short term. Which of the following strategies
will be the most appropriate one for this investor if the primary concern is to make a bet on the volatility of the stock? （）
A. A covered call托福考试报名网站
B. A protective put
C.An at-the-money strip
D.An at-the-money strap
7.STT is a small mobile phone manufacturer that frequently makes investments in projects
overas. The organization has $20 million in asts, which is comprid of 45% debt and 55% equity. A recent international project had a market risk premium of 5%, a country risk premium of 2%, and a beta of 1.6 (bad on historical information). STT’s current cost of borrowing is 10%, with a default spread of 7% given a relevant risk-flee rate of 3%. What is STT’s weighted average cost of capital given their marginal corporate tax rate of 35%?
A.12.783%.
B.10.735%.
C.9.858%.
D.8.975%.
8.Paper Products Inc.’s rearch department developed a new type of environmentally friendly
paper. The marketing department surveyed a random sample of 100 people. The survey is designed to gauge customer interest level in the new product. The sample indicates an average purcha of 2,500 reams per year with a variance of 160,000 reams. The rearcher’s
supervisor is concerned that the sample size is too small. The rearcher advis against increasing the sample size, stating that “there is a risk of sampling from more than one populati on.” Determine the standard error of the sample mean and indicate whether the rearcher’s statement is correct or incorrect. （）
Standard error Rearcher’s statement
A.8 Correct
B.40 Incorrect
C.8 Incorrect
D.40 Correct
9.Bond A has an effective duration of 12.13 and a 2-year key rate exposure of $4.04. You
would like to hedge it with a curity with an effective duration of 2.48 and a 2-year key rate exposure of 0.81 per $100 face value. What amount of face value would be ud to hedge the 2-year exposure?
A.$102.
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B.$163.
C.$489.
D.$499.
10.You are given the following information about a call option:
全国商务英语翻译• Time to maturity = 3 years.
• Continuous risk-free rate = 3%.
• Continuous dividend yield = 2%.
• N(d1) = 0.7.
What is the delta of this option（）
A.-0.64
B.0.36
C.0.66
D.0.70
11.Jimmy Deininger, FRM, is a portfolio manager who runs a large $400,000,000 long equity
love and other drugportfolio. Relative to the S&P 500, Deininger’s portf olio has a beta of 1.07. Currently, S&P futures are trading at 1,368, and the futures multiplier is 250. Deininger wishes to create a hedge for his portfolio for the next four months using S&P futures. How many futures contracts should Deininger buy or ll to hedge this portfolio?
A.Long hedge; 1,490 contracts.
B.Short hedge; 1,053 contracts.
C.Long hedge; 992 contracts.
D.Short hedge; 1,251 contracts.
12.You hold a $75 million portfolio with a duration of nine and a one-year hedging horizon.
There is an appropriate one-year futures contract quoted at 104-13 with a duration of eight and a contract size of $100,000. Which of the following actions should you undertake to provide an appropriate hedge for small changes in yield? （）
A.Short 639 futures contracts.
B.Long 639 futures contracts.
C.Short 809 futures contracts.
D.Long 809 futures contracts.
13. A loan portfolio is made up of ten noncorrelated loans, each with a value of $1 million and an
estimated probability of default of 3% in any given year. Recovery in the ca of default is expected t
o be zero. Which of the following amounts is clost to the cumulative expected loss on the loan portfolio over two years? （）
A.$0.03 million.
B.$0.059 million.
C.$0.30 million.
D.$0.591 million.
14.An analyst determines that there is a 50% chance the economy will grow and that there is a
50% chance the economy will go into a recession. If the economy grows, there is a 60% chance that ABC stock will ri in price and a 40% chance it will fall in price. If a recession occurs, there is a 15% chance ABC’S stock price will ri and an 85% chance the price will fall. Given that ABC stock has rin in price, what is the probability the economy has grown?
A.30%.degen
B.50%.
C.70%.
yingyufanyiD.80%.
15.What are the minimum values of an American-style and a European-style 3-month call option
with a strike price of $80 on a non-dividend-paying stock trading at $86 if the risk-free rate is 3%?
American European
A.$6.00 $6.00
B.$5.96 $6.00
C.$6.00 $6.59
D.$6.59 $6.59
16.Harriet Fields, an investment advir specializing in lling municipal bonds, advertis on
television explaining their safety and curity. The bonds she is currently lling are limited obligation
bonds backed only by the revenue generated from the projects they fund, which include a housing project and a golf cour. Fields tells her prospective clients that the bonds are safe, cure, and offer generous interest payments. Which of the following statements is most correct regarding Fields’s actions? （）
A.Fields did not violate the GARP Code of Conduct becau municipal bonds are
generally regarded as being safe investments.
B.Fields violated the part of the GARP Code of Conduct dealing with confidentiality.
C.Fields violated the GARP Code of Conduct when she misreprented the bonds by not
explaining their inherent risks.
D.Fields has not violated any of the ethical responsibilities related to the GARP Code of
Conduct.
17. A portfolio manager of an endowment wants to calculate a daily V AR for the portfolio. The
€10,000,000 portfolio is restricted from using derivative curities. The annual return is expected to be 10%, with a standard deviation of 15%. If the manager assumes there are 250 trading days in a year and us a 1% level of significance, which of the following amounts is clost to the daily V AR using the delta-normal method? （）
A.-€217,043
B.-€221,350
C.-€241,100
D.-€245,100
18. A bank has a USD50,000,000 portfolio available for investing. The cost of funds for the
网上一对一辅导USD50,000,000 is 4.5%. The bank lends 50% of the asts to domestic customers at an average loan rate of 6.25%. The rest of the portfolio is lent to UK clients at 7%. The current exchange rate is USD1.642/GBP. At the same time, the bank lls a forward contract equal to the expected receipts one year from now. The forward rate is USD1.58/GBP. The weighted average return to the bank on its asts is clost to: （）
A. 1.99%
B. 2.13%
C. 2.26%
D. 4.61%
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19.If the expected variance of a regression error term depends on the value of the independent
variable, then this: （）
A.Does not violate the assumptions of the classical linear regression model.
B.Would violate the assumptions of the classical linear regression model and is called
rial correlation.
C.Would violate the assumptions of the classical linear regression model and is called
homoskedasticity
D.Would violate the assumptions of the classical linear regression model and is called
heteroskedasticity
20.Assume that a trader wishes to t up a hedge such that he lls $100,000 of a Treasury bond
洛杉矶教师罢工and buys Treasury TIPS as a hedge. Using a historical yield regression framework, assume the DV01 on the T-bond is 0.072, the DV01 on the TIPS is 0.051, and the hedge adjustment factor (regression beta coefficient) is 1.2. What is the face value of the offtting TIPS position needed to carry out this regression hedge?
A.$138,462.
B.$169,412.
C.$268,499.
D.$280,067
