2014年05月FRM一级模拟考试（一）
1.Monte Carlo simulation and the historical method are two means of calculating V AR. Which
of the following describes a disadvantage of the Monte Carlo method compared to the historical method of calculating V AR? The Monte Carlo method: （）
I Takes advantage of the normal distribution.
II Incorporates flexibility in modeling price paths.
A.I only
B.II only
C.Both I and II
D.Neither I nor II
2.Given the following information, which of the following amounts is closest to d (l.0), the
discount factor for the first year? （）
Bond A Bond B Bond C Bond maturity in years 0.5    1    2
Coupon    6.00% 12.00% 9.00%
Price 101.182 102.341  99.573
A.0.9099
B.0.9138
C.0.9655
D.0.9823
3.  A portfolio manager received a report on his fund’s pe rformance. According to the report, the
广东公务员考试录用管理信息系统portfolio return was 2.5% with a standard deviation of 21% and a beta of 1.2. The risk-free rate over this period was 3.5%, the semi-standard deviation of the portfolio was 16%, and the tracking error of the fund was 2%. What is the difference between the value of the fund’s Sortino ratio (assuming the risk-free rate is the minimum acceptable return) and its Sharpe ratio? （）
A.0.563.
B.0.347.
C.-0.053.
D.-0.015.
4.Gloria Brown, FRM, calculated the intrinsic value of RTN Company and expects the stock to
generate a 25% annual return over the foreseeable future. However, Brown is concerned that her price forecast may be too high. She conducted a hypothesis test and concluded that at a 5% significance level, the null hypothesis can be rejected that RTN Company’s investment return would be equal to or less than 25% per year. The one-tailed test utilized a z-test.
Indicate the meaning of the significance level chosen by Brown and state the correct rejection region. （）
Significance level Rejection region
A.Brown will reject a true null hypothesis 5% of the time z > 1.645
B.Brown will reject a false null hypothesis 95% of the time z < -1.645
C.Brown will reject a true null hypothesis 5% of the time z < -1.6452022年政法干警考试
D.Brown will reject a false null hypothesis 95% of the time z > 1.645
5.Assume a 3-year bond with a face value of $100 pays a 3.5% coupon on a semiannual basis.
What is the price of the bond according to the following spot rates?
Maturity (years) Spot rate (%)
0.5    2.20%
1.0
2.25%
1.5
2.30%
2.0    2.35%
2.5    2.40%
3.0    2.45%
A.101.15.
B.102.85.
C.102.97.
D.103.07.
6.An investor owns a stock and is bullish over the short term. Which of the following strategies
will be the most appropriate one for this investor if the primary concern is to make a bet on the volatility of the stock? （）
A.  A covered call
B.  A protective put
C.An at-the-money strip
D.An at-the-money strap
7.STT is a small mobile phone manufacturer that frequently makes investments in projects
overseas. The organization has $20 million in assets, which is comprised of 45% debt and 55% equity. A recent international project had a market risk premium of 5%, a country risk premium of 2%, and a beta of 1.6 (based on historical information). STT’s current cost of borrowing is 10%, with a default spread of 7% given a relevant risk-flee rate of 3%. What is STT’s weighted average cost of capital given their marginal corporate tax rate of 35%?
A.12.783%.
B.10.735%.
C.9.858%.
D.8.975%.
中小学教育资格考试网8.Paper Products Inc.’s research department developed a new type of environmentally friendly
paper. The marketing department surveyed a random sample of 100 people. The survey is designed to gauge customer interest level in the new product. The sample indicates an average purchase of 2,500 reams per year with a variance of 160,000 reams. The researcher’s
supervisor is concerned that the sample size is too small. The researcher advises against increasing the sample size, stating that “there is a risk of sampling from more than one populati on.” Determine the standard error of the sample mean and indicate whether the researcher’s statement is correct or incorrect. （）
Standard error Researcher’s statement
A.8 Correct
B.40 Incorrect
C.8 Incorrect
D.40 Correct
9.Bond A has an effective duration of 12.13 and a 2-year key rate exposure of $4.04. You
would like to hedge it with a security with an effective duration of 2.48 and a 2-year key rate exposure of 0.81 per $100 face value. What amount of face value would be used to hedge the 2-year exposure?
A.$102.
往年的高考成绩查询入口B.$163.
C.$489.
D.$499.
10.You are given the following information about a call option:
• Time to maturity = 3 years.
• Continuous risk-free rate = 3%.
• Continuous dividend yield = 2%.
• N(d1) = 0.7.
What is the delta of this option（）
A.-0.64
B.0.36
C.0.66
D.0.70
11.Jimmy Deininger, FRM, is a portfolio manager who runs a large $400,000,000 long equity
portfolio. Relative to the S&P 500, Deininger’s portf olio has a beta of 1.07. Currently, S&P futures are trading at 1,368, and the futures multiplier is 250. Deininger wishes to create a hedge for his portfolio for the next four months using S&P futures. How many futures contracts should Deininger buy or sell to hedge this portfolio?
A.Long hedge; 1,490 contracts.
B.Short hedge; 1,053 contracts.
C.Long hedge; 992 contracts.
D.Short hedge; 1,251 contracts.
12.You hold a $75 million portfolio with a duration of nine and a one-year hedging horizon.
There is an appropriate one-year futures contract quoted at 104-13 with a duration of eight and a contract size of $100,000. Which of the following actions should you undertake to provide an appropriate hedge for small changes in yield? （）
A.Short 639 futures contracts.
B.Long 639 futures contracts.
C.Short 809 futures contracts.
D.Long 809 futures contracts.
13.  A loan portfolio is made up of ten noncorrelated loans, each with a value of $1 million and an
estimated probability of default of 3% in any given year. Recovery in the case of default is expected t
o be zero. Which of the following amounts is closest to the cumulative expected loss on the loan portfolio over two years? （）
A.$0.03 million.
B.$0.059 million.
C.$0.30 million.
D.$0.591 million.
14.An analyst determines that there is a 50% chance the economy will grow and that there is a
50% chance the economy will go into a recession. If the economy grows, there is a 60% chance that ABC stock will rise in price and a 40% chance it will fall in price. If a recession occurs, there is a 15% chance ABC’S stock price will rise and an 85% chance the price will fall. Given that ABC stock has risen in price, what is the probability the economy has grown?
A.30%.
B.50%.
C.70%.
D.80%.
15.What are the minimum values of an American-style and a European-style 3-month call option
with a strike price of $80 on a non-dividend-paying stock trading at $86 if the risk-free rate is 3%?
American European
A.$6.00 $6.00
B.$5.96 $6.00
C.$6.00 $6.59
D.$6.59 $6.59
16.Harriet Fields, an investment adviser specializing in selling municipal bonds, advertises on
television explaining their safety and security. The bonds she is currently selling are limited obligation
bonds backed only by the revenue generated from the projects they fund, which include a housing project and a golf course. Fields tells her prospective clients that the bonds are safe, secure, and offer generous interest payments. Which of the following statements is most correct regarding Fields’s actions? （）
A.Fields did not violate the GARP Code of Conduct because municipal bonds are
generally regarded as being safe investments.
B.Fields violated the part of the GARP Code of Conduct dealing with confidentiality.
C.Fields violated the GARP Code of Conduct when she misrepresented the bonds by not
explaining their inherent risks.
D.Fields has not violated any of the ethical responsibilities related to the GARP Code of
Conduct.
17.  A portfolio manager of an endowment wants to calculate a daily V AR for the portfolio. The
€10,000,000 portfolio is restricted from using derivative securities. The annual return is expected to be 10%, with a standard deviation of 15%. If the manager assumes there are 250 trading days in a year and uses a 1% level of significance, which of the following amounts is closest to the daily V AR using the delta-normal method? （）
A.-€217,043
B.-€221,350
C.-€241,100
D.-€245,100
18.  A bank has a USD50,000,000 portfolio available for investing. The cost of funds for the
USD50,000,000 is 4.5%. The bank lends 50% of the assets to domestic customers at an average loan rate of 6.25%. The rest of the portfolio is lent to UK clients at 7%. The current exchange rate is USD1.642/GBP. At the same time, the bank sells a forward contract equal to the expected receipts one year from now. The forward rate is USD1.58/GBP. The weighted average return to the bank on its assets is closest to: （）
A.  1.99%
B.  2.13%
C.  2.26%
安徽医科大学D.  4.61%
19.If the expected variance of a regression error term depends on the value of the independent
variable, then this: （）
西部计划通过率高吗A.Does not violate the assumptions of the classical linear regression model.
B.Would violate the assumptions of the classical linear regression model and is called
serial correlation.
C.Would violate the assumptions of the classical linear regression model and is called
homoskedasticity
D.Would violate the assumptions of the classical linear regression model and is called
heteroskedasticity
20.Assume that a trader wishes to set up a hedge such that he sells $100,000 of a Treasury bond
and buys Treasury TIPS as a hedge. Using a historical yield regression framework, assume the DV01 on the T-bond is 0.072, the DV01 on the TIPS is 0.051, and the hedge adjustment factor (regression beta coefficient) is 1.2. What is the face value of the offsetting TIPS position needed to carry out this regression hedge?
A.$138,462.
B.$169,412.
C.$268,499.
D.$280,067