2022 Latest 2016-FRR Exam Dumps Recently Updated 345 Questions
GARP 2016-FRR Real 2022 Braindumps Mock Exam Dumps
NEW QUESTION 186
To estimate the interest charges on the loan, an analyst should use one of the following four formulas:
- A. Loan interest = Risk-free rate - Probability of default x Loss given default - Spread
- B. Loan interest = Risk-free rate - Probability of default x Loss given default + Spread
- C. Loan interest = Risk-free rate + Probability of default x Loss given default - Spread
- D. Loan interest = Risk-free rate + Probability of default x Loss given default + Spread
Answer: D
NEW QUESTION 187
Altman's Z-score incorporates all the following variables that are predictive of bankruptcy EXCEPT:
- A. Return on total assets
- B. Sales to total assets
- C. Equity to debt
- D. Return on equity
Answer: D
NEW QUESTION 188
Suppose that a regulator deems all corporate debt to have the same risk level. Which of the following behavior
of banks would be an example of regulatory arbitrage?
- A. Banks shift their exposure to more risky corporate debt.
- B. Banks decrease their exposure to corporate debt.
- C. Banks increase their exposure to corporate debt.
- D. Banks shift their exposure to less risky corporate debt.
Answer: A
NEW QUESTION 189
According to the largest global poll of foreign exchange market participants, which one of the following four
global financial institutions was the most active participant in the global foreign exchange market?
- A. UBS AG
- B. Deutsche Bank
- C. Citibank
- D. Barclays Capital
Answer: B
NEW QUESTION 190
Which one of the four following statements regarding minimum loss data standards is not correct?
- A. The loss data entry must include the actual loss amount.
- B. The loss data entry should only include the date when the event was reported.
- C. The loss data program must comprehensively capture all material activities.
- D. The loss data entry may include descriptive information about the drivers or causes of the loss event.
Answer: B
NEW QUESTION 191
Which of the following statements represents a methodological difference between variance-covariance and
full revaluation methods?
- A. Variance-covariance approach uses only historic data to compute the covariance matrix.
- B. Variance-covariance approach prices positions more accurately than the full revaluation approach.
- C. Variance-covariance approach provides computational advantages over the full revaluation approach.
- D. Variance-covariance approach computes the VAR for each position separately, while the full revaluation
method computes the VAR on a portfolio basis.
Answer: C
NEW QUESTION 192
Which one of the following four global markets for financial assets or instruments is widely believed to be the
most liquid?
- A. Fixed income market
- B. Foreign exchange market.
- C. Equity market.
- D. Commodities market
Answer: B
NEW QUESTION 193
If a bank is long £500 million pounds, short £300 million in delta-equivalent pound options, and long £100
million in pound-denominated stocks, what is the amount of pound exposure that would be shown in the
aggregated risk reports?
- A. £900 million pounds
- B. £300 million pounds
- C. £500 million pounds
- D. £800 million pounds
Answer: B
NEW QUESTION 194
If the yield on the 3-month risk free bonds issued by the U.S government is 0.5%, and the 3-month LIBOR
rate is 2.5%, what is the TED spread?
- A. 2.0%
- B. 3.0%
- C. 0.5%
- D. -2.0%
Answer: A
NEW QUESTION 195
Which one of the following four statements correctly defines chooser options?
- A. These options give the holder the right to exchange one asset for another.
- B. These options represent a variation of the plain vanilla option where the underlying asset is a basket of
currencies. - C. The owner of these options decides if the option is a call or put option only when a predetermined date
is reached. - D. These options pay an amount equal to the power of the value of the underlying asset above the strike
price.
Answer: C
NEW QUESTION 196
In its VaR calculations, JPMorgan Chase uses an expected tail-loss methodology which approximates losses at
the 99% confidence level. This methodology consists of two subsequent steps to estimate the VaR. Which of
the following explains this two-step methodology?
- A. After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence
level is determined, which is then compared with the VaR estimate at the 99% confidence level. - B. After VaR is computed at the 99% confidence level, the expected tail loss in excess of that confidence
level is determined, which is then compared with the VaR estimate at the 98% confidence level. - C. After VaR is computed at the 1% confidence level, the expected tail loss in excess of that confidence
level is determined, which and is then compared with the VaR estimate at the 98% confidence level. - D. After VaR is computed at the 97% confidence level, the expected tail loss in excess of that confidence
level is determined, which is then compared with the VaR estimate at the 99% confidence level.
Answer: D
NEW QUESTION 197
Which of the following statements are reasons for mathematical valuation and risk assessment models to be
misleading or inaccurate?
I. There could be missing factors in models.
II. The data used as input for the model could be bad or wrong.
III. Model results could be misinterpreted.
IV. There could be errors in the derivation of the model.
- A. I, II, and III
- B. I, III, and IV
- C. I, II, III IV
- D. III and IV
Answer: C
NEW QUESTION 198
According to Basel II what constitutes Tier 3 capital?
- A. Subordinated debt issues that pay interest.
- B. Hybrid debt capital instruments that are similar to equity.
- C. Preference shares that confer on issuers the right to defer payment of a fixed dividend.
- D. Debt capital that can only be used to support market risk in the trading book of the bank.
Answer: D
NEW QUESTION 199
A credit portfolio manager analyzes a large retail credit portfolio. Which of the following factors will represent
typical disadvantages of market-linked credit risk drivers?
I. Need to supply a large number of input parameters to the model
II. Slow computation speed due to higher simulation complexity
III. Non-linear nature of the model applicable to a specific type of credit portfolios
IV. Need to estimate a large number of unknown variable and use approximations
- A. I, II
- B. II, III
- C. III, IV
- D. I
Answer: A
NEW QUESTION 200
Which of the following factors would typically increase the credit spread?
I. Increase in the probability of default of the issuer.
II. Decrease in risk premium.
III. Decrease in loss given default of the issuer.
IV. Increase in expected loss.
- A. I and IV
- B. II and III
- C. I
- D. I, II, and IV
Answer: A
NEW QUESTION 201
To achieve leverage in long positions, a bank can use the following strategy:
I. Securities may be purchased with borrowed funds using a bank loan from the broker.
II. Securities may be borrowed on margin by taking a loan from a broker.
III. Securities may be purchased and used in a repo transaction to generate cash for further security purchases.
IV. The bank may enter into a derivative transaction, such as a total return swap, that requires little to no
collateral but mimics the performance of a long or short position in the underlying instrument.
- A. II, IV
- B. I, III
- C. I, II, III, IV
- D. I, II
Answer: C
NEW QUESTION 202
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