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1、FRMPRACTICEEXAMPARTI2019FRMPartIpraCtiCeEXanI-AnSWerKeyLC26.D51.D76C2D27.D52B77.BWC28.A53.C7&B4A2ftD54D7ftCSDMLC55.C8ftBaD3LC56B8LA7+A32C57.D82CaBMlB5HDKIAaC34B5aC84B10.C15A6QC85.11.C36LA6LB8&D12B37.B62D87.C1工AA.I)6RB8&C14C39*D64A8ftB15.B40.C65.C9QC1&B4LC66C9LC17.A42D67.D92.C1&B43.68.C93A19.D44C69.C
2、94DzC45.B7QB95LB21.C4&C71.B96B22C47.B72A.97.C23A4&A7&A9&D24D49.C74D99.A25D5ftB75.AoBAriskmanagerisdecidingbetweenbuyingafuturescontractonanexchangeandbuyingaforwardcontractdirectlyfromacounterpartyonthesameunderlyingasset.Bothcontractswouldhavethesamematurityanddeliveryspecifications.Themanagerfinds
3、thatthefuturespriceislessthantheforwardprice.Assumingnoarbitrageopportunityexists,andinterestratesareexpectedtoincrease,whatsinglefactoractingalonewouldbearealisticexplanationforthispricedifference?A.Thefuturescontractislessliquidthantheforwardcontract.B.Theforwardcontractcounterpartyismorelikelytod
4、efault.C.Thepriceoftheunderlyingassetisstronglynegativelycorrelatedwithinterestrates.D.Thetransactioncostonthefuturescontractismorethanthatontheforwardcontract.CorrectAnswer:CExplanation:Whenanassetisstronglynegativelycorrelatedwithinterestrates,futurespriceswilltendtobeslightlylowerthanforwardprice
5、s.Whentheunderlyingassetincreasesinprice,theimmediategainarisingfromthedailyfuturessettlementwilltendtobeinvestedatalowerthanaveragerateofinterestduetothenegativecorrelation.Inthiscase,futureswouldsellforslightlylessthanforwardcontracts,whicharenotaffectedbyinterestratemovementsinthesamemannersincef
6、orwardcontractsdonothaveadailysettlementfeature.Theotherthreechoiceswouldallmostlikelyresultinthefuturespricebeinghigherthantheforwardprice.Section:FinancialMarketsandProductsReference：JohnC.HuIIaOptions,Futures,andOtherDerivativeszIOthEdition(NewYork,NY:Pearson,2017),Chapter5-DeterminationofForward
7、andFuturesPricesLearningObjective:Explaintherelationshipbetweenforwardandfuturesprices.2.AtraderinthearbitrageunitofamultinationalbankfindsthatafinancialassetistradingatUSD1,000,thepriceofa1-yearfuturescontractonthatassetisUSD1,020,andthepriceofa2-yearfuturescontractisUSD1,045.Assumethattherearenoca
8、shflowsfromtheassetfor2years.Ifthetermstructureofrisk-freeinterestratesisflatat2%peryear,whichofthefollowingisanappropriatearbitragestrategy?A.Short1-yearfuturescontractsandlong2-yearfuturescontractsB.Short2-yearfuturescontractsandlong1-yearfuturescontractsC.Short1-yearfuturescontractsandlongtheunde
9、rlyingassetfundedbyborrowingfor1yearat2%peryearD.Short2-yearfuturescontractsandlongtheunderlyingassetfundedbyborrowingfor2yearsat2%peryearCorrectAnswer:DExplanation:The1-yearfuturespriceshouldbe1,000*0p2*l三1,020.20The2-yearfuturespriceshouldbe1,000*02=lz040.81Thecurrent2-yearfuturespriceinthemarketi
10、sovervaluedcomparedtothetheoreticalprice.Tolockinaprofit,thetraderwouldshortthe2-yearfutures,borrowUSD1,000at2%,andbuytheunderlyingasset.Attheendofthe2ndyear,thetraderwouldselltheassetatUSD1,045andreturntheborrowedmoneywithinterest,whichwouldbe1,000*W?=040.81,resultinginaUSD4.19gain.Section:Financia
11、lMarketsandProductsReference:JohnC.Hull,Options,Futures,andOtherDerivatives,IOthEdition(NewYork,NY:Pearson,2017),Chapter5-DeterminationofForwardandFuturesPricesLearningObjective:Calculatetheforwardpricegiventheunderlyingasset,sspotprice,anddescribeanarbitrageargumentbetweenspotandforwardprices.Thepr
12、iceofa6-month,USD25.00strikeprice,European-StyleputoptiononastockisUSD3.00.ThestockpriceisUSD26.00.Aspecialone-timedividendofUSD1.00isexpectedin3months.Thecontinuouslycompoundedrisk-freerateforallmaturitiesis5%peryear.WhichofthefollowingisclosesttothevalueofaEuropean-Stylecalloptiononthesameunderlyi
13、ngstockwithastrikepriceofUSD25.00andatimetomaturityof6months?A.USD2.37B.USD3.01C.USD3.63DUSD4.62CorrectAnswer:CExplanation:Fromtheequationforput-callparity,thiscanbesolvedbythefollowingequation：c=S0+p-PV(K)-PV(D)wherePVrepresentsthepresentvalue,sothatPV(K)=K*ertandPV(D)=D*enWhere:Pistheputprice=USD3
14、.00,cisthecallprice=tobedetermined,Kisthestrikepriceoftheputoption=USD25.00,Disthedividend,Sisthecurrentstockprice=USD26.0tisthetimetothenextdividend=0.25.CalculatingPV(K),thepresentvalueofthestrikepriceresultsinavalueof25.00*t)050.5or24.3827,whilePV(D)isequalto1.00*05,0,25=0.9876.Hence,c=26.00+3.00
15、-24.3827一0.9876=USD3.6297.Aisincorrect.USD2.37isthevalueoftheputoptionifthequestionisswitched(misinterpreted)suchthatthepriceofthecalloptionistakenasUSD3.00andtheput-callparityformulaisused.Bisincorrect.USD3.01istheoptionpriceifthestrikeprice,notthepresentvalueofthestrikeprice,isusedintheput-callpar
16、ityformula.Disincorrect.USD4.62isthevalueofthecalloptionifthedividendpaymentisignored.Section:FinancialMarketsandProductsReference:JohnC.Hull,Options,Futures,andOtherDerivatives,IOthEdition(NewYork,NY:Pearson,2017),Chapter11-PropertiesofStockOptionsLearningObjective:Explainput-callparityandapplyitto
17、thevaluationofEuropeanandAmericanstockoptionswithdividendsandwithoutdividends.Whichofthefollowingstatementsregardingacorporatetrusteenamedinacorporatebondindentureiscorrect?A.Thetrusteehastheauthoritytodeclareadefaultiftheissuermissesapayment.B.Thetrusteemaytakeactionbeyondtheindenturetoprotectbondh
18、olders.C.Thetrusteemustactattherequestofasufficientnumberofbondholders.D.Thetrusteeispaidbythebondholdersortheirrepresentatives.CorrectAnswer:AExplanation:AccordingtotheTrustIndentureAct,ifacorporateissuerfailstopayinterestorprincipal,thetrusteemaydeclareadefaultandtakesuchactionasmaybenecessarytopr
19、otecttherightsofbondholders.Trusteescanonlyperformtheactionsindicatedintheindenture,butaretypicallyundernoobligationtoexercisethepowersgrantedbytheindentureevenattherequestofbondholders.Thetrusteeispaidbythedebtissuer,notbybondholdersortheirrepresentatives.Section:FinancialMarketsandProductsReferenc
20、e:FrankFabozzi(Editor),TheHandbookofFixedIncomeSecurities,8thEdition(NewYork:McGrawHilL2012)zChapter12-CorporateBondsLearningObjective:Describeabondindentureandexplaintheroleofthecorporatetrusteeinabondindenture.Pear7Inc.isamanufacturerthatisheavilydependentonplasticpartsshippedfromMalaysia.Pearwant
21、stohedgeitsexposuretoplasticpriceshocksoverthenext7.5months.Futurescontracts,however,arenotreadilyavailableforplastic.Aftersomeresearch,Pearidentifiesfuturescontractsonothercommoditieswhosepricesarecloselycorrelatedtoplasticprices.FuturesonCommodityAhaveacorrelationof0.85withthepriceofplastic,andfut
22、uresonCommodityBhaveacorrelationof0.92withthepriceofplastic.FuturesonbothCommodityAandCommodityBareavailablewith6-monthand9-monthexpirations.Ignoringliquidityconsiderations,whichcontractwouldbethebesttominimizebasisrisk?A.FuturesonCommodityAwith6monthstoexpirationB.FuturesonCommodityAwith9monthstoex
23、pirationC.FuturesonCommodityBwith6monthstoexpirationD.FuturesonCommodityBwith9monthstoexpirationCorrectAnswer:DExplanation:Explanation:Inordertominimizebasisrisk,oneshouldchoosethefuturescontractwiththehighestcorrelationtopricechanges,andtheonewiththeclosestmaturity,preferablyexpiringaftertheduratio
24、nofthehedge.Section：FinancialMarketsandProductsReference:JohnC.Hull,Options,Futures,andOtherDerivatives,IOthEdition(NewYork:NY:Pearson,2017),Chapter3-HedgingStrategiesUsingFuturesLearningObjective:Definethebasisandexplainthevarioussourcesofbasisrisk,andexplainhowbasisrisksarisewhenhedgingwithfutures
25、.6.AcurrencyanalystisexaminingtheexchangeratebetweentheUSdollarandtheeuroandisgiventhefollowing:CurrentUSDperEUR1exchangerate:1.13CurrentUSD-denominated1-yearrisk-freeinterestrate:2.7%peryearCurrentEUR-denominated1-yearrisk-freeinterestrate:1.7%peryearAccordingtotheinterestrateparitytheorem,whatisth
26、e2-yearforwardUSDperEUR1exchangerate?A*1.1076B.1.1188C.1.1414D.1.1528CorrectAnswer:DExplanation:Theforwardrate,Ftzisgivenbytheinterestrateparityequation:O=2where;Sisthespotexchangerate,ristheUSDrisk-freerate,ristheEURrisk-freerate,andtisthetimetodelivery.Substitutingthevaluesintheequation:=L13*6)=1.
27、1528Aisincorrect.USD1.1076perEUR1isthe2-yearforwardexchangeratewhenthe1-yearrisk-freeratesforthetwocountriesareswitchedintheformula.Bisincorrect.USD1.1188perEUR1isthe1-yearforwardexchangeratewhenthe1-yearrisk-freeratesforthetwocountriesareswitchedintheformula.Cisincorrect.USD1.1414perEUR1isthe1-year
28、forwardexchangerate,notthe2-yearforwardrate.Section:FinancialMarketsandProductsReference：JohnC.Hull,Options,Futures,andOtherDerivatives,IOthEdition(NewYork,NY:Pearson,2017).Chapter5.DeterminationofForwardandFuturesPricesLearningObjective:Calculateaforwardforeignexchangerateusingtheinterestrateparity
29、relationship.AninvestorsellsaJanuary2019callonthestockofXYZLimitedwithastrikepriceofUSDSOforUSD10,andbuysaJanuary2019callonthesameunderlyingstockwithastrikepriceofUSD60forUSD2.Whatisthenameofthisstrategy,andwhatisthemaximumprofitandlosstheinvestorcouldincuratexpiration?StrateRVMaXimlJmProfitMaXimUmL
30、oSSA.BearspreadUSDSUSD2B.BearspreadUnlimitedUSD2C.BullspreadUSD8USD2D*BullspreadUSD8UnlimitedCorrectAnswer:AExplanation:Thisstrategyofbuyingacalloptionatahigherstrikepriceandsellingacalloptiononthesamesecuritywiththesamematurityatalowerstrikepriceisknownasabearspread.Toestablishabullspread,onewouldb
31、uyacalloptionatalowerpriceandsellacalloptiononthesamesecuritywiththesamematurityatahigherstrikeprice.Thecostofthebearspreadstrategywillbe:USD-10+USD2=USD-8(anegativecost,whichrepresentsaninflowofUSD8totheinvestor)ThemaximumpayoffoccurswhenthestockpriceSUSD50andisequaltoUSD8(thecashinflowfromestablis
32、hingtheposition)asnoneoftheoptionswillbeexercised.ThemaximumlossoccurswhenthestockpriceSTUSD60atexpiration,asbothoptionswillbeexercised.TheinvestorwouldthenbeforcedtosellXYZsharesatUSDSOtomeettheobligationsonthecalloptionsold,butcouldexercisethesecondcalltobuythesharesbackatUSD60foralossofUSD-10.How
33、ever,sincetheinvestorreceivedaninflowofUSD8byestablishingthestrategy,thetotalprofitwouldbeUSD8-USD10=USD-2.WhenthestockpriceisUSD50SUSD60,onlythecalloptionsoldbytheinvestorwouldbeexercised,hencethepayoffwillbe50-S.SincetheinflowfromestablishingtheoriginalstrategywasUSD8,thenetprofitwillbe58-S】，which
34、wouldalwaysbehigherthanUSD-2.Section:FinancialMarketsandProductsReference：JohnC.Hull,Options,Futures,andOtherDerivatives,IOthEdition(NewYork,NY:Pearson,2017),Chapter11-PropertiesofStockOptionsLearningObjective:Identifyandcomputeupperandlowerboundsforoptionpricesonnon-dividendanddividendpayingstocks.
35、8.AnanalystistryingtogetsomeinsightintotherelationshipbetweenthereturnonstockLMD(RLMD,JandthereturnontheS&P500index(Rs&pJUsinghistoricaldata,theanalystestimatesthefollowing:AnnualmeanreturnforLMD11%AnnualmeanreturnforS&P500index7%AnnualvolatilityforS&P500indexreturns18%CovariancebetweenthereturnsofL
36、MDandS&P500index6%Assumetheanalystusesthesamedatatoestimatetheregressionmodelgivenby:RLMDj=Q+B*Rs&p,t+JUsingtheordinaryleastsquarestechnique,whichofthefollowingmodelswilltheanalystobtain?A.RlMD,t=-0.02+0.54Rs&p,tB.Rimdj=-0.02+1.85Rs&p,tCRlmd.i=004+0.54Rs&p,tDRlmd.i=004+1.85Rs&p,tCorrectAnswer:Explan
37、ation:TheregressioncoefficientsforamodelspecifiedbyY=bXa+areobtainedusingtheformulas：b=CovS2anda=E(Y)-b*E(X)Inthisexample：Covx=0.06S=0,18XE(Y)=0.11E(X)二0,07Then:b=0.060.18)2三1.85a=0.11-(1.85*0.07)=-0.02whererepresentstheerrorterm.Section:QuantitativeAnalysisReference:JamesStockandMarkWatson,Introduc
38、tiontoEconometrics,BriefEdition(Boston,MA:Pearson,2008),Chapter4-LinearRegressionwithOneRegressorLearningObjective:Explainhowregressionanalysisineconometricsmeasurestherelationshipbetweendependentandindependentvariables.9.Forasampleof400firms,therelationshipbetweencorporaterevenue(Y)andtheaverageyea
39、rsofexperienceperemployee(X)ismodeledasfollows:Yi = + 2*i + 氏 2 ,茨 400AnanalystwantstotestthejointnullhypothesisthatBl=Oand2=0atthe9S%confidencelevel.Thep-valueforthet-statisticforBlis0.07,andthep-valueforthet-statisticfor仇is0.06.Thep-valuefortheF-Statisticfortheregressionis0.045.Whichofthefollowing
40、statementsiscorrect?A.Theanalystcanrejectthejointnullhypothesisbecauseeachisdifferentfrom0atthe95%confidencelevel.B.Theanalystcannotrejectthejointnullhypothesisbecauseneitherisdifferentfrom0atthe95%confidencelevel.C.TheanalystcanrejectthejointnullhypothesisbecausetheFstatisticissignificantatthe95%co
41、nfidencelevel.D.TheanalystcannotrejectthejointnullhypothesisbecausetheF-statisticisnotsignificantatthe95%confidencelevel.CorrectAnswer:CExplanation:Thet-testwouldnotbesufficienttotestthejointnullhypothesis.Inordertotestthejointnullhypothesis,examinetheF-statistic,whichinthiscaseisstatisticallysignif
42、icantatthe95%confidencelevel.Thus,thejointnullhypothesiscanberejected.Section:QuantitativeAnalysisReference:JamesStockandMarkWatson,IntroductiontoEconometrics,Briefedition(Boston,MA:Pearson,2008),Chapter7-HypothesisTestsandConfidenceIntervalsinMultipleRegressionLearningObjective:Interprettestsofasin
43、glerestrictioninvolvingmultiplecoefficients;InterprettheF-Statistic.10.Afixed-incomeportfoliomanagercurrentlyholdsaportfolioofbondsofvariouscompanies.Assumingallthesebondshavethesameannualizedprobabilityofdefaultandthatthedefaultsareindependent,thenumberofdefaultsinthisportfoliooverthenextyearfollow
44、swhichtypeofdistribution?A.BernoulliB.LognormalC.BinomialD.ExponentialCorrectAnswer:CExplanation:Theresultwouldfollowabinomialdistributionasthereisafixednumberofrandomvariables,eachwiththesameannualizedprobabilityofdefault.ItisnotaBernoullidistribution,asaBernoullidistributionwoulddescribethelikelih
45、oodofdefaultofoneoftheindividualbondsratherthanoftheentireportfolio(i.e.AbinomialdistributionessentiallydescribesagroupofBernoullidistributedvariables).Section:QuantitativeAnalysisReference：MichaelMiller,MathematicsandStatisticsforFinancialRiskManagement,2ndEdition(Hoboken,NJ:JohnWiley&Sons,2013),Ch
46、叩ter4-DistributionsLearningObjective:Distinguishthekeypropertiesamongthefollowingdistributions:uniformdistribution,Bernoullidistribution,Binomialdistribution,Poissondistribution,normaldistribution,lognormaldistribution.Chi-squareddistribution,Studentst-distribution,andF-distributions,andidentifycommonoccurrencesofeachdistribution.11.AnanalysthasbeenaskedtocheckforarbitrageopportunitiesintheTreasurybondmarketbycomparingthecashflowsofselectedbondswiththecashflowsofcombinationsofotherbonds.Ifa1-yearzero-couponbondispricedatUSD98anda1-yearbondpayingan8%couponsem
