GARP 2016-FRR 問題集

質問 1：
After entering the securitization business, Delta Bank increases its cash efficiency by selling off the lower risk portions of the portfolio credit risk. This process ___ return on equity for the bank, because the cash generated by the risk-transfer and the overall ___ of the bank's exposure to the risk.
A. Decreases; increase;
B. Increases; reduction;
C. Increases; increase;
D. Decreases; reduction;
正解：B
解説: (Topexam メンバーにのみ表示されます)

質問 2：
Which one of the following four statements regarding commodity derivative risks is INCORRECT?
A. Because of the different demand/supply balance in each region and the cost of transporting the oil between regions, a tanker of Brent crude oil in the UK will have a different value to a UK buyer than a tanker of Arab light crude oil in Singapore, which results in the basis risk.
B. Some commodities can be both in backwardation and a have a strong seasonal element.
C. In most commodities, the longest term contracts are the most volatile, while the shortest term forward contract are the least volatile.
D. Calendar spreads represent a special case of basis risk and occur when the relative prices of commodity futures do not come in alignment and the trader becomes exposed to the absolute price movements.
正解：C
解説: (Topexam メンバーにのみ表示されます)

質問 3：
In the United States, stock investors must comply with the Regulation T of the Federal Reserve Bank and may borrow up to ___ of the value of the securities from their brokers.
A. 40%
B. 60%
C. 50%
D. 30%
正解：C
解説: (Topexam メンバーにのみ表示されます)

質問 4：
As DeltaBank explores the securitization business, it is most likely to embrace securitization to:
I. Bring transparency to the bank's balance sheet
II. Create a new profit center for the bank
III. Strategically release risk capital and regulatory capital for redeployment IV. Generate cash for additional debt origination
A. I, III
B. II, IV
C. I, II, III
D. II, III, IV
正解：D
解説: (Topexam メンバーにのみ表示されます)

質問 5：
A bank considers issuing new capital to increase its Tier 1 capital levels. Which of the following financial instruments would most likely to be considered?
A. Short-term debt convertible to non-cumulative preferred shares
B. Short-term callable debt
C. Convertible preferred shares
D. Long-term and callable debt convertible to equity
正解：C
解説: (Topexam メンバーにのみ表示されます)

質問 6：
Alpha Bank determined that Delta Industrial Machinery Corporation has 2% change of default on a one-year no-payment of USD $1 million, including interest and principal repayment. The bank charges 3% interest rate spread to firms in the machinery industry, and the risk-free interest rate is 6%. Alpha Bank receives both interest and principal payments once at the end the year. Delta can only default at the end of the year. If Delta defaults, the bank expects to lose 50% of its promised payment. Six months after Alpha Bank provides USD
$1 million loan to the Delta Industrial Machinery Corporation, a new competitor enters the machinery industry, causing Delta to adjust its prices and mark down the value of its inventory. Hence, the probability of default increases from 2% to 10% and the loss given default increases from 50% to 75%. If Alpha Bank can reprice the loan, what should the new rate be?
A. 20.5%
B. 10%
C. 16.5%
D. 13%
正解：A
解説: (Topexam メンバーにのみ表示されます)

質問 7：
Counterparty credit risk assessment differs from traditional credit risk assessment in all of the following features EXCEPT:
A. Exposure at default may be negatively correlated to the probability of default
B. Collateral arrangements are typically static in nature
C. Counterparty risk creates a two-way credit exposure
D. Exposures can often be netted
正解：B
解説: (Topexam メンバーにのみ表示されます)

質問 8：
Which of the following attributes of duration gap model typically cause criticism?
I. Basis risk
II. Errors in the linear model
III. Costs of immunization
IV. Constant nature of calculation
A. I, II
B. I, II, III
C. II, III, IV
D. I, III, IV
正解：B
解説: (Topexam メンバーにのみ表示されます)

質問 9：
Alpha Bank determined that Delta Industrial Machinery Corporation has 2% change of default on a one-year no-payment of USD $1 million, including interest and principal repayment. The bank charges 3% interest rate spread to firms in the machinery industry, and the risk-free interest rate is 6%. Alpha Bank receives both interest and principal payments once at the end the year. Delta can only default at the end of the year. If Delta defaults, the bank expects to lose 50% of its promised payment. What interest rate should Alpha Bank charge on the no-payment loan to Delta Industrial Machinery Corporation?
A. 9%
B. 12%
C. 8%
D. 10%
正解：D
解説: (Topexam メンバーにのみ表示されます)