1 2015 年年 5 月月 FRM 一级真题一级真题 1. A company is expected to announce the terms of a materially important contract negotiation in early April. A trader expects the companys stock to be range-bound until then and has entered into a position that is short 100 March calls with a strike price of USD 50 and long 100 April calls with a strike price of USD 50. After some consideration, the risk committee believes there is a possibility that the news will be released in mid-March and informs the trade of this change. Based on the new information, the trader sells the 100 April calls and buys 50 March calls with a strike at USD 30 and 50 March calls with a strike at USD 70. What types of positions did the trader have? A. The original position was long a call spread and the final position was long a strangle. B. The original position was long a calendar spread and the final position was long a butterfly spread. C. The original position was long a reverse calendar spread and final position was long a call spread. D. The original position was long a calendar spread and the final position was short a butterfly spread. 2. A risk analyst is stress testing a stocks return sensitivity to shocks in macroeconomic factors using a multifactor model. The analyst derives the following estimates for the factor betas: (GDP)=1.00 (Interest Rate) =-1.50 Under baseline expectations for GDP growth of 3.5% and an interest rate of 3.0%, the expected return for the stock is estimated to be 6.0%. Under which of the following scenarios will the stock have the highest expected return? 2 Scenario GDP Growth (%) Interest Rate (%) A -6.0 -1.0 B -4.0 1.5 C 0.0 5.0 D 6.0 7.5 A. Scenario A B. Scenario B C. Scenario C D. Scenario D 3. A risk analyst compiles alternate measures from the United Nations database on the four countries below to compare the socio-economic conditions in each. Country Gini Coefficient Human Development Index U 0.305 0.821 V 0.236 0.892 W 0.315 0.909 Z 0.378 0.937 How would each country rank from having the most income inequality to the least income inequality? A. VUWZ B. ZWUV C. ZWVU D. UVWZ 4. To estimate the price of a call option, an analyst performs a simulation with 100 scenarios and estimates the 95% confidence interval for the call option price as 4.55; 5.15. In order to increase the accuracy of the pricing results, a second simulation with 400 scenarios is performed. Assuming that the second simulation generated the same sample mean of 4.85 and the same sample standard 3 deviation of 1.50, given one tailed critical values of the t-distribution of t(97.5%,99) =1.98 and t(97.5%, 399) = 1.97, what is the new 95% confidence interval? A. 4.63; 5.07 B. 4.70; 5.00 C. 4.82; 4.88 D. 4.84; 4.86 5. An equity analyst is preparing an analysis of a Belgian bank and has concluded that there is a 70% chance the bank will make a major acquisition at some point in the future which could lead rating agencies to downgrade the banks credit rating. The analyst writes and distributes a report to institutional clients analyzing the bank using an internally developed valuation model. If included in the report, which of the following would be a violation of the GARP Code of Conduct? A. A discussion of recent trading patterns in the banks stock by its senior executives. B. A valuation matrix projecting several potential valuations and credit ratings for the bank given four hypothetical acquisitions. C. A statement that there is a 70% chance that the bank will be downgraded within the next month. D. A discussion of a possible trade in the stocks of several firms viewed as potential acquisition candidates. 6. The CRO of an international bank is instructing direct reports on best practices for conducting country risk analysis and presenting the findings to senior executives. Which of the following recommendations would be considered the most questionable? A. Risk analysis should be open-ended, presenting several scenarios without assigning probabilities to them so as not to bias decision-makers. B. Risk Reports should be informative, providing the end user the rationale behind any assessment without any “black boxes” that are difficult to 4 understand. C. Risk reports should be concise, with easy to understand conclusions that have sufficient detail to make them meaningful. D. Risk analysis should be consistent, using rigorous frameworks that allow for valid cross-country comparison. 7. A junior analyst on a foreign exchange trading desk has been analyzing the relationship between the Swiss franc and the US dollar since the recent removal by the Swiss central bank of a cap on the francs movement against the euro. The analyst randomly selected the following give daily CHF/USD exchange rates from the past 5 months: Day CHF/USD 1 1.12 2 1.08 3 1.13 4 1.07 5 1.15 Based on the data above, what is the unbiased e