2016-FRR 試験問題を無料オンラインアクセス
| 試験コード: | 2016-FRR |
| 試験名称: | Financial Risk and Regulation (FRR) Series |
| 認定資格: | GARP |
| 無料問題数: | 390 |
| 更新日: | 2026-09-01 |
Oliver McCarthy owns a portfolio of bonds. Which of the following choices equals the modified duration of Oliver's portfolio?
Jack Richardson wants to compute the 1-month VaR of a portfolio with a market value of USD 10 million, with an average monthly return of 1% and average monthly standard deviation of 1.5%. What is the portfolio VaR at 99% confidence level?
Probability Cumulative Normal distribution
0.90 1.282
0.91 1.341
0.92 1.405
0.93 1.476
0.94 1.555
0.95 1.645
0.96 1.751
0.97 1.881
0.98 2.054
0.99 2.326
Which of the following statements about a bank's behavior regarding Risk Adjusted Return on Capital (RAROC) is correct?
I. A bank should always seek to maximize their overall RAROC.
II. A bank should consider investing in a business even with negative RAROC if it increases the RAROC of the bank as a whole.
III. A bank should minimize its overall RAROC by controlling the absolute and relative amount of risk of its businesses.
IV. A bank should maximize its RAROC by always investing in a new business that maximizes the RAROC for that business unit.
Bank customers traditionally trade commodity futures with banks in order to achieve which of the following goals?
I). To express their own price views
II). To reverse undesired short-term exposure created from fixed commodity sales
III). To reach short-term budgetary targets
A credit portfolio manager analyzes a large retail credit portfolio. Which of the following factors will represent typical disadvantages of market-linked credit risk drivers?
I). Need to supply a large number of input parameters to the model
II). Slow computation speed due to higher simulation complexity
III). Non-linear nature of the model applicable to a specific type of credit portfolios
IV). Need to estimate a large number of unknown variable and use approximations