FRM第一套题.docVIP

单选题 On a multiple choice exam with four choices for each of six questions, what is the probability that a student gets less than two questions correct simply by guessing? (D) A. 0.46% B. 23.73% C. 35.60% D 53.39% A portfolio manager enters into a total rate of return swap as the total return receiver. Under which of the following situations would the portfolio manager be required to make a net outlay to the counterparty? (C) 哪种类型的分布产生最低的概率为变量极值超过指定“X”,比平均的分布假设都具有相同的均值和方差吗 A. If the transaction was initiated as a hedge, then no outlay was required. B． There was a capital gain on the reference asset. C. The market value of the reference asset decreased significantly. D. The spread between the reference asset and the benchmark asset changed. Which type of distribution produces the lowest probability for a variable to exceed a specified extreme value X which is greater than the mean assuming the distributions all have the same mean and variance? (D) A. A leptokurtic distribution with a kurtosis of 4. B. A leptokurtic distribution with a kurtosis of 8. C. A normal distribution. D. A platykurtic distribution Given two random variables X and Y, what is the Variance of X given Variance[Y] = 100, Variance [4X - 3Y] = 2,700 and the correlation between X and Y is 0.5? (D) A. 56.3 B. 113.3 C. 159.9 D 225.0 Which of the following reduce a credit exposure by shortening the effective maturity of a position? (A) 下列哪个降低信用风险的有效的缩短成熟的位置 I. Liquidity put II. Credit trigger A. Both I and II B. I but not II C. II but not I D. Neither of I or II In a securitized transaction, over-collateralization results when (D) A. The originator puts aside some cash in a reserve account to absorb credit losses. B. A securitization transaction carves up the cash flows generated from the asset pool into various pieces. C. The interest payments and other fees received on the assets in the pool exceed the interest payment made on the ABS plus the fee paid to service the assets along with miscellaneous expe