2016-FRR 試験問題を無料オンラインアクセス

Which one of the four following statements regarding foreign exchange (FX) swap transactions is INCORRECT?

• A.FX swap is a common short-term transaction.
• B.FX swap generates more exchange rate risk than simple forward transactions.
• C.FX swap is normally used for hedging various currency positions.
• D.FX swap is generally used to for funding foreign currency balances and currency speculation.

When trading exotic options, one needs to consider the following risks:
I. Spot foreign exchange risks
II. Forward foreign exchange risks
III. Plain vanilla options risks
IV. Option-specific risks

• A.II, III, IV
• B.I, II, IV
• C.I, II, III, IV
• D.I, III

Which one of the four following activities is NOT a component of the daily VaR computing process?

• A.Updating factor interrelationships.
• B.Computing portfolio risk by delta-normal or delta-gamma method.
• C.Producing the VaR report.
• D.Updating individual risk factor models.

To quantify the aggregate average loss for the credi t subportfolios, a credit portfolio manager should use the following metric:

• A.Unexpected loss
• B.Factor sensitivity
• C.Credit VaR
• D.Expected loss

On January 1, 2010 the TED (treasury-euro dollar) spread was 0.9%, and on January 31, 2010 the TED spread is 0.4%. As a risk manager, how would you interpret this change?

• A.The decrease in the TED spread indicates a decrease in credit risk on interbank loans.
• B.The decrease in the TED spread indicates an increase in credit risk on interbank loans.
• C.Increase in interest rates on both interbank loans and T-bills.
• D.Increase in credit risk on T-bills.