2020年10月FRM一級(jí)模擬考試一（含答案）

2一一）1.?hofthefollowiI1gs?atementscompa??VaRwi?hexpec?edsho1tfallistiue?A.Expec?edsho1tfal?issub-additivewhikVaRno?.B.Bo?hVaRandexpec?edsh01tfallmeasmetheamolllltofcap??alan血estorcanexpec??oseoveragiven??inepe1iodandar,e,therefore?mterchangea?leas1iskmeasmesVaRandsh01tfalldependon?heassumptionofanormald?stri?utionofre血us.D.VaRcanvaiyaccordiI1g?otheconfidencelevelselected,?u?expec?edwillno?.2.Giventhefollow?ng面0?ation?wh?chofthefollow?ng皿oiscloses?d(l.O)??hediscollll?fa?he?s?year?Bo?dA0.5Bo?dB1Bo?d???????t?it1?earsoupo?Pr?ce6.00%101.18212.00%102.341A.0.9099B.0.9138.0.9655D.0.98233.Glo1iaBrown,??ca?cula?edthein?"ins?cvalueCompanyandexpec?s?hes?ock?ogenera?ea25%annua?re血nover?he?reseea?le??e.However?Brownisconce?edthatherp1ice?recastmay?etoohigh.Sheconduc?edao?hesis?es?andconcluded?ha?a?a5%significanceleve???henullhypothesiserejectedRTNCompany'sinvestmentren1111wou?dtoless?han25%year.Theone-?ailed?estu?ilizedaz-tes?.?hemeani?gofthesigni?cance?evelchosenyandtherejection01SifcancelevelRejectionreg?onABrownwillrejecta??enullo?hesis5%ofthe?imez>1.645z<-5z<z>1.645B.Brownwillrejecta??seothesisof?hetimeC.Brownwillrejecta??enullo?hesis5%of?hetimeD.nwillrejec?anu??othesisof?he?ime4.Aninves?orastockandis?ullishoverthet?e1m.of?he?llowings廿at?gieswil??heapprop1ia?eoneforinvestoriftheprimaryconce?ismakea?e?on?hevolatili?yof?hes?ock?A.Acoveredcal?1-30B.0.36C.8.Whichoffollow臚已ca1mo?be1ised?????fercredit1isk?o?abank'sbala?cesheet?A.Credi?de1iva?ivesB.Credi?de?ul?swapsC.Secmitiza?io?D.Sgove1ru?e??bo?dfu血es9.hazardl.5%peryeai·r??:t血eeyearsa?d2.5%·?hethreeyes,Whatis?heprobab山tyofdefaul?betvvee?years?vvoa?dfive?A.0.0190B.0.02955C.0.09063D.0.0610710.Which?ech?iquebelowdoesco?tr·ibute1tocredit?i?igatio??A.Bo?dinsma?ceB.Buy-a?d-holdC.Ne??i?gD.Collateraliza?io?11.Over-?he-counterCDSshelped?r?a?sfercredtitrisk?tl1eloa?book,butalsoge?era?ed?ewofasystemic?a血eA.Credi?spreadriskB.Cou?te?????creditriskC.I??eres?ra?eriskD.No?e?heabove.?i?sma?ceco?pa?yes?i?a?estha?40%ofpolicyholderswhohaveo?lya?autopolicywillre?ew?extyear,60%ofpolicyholdershaveo?lyaho?eow?erpolicywillre?ew?ex?year.Theco叩a?yes?i?ates小a?80%ofwhohavebotha?au?oa?daho?eow?erpolicywillre?ewatleas?o?eofthosepolicies?ex?yeru.Co?pa?yrecordsshow?l1a?65%ofpolicyholdersa?au?opolicy,ofpolicyholdershaveaho?eownerpolicy,a?d15%ofpolicyhold,ershavebotha?au?oandaho?eow?erpolicy3-%thenllin.B.Wouldthe:rmodelandis:ii.:1discaAwithyes·ydaaityof5%.ga5nyield,yoftheis:502211993rltednbillionr1ioftheilikelyrofBains·rfsrrto(Singa?oreMonetaiyExchange)Aandi1inBe?dChrenda1isrnu'thateisaleofCh:isu'is;lesisisincoect;isis;50%2226.stock$106rsha?e,andtheinte?es??a?e.Assu?inga?no?,sedofanoninof$1?....ganos?ockhavee?o1.IfpdceofXYZis,whichoftewould?aas?·ikeof$50B.alas??pdceof$25.Sellaaof$50aaof$25.JoeysinandXYZis,.is1iYZisp1iceda?$9.80.:gcapitalizeons.:callstrike:Zpu?$0$$$7..50$05$I:$nt,CineZ?hegs訂beenin8-%to5.?n?oa?3?5%?eaof0l??le1ra?of?hed?n1?srigw?the%%%sdra?e?s?sofcencyA.1.6.5T?sofofengby?gandr?sk.i:be1iyl%"ofnryforspas?0s.?hen?es?sofus?ng·r?skpre?um.oofs1?sor,?den???one-ta??edor?o-?a??edof?hesera?e.B?l.sl?w??ha?naepos?t?on?Am·lld?fen:.Execu?ea?an·adeoccsa?spec?fiedpce.B.a?asa?eor1-%plice.C.A??owabroke?de?ayexecut?onoftheo?dertoabe?terpr?ce.D.Executeo?de??nmed?ate?yorno?ta?l.555?Wh?chbestdesc??bes?e?at?ons?l?pbetweeneconom?ccap?ta?andunexpec?ed?oss?A.Econom?ccap?ta??sam1t?t?p?eoflmexpected?ossB.Econom?ccap?ta?11lll·e?a?ed?o1mexp1ected?ossC.Econom?ccap?ta?equa?tow??h)unexpected?ossD?Econom?ccap?ta?unexpectedp?uscred??value??sk(CVaR)6.G?ven?n???a??on?nthetab?ebe?owandg?ventha?the2-yea?·spo?rate10.263%,whattheapprop?ia?eac??onofanarb?ti·ageur?Assumea血ua?couponsandcompound?ngBondA1BondB2Bonde2Ma血?tyinyearsCouponratePdce0%0%10%10095.238182.6446a??b???age?sho??I-andyea?ze?o-couponand2-yearcoupon.Theru·b?訂age?shou?dtheI?and2?yeai·ze?o?couponandsho??the2?yea?couponbond.Thea?b?訂age?shou?dbuytheI-yea?ze?o-couponand2-yea?couponbondandsho?tthe2?yeru·ze?o?couponbond?Thea?b??·age?shou?dsho??theI-yeaze?o?couponand2-yearcouponbondandthe2-yeru·e?o-coupon57?e?ic?ent丘ont?e?defmedbythesetofpo??fo??osthat,?vo?a??lity?eve?,max?mizesexpec?ed?e????Acco?d?ng?othecap??a?assetp??c?ng(CAPM),wh?chof?hefo??owingsta?emen?s?sw??h??:specttothee?i.Thecap?ta?ma?ket血eas?opeand??sonthemru·ke?r?skprem?umandthevo?a????tyofthepo??????B.Thecap??a?mru-ket??ne?sthest?·a?ght??neconnect?ng?isk??eeasse?w?ththeze?obe?aminimumva?·?ancepo??fo??o.C.Inves?o?sw?th?owestave?s?onw???typ?ca??yho?dpo??fo??oofassetsthathasthe?owes?s?an恤ddev?a??onone?c?enontie工D.Thee?ic?ent丘ont?e?a??owsd??e?entind?v?dua?s?ohaved?e?en?po?????osof?iskyassetsbaseduponthe江?nd?v?dua?fo?ecasts?asse??e血?s.17-30%C.Longs訂addleShotts??angle75.TheS&P500?radinga?1,025.T11eS&Panexpec?eddividendyieldof1.2%,小ecmTen???sk-?ee?a?eofin?e?es?is2.75%,d小ep?eva?li?1gmake?ofin?e?es?4.25%.Thepdceofa3-mon?hcon?i·ac?on?l1eS&Piscloses??o:A.1,028.98B.1,032.85C.1,035.17.1,041.017776.If?heva?ianceof?hesamplingd?s?iibu??onofanes?ima?o?issmalle??hanallo?he?lmbiasedes?ima?o?sof?hepa?ame?e?of?n?e?es?,?hees?ima?o??s:A.ReliableB.E?icien?C.Unbiased.Consis?en?7.Conside?a$1,000-facevalue,12-yea?,8%,semiannualcouponbondw??haYTMof10.45%.Thechange?nvalue??adec?easeinyield0tf38basis?scloses??oA.Inc?easeof$22.76B.Dec?easeof$22.76C.Inc?easeof$23.06.Dec?easeof$23.068.Thema?ke?po1tfol?o(M)?heop?imalalloca?ionofonly?iskyasse?sand.Le??heS1She?a?ioof?hispo?tfol?o.The?eexis?sa.In??ially,aninves?o??sinMhaeofS1Subsequen?ly,?heinves?o?bonowsthe??sk??ee?a?e,such?ha?she130%inves?edin?hemai·ke?po?tfol?o(M)wherleve?agepo???l?ohasaSha?pe?a?ioofS2oA?e?leve?agee.,e?o+30%?nM,is?hes?illandhowdoe?a?ios?A.Nolonge?e?cien?),andS2<S1B.?S1.C.le?cien?),?S2<S1.andS2S.1%79.Apo1tfolio,iI1vestedin?woasse?swithequalweights,avola?ili?yof11.18%when小ecovariance(and?here?siszero.IftheiI1creases仕omzero?o0.0160,?heweigh?sdindividualassetvolatilitiesremainunchanged,wha??sechangeopo1tfol?ovo?a??lity?A.Increaseby3.14%B.lI1creaseby6.29%C.Increaseby12.65%D.No?info1ma?ion80.Supposetha?thepriceofanasseta?edoseofyesterdaywasUSDandi?svolatilitywases?ima?ed1.4%perday.Tll1epricea??l1ecloseof?odayisUSD19What?henewvolatili?yes??ma?eusing?heEWMAhf0.9?A.2.06%B.2.07%C.2.08%D.2.09%81.Po1tfo?iomanagerSallyhasaposi??oninl00op??oncon訂ac?swi?hthefollowingposition護(hù)·eeks:?he?a=+25,000;vega=+330,000andgamma=-200;ie.,pos??ive?heta,posi?ivenega?ivegamma.of?e??low?ngadditional?r?ades,u??lizinggenerallya?-the-money(ATM)op?ions,willneu訂alize:(hedge)?hepo1tfoliowi?hrespec?to?he?a,vegagamma?A.Sellsho1t-te1moptions+selllong-te1mop??ons(allrough?yat-?he-money)B.Sellsho止te1moptions+buy?ong-?ermATM)C.short-?e1moptions+sell?ong-?e1???op?ions(-ATM)D.short-?e1moptions+buy?ong-?e1mop?ions(-ATM)..82.hichptloncombmationmos?closelysimulates?heeconoli?lcsofashortpos1t1onma?????escon訂act?A.Payo?oalongcallplusasho1tpu?B.Pro?tofalongcallsasho1tputC.Payo?oalongpu?ssh01tcallD.toflongssho1tcall83.hichtypeofop?ionproducesdiscontinuouspayo?pro?les,meaning?ha?payo?does0%D.AsratesMTGElOp1iceus?ngedura??on-convexi?yarelikelytobetter?hanMTGE4pcechangeapproxima?ion?9followil1g?sa?nsequencesecurit?zat?on?Seci??za??onmakes01igan?m01l?torloansiSeci??za??on?i·aer?skofthetm?erlyg?omves?ors?Secur?tiza??onenable??hegms??tu??onso?erlower?erestra?esmo1tgages?Secur?t?za??onmayallowmst??ut?onalves?orsto?irec?lyhol?asse?s?hatarehol?mg9i·?of?江ec?orsofa?nsmancehasreco1nmen?e?theestabl?shandskmanagement??tework.ofthefollowingrepresen?sakeyr?hetha??twilllikelya?ta?nes?ablislganERM?amework?Increasng?heexpec?e?1onIithe1iskrepo1t?ngprac、?icesAllow?ng?hefrectors?ol1?skmo?elstoense?l1e訂accacyIncreasngexpec?e?coela??onbe?ween1isk?heexposmeacrosstheente1seA-yeprojectachanceg0,a7%3m?ll?on,a90%ofga?n?ngDll?on.Whate?heaR(b)theconf?ence??e?syear·?9罵墜A?3mill?onB?3m?ll?onC.lOmill?onD?lOmill?on7?2mll?on6?0mll?on7.2mill?onlill?on9?ocuses?solat???gm?re??exchangeu·?A.Fixe?incomeru·he?gefun?s?Globalmacrofun?s?Convert?blearb??i·agehe?ge100?InanFRA,ra?es?x-L??Rpa??aof,ahpe1i18months.If?hel0%oneiits.andrisk?thanone.6.:Brdais:。Te。Sisthe,risly,andoisyield.nois?llow?·057.=5ofiistl1,··x.7.:Caha,isivenDelta=N(d1)x-41=0.64xe-i%x2=0.63.Daino?19.Dtes?iseratein?is(l%deul?rsis--.*.sis.3.1.:Bisdin1.1.:B,in.·dcin-0%in..:D1:A=eventa?npolicyH=eventthataaolion:).50)=P()50)=),ofsr?tsw0.0)=:Dv?luer?i,,sgiven:r],r1+RF=x[,)]9nl1h1l.stoA.es6rence,youADimvalue..:C2.1:of.llandmustl]ito??ectedti.-toanyinaityare..:Belta5isat.,R=10X.5X5X%=51.:Di··lt,3%?isybengstoreo?herha?fof?hec?oplti?yiftheyfunu·escon訂actia?$.:B?rA1el,?l1eofs,·a,"?nr=on+*+*or**=%41.:CAs??ipigshyof?AiptheyAyahedgeli?y.aipro??wou?dgaiyis4.:A?itsmat1,so?yn,aywi??.Thei,,soi?sbenit1ieiofaninterest-ra?evo?a?i?it.43.:Byofantheea?s)s.yofan?he.5-775)X1=.18ofeof?hey:172118十=,嚇,ateayof1-if?heis,va?ueX+.3=.80%byiRM-RF.yoft?1e,?1ont5.:Bp=2=20S15)-25()=5.:D·ehsaands??ke1ice.lspread:the?ower1foe,highertice.:higher,e,se??s??kepricehisissellingoptionwithp1iceandanoptionwi?hs??iticesoita.t1dataof.ef·??ong5??he2,-5,)=.·.:Bisthe,is.fhanb1e.is,?he?ess?l1ru1n01a?.isa1daanda.—.C=6.:BN+X9=9N+M.:Ctftoaofc?ama,,D·eto6.:A10%。。TheI025=2:BAte1,a%?ill1a.fuisa5%iftheratedBaaer1yearx%=.isaiferated1yearIx0%=0.a%ofde?ultif?e?1ye%%=.ofdeis%?o?·1%ofde?o?r2?4%+0%+aa2-%.:A=立xLGDx..is.gilla?dE?lt.t?hat.6.:AThepayo??o?isthestocke0-$36=$.epayo?is?X.)+X)$.tiserciseop?io?i·lyeitsh(.)?ha?if?o?ercised..:DThei·:$6--1i)]=$,--89)]=$995.:Ba,aei.?a?y,,e-geofthe.byac?ivityy?i.-20%=X0.0142+(1-X-0.05)2=0.000426Thenewvolatilityissquarerootofthisor2.06%8.Answer:CATMoptions,tl1etaareiing和nctionswithmaturity;andisadecreasiI1gwithmatt?-ity?sho1t-termoptions+selllong-termoptions+,positionVega,andpositivepositionaregai·dtoA,l+selllong-te1m一theta;n