2016年5月FRM_模考题.pdfVIP

本资料由搜集，唯一联系QQ1740265798 Ronse® International Education FRM® Part I Mock Exam Topics Weights Foundations of Risk Management 20% Quantitative Analysis 20% Financial Markets and Products 30% Valuation and Risk Models 30% Total: 100 questions Note: The actual exam date: May，21，211 The actual test time: 8:00 a.m. – 12:00 a.m. 本资料由搜集，唯一联系QQ1740265798 1. Value at risk (VAR) can be viewed as a measure of risk capital, which is the economic capital required to support a financial activity. Economic capital is the amount of capital that should be set aside as a cushion against: a. catastrophic losses. b. expected losses. c. unexpected losses. d. expected and unexpected losses. 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, $1,026.73. b. $1,056.73, $1,041.73. c. $1,069.70, $1,056.73. d. $1,043.76, $1,071.73. 3. Which of the following statements regarding option Greeks is(are) correct? I. Vega measures the sensitivity of option prices to changes in volatility. II. Forward instruments cannot be used to create gamma-neutral positions. III. Rho is a much more important risk factor for equities than for fixed-income derivatives. IV. Theta represents the expected change in delta For a change in the value of the underlying. a. I and III only. b. I and II only. c. IV only. d. I, II