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FRM真题练习,帮助考生顺利通关考试!

发布时间:2022-04-20 09:44来源: 融跃教育FRM

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FRM真题是历年考试的题目,是FRM考试的重难点地方,因此建议考生在考前能够进行至少三套真题的练习,并对真题的知识点进行总结,帮助自己进行提升!

Which of the following statements regarding wrong-way risk and right-way risk is correct?

A) Along put option is subject to wrong-way risk if both risk exposure and counterparty default probability decrease.

B) Along call option experiences right-way risk if the interaction between risk exposure and counterparty default probability produces an overall decline in counterparty risk.

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C) Declining local currency can decrease the position gain in a foreign currency transaction, while increasing risk exposure of the counterparty.

D) The 2007-2008 credit crisis provides an example of wrong-way risk from the perspective of a long who had sold credit default swaps (CDSs) as protection against bond issuers’default.

答案:B

解析:Along call option experiences right-way risk if risk exposure and counterparty default probability results in decreased counterparty risk.Along put option is subject to wrong-way risk if both risk exposure and counterparty default probability increase.

Declining local currency can increase the position gain in a foreign currency transaction, while increasing counterparty risk exposure. The 2007-2008 credit crisis provides an example of wrong-way risk from the perspective of a long who had bought CDSs as protection against bond issuers’default.

Atrader wants to know the approximate CVAfor a counterparty in a swap transaction. The counterparty’s expected potential exposure (EPE) is 7% and its credit spread is 475 basis points. What is the CVAas a running spread?扫码参与

A) 0.33%

B) 1.48%

C) 2.25%

D) 9.75%

答案:A

解析:Calculation of the CVAas a running spread entails multiplying the counterparty’s EPE by its credit spread: 7%×4.75% = 33 bps

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关键词 : FRM真题
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