FRM备考有必要做真题练习吗？

发布时间：2022-04-16 09:13编辑：融跃教育FRM

FRM备考有必要做真题练习吗？这是近日考生所咨询的，关于答案小编想说做真题当然是很有必要的。下文是列举的相关真题一起了解一下吧！

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BankA, which isAAArated, trades a 10-year interest rate swap (semi-annual payments) with Bank B, which is rated A-. Because of Bank B's poor credit rating, BankAis concerned about the 10-year exposure it is going to run because of the swap deal. Which of the following measures help mitigate BankA's credit exposure to Bank B?

I .Negotiate a CSAwith Bank B and efficiently manage the collateral management system

II.Execute the swap deal as a reset swap wherein the swap will be marked to market every six months

III.Execute the swap deal with a break clause in the fifth year

IV.Decrease the frequency of coupon payments from semi-annual to annual

A) I only

B) IV only

C) I, II, III and IV

D) I, II and III

答案：D

解析：'I' is correct. Negotiating a CSAand getting collateral from the counterparty is an effective way of mitigating credit exposure.

'II' is correct. In a reset swap since the swap is marked to market every period, the credit exposure we run is only for that period i.e. till the next reset; this implies lesser exposure.

'III' is correct. Abreak clause is always useful since it gives the counterparties an opportunity to assess whether they want to continue for the rest of the term of the swap.

'IV' is incorrect. Decreasing the frequency of payments increases the credit exposure rather than decreasing it. This is because, more the time for the next payment, greater are the chances for the market rates to move in one counterparty's favor, thereby increasing its credit exposure to the other counterparty.

Mary assigns to John a long position in an at-the-money (ATM) call option with a one year term and strike a price of $100.00. The current stock price is $100.00 with volatility of 60.0%. The risk-free rate is 3.0% with continuous compounding. N(d1) = 0.64 and N(d2) = 0.40. The present-valued expected exposure (EE) to the counterparty, who holds the short option position, is $23.00 with a probability of counterparty default of 5.0% and loss given default (LGD) of 75.0%. Which is nearest to John's payment for the long option position, if his cost includes a credit valuation adjustment (CVA)?

A) $6.15

B) $19.37

C) $24.32

D) $26.04

答案：C

解析：The BSM call option price = 100 × 0.64 - 100 × exp(-3%) × 0.40 = $25.182, which does not include counterparty risk incurred by the long option position (the short has no counterparty risk). The CVA-adjusted value = $25.182 - $23.00 × 5% × 75% = $24.32

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