FRM一级每日一练12286.pdf

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1、 财经网络教育领导品牌 _ 高顿网校 All Rights Reserved 版权所有 复制必究 1 FRM 一级每日一练 1、Consider a convertible bond that is trading at a conversion premium of 20 percent.If the value of the underlying stock rises by 25 percent,the value of the bond will:A.Rise by less than 25%.B.Rise by 25%.C.Rise by more than 25%.D.Remain

2、 unchanged.Correct answer:A 解析：The convertible bond implicitly gives bondholders a call option on the underlying stock.The delta of this option will vary between 0(when the option is extremely out of t e money)and 1(when the option is extremely in the money).In this case,the bond is trading at a con

3、version premium of 20%so the delta must be somewhere between zero and one,and hence the price of the convertible bond will rise by less than the price of the underlying stock.2、If a cash flow of$10,000 in two years time has a PV of$8,455,the annual percentage rate,assuming continuous compounding is

4、CLOSEST to:A.8.13%.B.8.39%.C.8.75%.D.8.95%.Correct answer:B 解析：Continuously compounded rate=In(FV/PV)/N=In(10000/8455)/2=8.39%.3、The current values of a firms assets and liabilities are 200 million and 160 million respectively.If the asset values are expected to grow by 40 million and liability valu

5、es by 30 million within a year and if the annual standard deviation of these values is 50 million,the distance from default in the KMV model would be closest to:A.0.8 standard deviations.B.1.0 standard deviations.C.1.2 standard deviations.D.Cannot not be determined.财经网络教育领导品牌 _ 高顿网校 All Rights Reser

6、ved 版权所有 复制必究 2 Correct answer:B 解析：Distance from default=(Expected value of assets-Expected value of liabilities)/Standard deviation=(240 90)/50=1.0.4、What is the semiannual-pay bond equivalent yield on an annual-pay bond with a yield to maturity of 12.51 percent?A.12.00%.B.11.49%.C.12.51%.D.12.14%

7、.Correct answer:D 解析：The semiannual-pay bond equivalent yield of an annual-pay bond=2*(1+yield to maturity on the annual-pay bond)0.5-1=12.14%.5、You want to test at the 0.05 level of significance that the mean price of luxury cars is greater than$80,000.A random sample of 50 cars has a mean price of

8、$88,000.The population standard deviation is$15,000.What is the alternative hypothesis?A.The population mean is greater than or equal to$80,000.B.The population mean is less than$80,000.C.The population mean is not equal to$80,000.D.The population mean is greater than is$80,000.Correct answer:D 解析：T

9、he alternate hypothesis is the statement which will be accepted if the null hypothesis is proven wrong.Therefore,we make whatever we are trying to test as the alternate hypothesis-in this case that the mean price of luxury cars is greater than$80,000,and the null hypothesis as the opposite(the mean

10、price of luxury cars is less than or equal to$80,000).This problem is a common example of how statisticians establish hypotheses by proving that the opposite(i.e.the null hypothesis)is false.6、Suppose that Gene owns a perpetuity,issued by an insurance company that pays$1,250 at the end of each year.

11、The insurance company now wishes to replace it with a decreasing perpetuity of$1,500 decreasing at 1%p.a.without any change in the payment dates.At what rate of interest(assuming a flat yiel d curve)would Gene 财经网络教育领导品牌 _ 高顿网校 All Rights Reserved 版权所有 复制必究 3 be indifferent between the choices?A.4%.

12、B.5%.C.6%.D.9%.Correct answer:B 解析：1,250/r=1,500/(r+1%)or,1,250 x(r+1%)=1,500 x r or,r=12.5/(1,500-1,250)=5%.7、Which of the following is considered to be the responsibility of the legal risk manager?I.Inadequate documentation of OTC derivatives transactions.II.The enforceability of netting agreement

13、s in bankruptcy.III.Default on interest and principal payments.A.I only.B.II only.C.I and II only.D.I,II,and III Correct answer:D 解析：Legal risk management is concerned with adequate documentation,public filings,compliance with regulatory entities,and some borrower impositions.The legal manager is al

14、so involved in deciding if default has occurred and,of so,assisting with the enforcement of netting agreements.8、An analyst has constructed the following t-test for a portfolio of financial securities whose returns are normally distributed:Number of securities=40.HO:Mean return=18 percent.Significan

15、ce level=0.1.What is the rejection point for this test?A.1.304 B.1.684 C.2.021 D.2.023 财经网络教育领导品牌 _ 高顿网校 All Rights Reserved 版权所有 复制必究 4 Correct answer:A 解析：This is a one-tailed test with 39 degrees of freedom and significance level of 0.1.Looking up the Students-distribution for DF=39 and p=0.1,we

16、get the critical value or 1.304.9、Consider an A-rated institution that funds itself in the wholesale market at LIBOR+90bps.Which of the following is the most attractive instrument for this firm to take exposure to an AAA corporate issuer?A.Credit swap.B.Floating rate note.C.Credit-linked note.D.Fixe

17、d coupon bond.Correct answer:A 解析：This firm has a fairly high funding cost.Funding itself at 90 bps over LIBOR and leading to AAA names at around LIBOR is a loss making strategy,which rules out the notes and the bond,The only way this firm can make money is by selling credit protection via a credit

18、swap that does not require it to make a physical investment,10、Which of the following statements about the Treynor ratio is correct?A.the Teynor ratio considers both systematic and unsystematic risk of a portfolio.B.the Teynor ratio is equal to the excess return of a portfolio over the risk-free rat

19、e divided by the total risk of the portfolio.C.the Teynor ratio can be used to appraise the performance of well-diversified portfolio.D.the Teynor ratio is derived from portfolio theory since it assesses a portfolios excess return relative to its risk.Correct answer:C A is incorrect-Treynor ratio co

20、nsiders only systematic risk of a well-diversified portfolio.B is incorrect-Treynor ratio denominator is beta of the portfolio.C is correct-this statement is correct D is correct-Treynor ratio is derived from CAPM and not portfolio theory.财经网络教育领导品牌 _ 高顿网校 All Rights Reserved 版权所有 复制必究 5 参与FRM 的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。更多详情可登录高顿网校官网进行咨询。更多FRM 考试资讯，请关注官方微信公众号：gaodunfrm