question
stringlengths 148
16.3k
| answer
listlengths 1
5
| dataset
stringclasses 6
values | split
stringclasses 5
values | solution
stringlengths 0
814
⌀ | question_type
stringclasses 2
values | text
stringlengths 564
2.44k
⌀ | meta
dict | A
stringlengths 1
166
⌀ | B
stringlengths 1
216
⌀ | C
stringlengths 1
420
⌀ | D
stringlengths 1
791
⌀ | E
stringclasses 63
values | explanation
stringlengths 51
1.69k
⌀ | id
int32 0
122
⌀ | subject
stringclasses 11
values | exam_type
stringclasses 1
value | dataset_subset
stringclasses 3
values | cot
null |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
The return on a portfolio is normally distributed with an expected rate of return of 10%, and a standard deviation of 20%. What is the probability that the return will be between 0% and 5%? A.7%; B.9%; C.11%; D.13%
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.9%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The price of a six-month zero-coupon bond (bill) is $99.90 and the price of a one-year zerocoupon bond is $98.56. What is the implied six-month forward rate, under semi-annual compounding? A.1.30%; B.2.95%; C.2.72%; D.3.08%
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.2.72%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
An analyst is pricing a 2-year European put option on a non-dividend-paying stock using a binomial tree with two steps of one year each. The stock price is currently USD 38, and the strike price of the put is USD 40. What is the value of the put closest to, assuming that the annual risk-free rate will remain constant at 2% over the next two years and the annual stock volatility is 15%? A.3.04 USD; B.3.48 USD; C.3.62 USD; D.3.81 USD
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.3.48 USD
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A small hedge fund is running a portfolio with a 5-day VaR of $3.1 million. Assuming normal conditions what is the best estimate for VaR over a 2-day horizon? A.$1.2 million; B.$2.0 million; C.$2.5 million; D.$3.1 million
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.$2.0 million
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The annual marginal probability of default of a bond is 15% in year 1 and 20% in year 2. What is the probability of the bond surviving (i.e. no default) to the end of two years? A.68%; B.65%; C.80%; D.85%
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.68%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
For the last three years, we regressed monthly dollar change in gasoline prices against the monthly change in oil prices (regressor; independent). The number of observations (n) is therefore 36. If the coefficient of determination is 0.18 and the total sum of squares (TSS) is 3.23, what is the standard error of the regression (SER)? A.0.28; B.0.42; C.2.65; D.3.23
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.0.28
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Bonds rated B have a 25% chance of default in five years. Bonds rated CCC have a 40% chance of default in five years. A portfolio consists of 30% B and 70% CCC-rated bonds. If a randomly selected bond defaults in a five-year period, what is the probability that it was a B-rated bond? A.0.625; B.0.211; C.0.429; D.0.250
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.0.211
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Based on the covered interest rate parity, if the risk-free rate for currency XXX is higher than that for currency YYY, XXX is weaker in the forward market than in the spot market. A currency trader noticesthat the interest rates in currencies USD and EUR are 3% and 5% per annum (respectively) and the spot exchangerate is EURUSD 1.2500. Based on the covered interest rate parity, how many percent will the euro appreciate or depreciate in one year? A.appreciate 2%; B.appreciate 5%; C.depreciate 5%; D.depreciate 2%
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.depreciate 2%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The distribution of one-year returns for a portfolio of securities is normally distributed with an expected value of €45 million, and a standard deviation of €16 million. What is the probability that the value of the portfolio, one year hence, will be between €39 million and €43 million? A.8.6%; B.9.6%; C.10.6%; D.11.6%
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.9.6%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Consider a 7.75% semiannual coupon bond with a par value of $100 and four remaining coupons, which is trading at a yield of 8.375%. There are 74 days remaining in the current period that has a total of 182 days. The accrued coupon of this bond is closest to: A.1.59; B.2.30; C.3.18; D.4.57
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.2.30
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
If the correlation coefficient of a linear regression is 0.7, the percentage of variation of the dependent variable that is not explained by the independent variable is closest to: A.36%; B.49%; C.51%; D.64%
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.51%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
X, Y, and Z have entered into many derivative transactions. When transactions between X and Y are netted, the net value to X is 60. When transactions between Y and Z are netted, the net value to Y is 70. When transactions between Z and X are netted, the net value to Z is 80. Suppose that all transactions are cleared through a CCP rather than bilaterally. What is the net position of X? A.20; B.-20; C.10; D.-10
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.-20
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A portfolio of bonds consists of five bonds whose default correlation is zero. The one-year probabilities of default of the bonds are: 1%, 2%, 5%, 10% and 15%. What is the one-year probability of no default within the portfolio? A.71%; B.67%; C.85%; D.99%
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.71%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Assume the shock (aka, innovation), ε(t), in a time series is approximated by Gaussian white noise. The lagged (yesterday's) realization was 0.0160 and the lagged shock was - 0.280;i.e., y(t-1) = 0.0160 and ε(t-1) = -0.280. Today's shock, ε(t), is 0.190. If the weight parameter theta, θ, is equal to 0.60, which is nearest to the today's realization, y(t), under a first-order moving average, MA(1), process? A.-0.0027; B.0.0018; C.0.0220; D.0.1140
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.0.0220
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A hedge fund has USD 100 million of investors’ funds and its fees are 2 plus 20%. The fund manager chooses a highly risky strategy that has a 50% chance of producing a profit of USD 30 million and a 50% chance of a loss of USD 12 million. The hurdle rate is 4% and the management fees are based on the beginning of the asset. What is the net expected return to the investor? A.$9.0 million; B.$4.4 million; C.$4.6 million; D.$4.2 million
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.$4.6 million
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
An operational risk manager uses the Poisson distribution to estimate the frequency of losses in excess of USD 2 million during the next year. It is observed that the frequency of losses greater than USD 2 million is 3 per year on average over the last 10 years. If this observation is indicative of future occurrences and all the losses are independent of each other, what is the probability of at most one loss over USD 2 million occurring during the next two years? A.1.01%; B.1.40%; C.1.61%; D.1.74%
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.1.74%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
For a standard normal distribution, which of the following choices is the approximate area under the probability density function from values -1.96 to 1.96? A.50%; B.66%; C.75%; D.95%
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.95%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The spot rate term structure is upward-sloping: 1.0% at 0.5 years, 2.0% at 1.0 years, 3.0% at 1.5 years, and 4.0% at 2.0 years. What is the price of two-year $100 face value bond that pays a semi-annual coupon with a 6.0% per annum coupon rate? A.$99.74; B.$101.67; C.$102.27; D.$103.95
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.$103.95
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Consider a stock portfolio consisting of two stocks with normally distributed returns. The joint distribution of daily returns is constant over time and there is no serial correlation. Stock Epsilon has a market value of $100,000 with an annualized volatility of 22%. Stock Omega has a market value of $175,000 with an annualized volatility of 27%. Calculate the 95% confidence interval 1-day VaR of the portfolio. Assume a correlation coefficient of 0.3. Round to the nearest dollar assuming 252 business days in a year. The daily expected return is assumed to be zero. A.$3,641; B.$5,023; C.$6,007; D.$7,176
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.$6,007
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Consider the following, a 7-year zero-coupon bond carries an annual yield of 6.75% and a 6-; year zero coupon bond carries an annual yield of 5.87%. Calculate the 1 year forward rate 6 years from now. Assume annual compounding. A.6.31%; B.12.03%; C.12.19%; D.12.62%
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.12.19%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Consider the risk of a long call on an asset with a notional amount of $1 million. The VaR of the underlying asset is 7.8%. If the option is a short-term at-the-money option, the VaR of the option position is slightly: A.Less than $39,000 when second-order terms are considered.; B.More than $39,000 when second-order terms are considered.; C.Less than $78,000 when second-order terms are considered.; D.More than $78,000 when second-order terms are considered.
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.Less than $39,000 when second-order terms are considered.
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
An analyst runs a regression of monthly stock returns on four independent variables over 48 months. From the regression, the total sum of squares (TSS) is 580, and the residual sum of squared (RSS) is 220. The regression coefficient of determination(R2) and the adjusted R2are closest to: A.62% 58.5%; B.38% 41.5%; C.62% 41.5%; D.38% 58.5%
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.62% 58.5%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A portfolio is worth USD 200 million that has a beta relative to the S&P 500 index of 0.75. The S&P 500 index is currently trading at 5,000. The 3-month S&P 500 futures with a contract size of 250USD × futures price is trading at 4,500. Using the 3-month S&P 500 futures contract, which of the following transactions would increase the portfolio's beta to 0.9? A.Long 27 futures contracts.; B.Short 27 futures contracts.; C.Long 24 futures contracts.; D.Short 24 futures contracts.
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.Long 27 futures contracts.
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Bank Omega's foreign currency trading desk is composed of 2 dealers: dealer A, who holds a long position of 10 million CHF against the USD, and dealer B, who holds a long position of 10 million SGD against the USD. The current spot rates for USD/CHF and USD/SGD are 1.2350 and 1.5905 respectively. Using the variance/covariance approach, you worked out the 1 day, 95% VaR of dealer A to be USD77,632 and that of dealer B to be USD27,911. If the correlation coefficient between the SGD and CHF is +0.602 and assuming that these are the only trading exposures for dealer A and dealer B, what would you report as the 1 day, 95% VaR of Bank Omega’s foreign currency trading desk using the variance/covariance approach? A.USD 97,027; B.USD 105,543; C.USD 113,932; D.Cannot be determined due to insufficient data
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.USD 97,027
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The covariance between the return from two securities is 4 and the correlation between them is 0.5. If the variance of the first return is 16, the variance of the second return will be CLOSEST to: A.0.25; B.0.50; C.2.00; D.4.00
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.4.00
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Given the following 30 ordered simulated percentage returns of an asset, calculate the VaR and expected shortfall (both expressed in terms of returns) at a 90% confidence level.-16, -14, -10, -7, -7, -5, -4, -4, -4, -3, -1, -1, 0, 0, 0, 1, 2, 2, 4, 6, 7, 8, 9, 11, 12, 12, 14, 18, 21, 23 A.VaR(90%)=10,Expected shortfall=14; B.VaR(90%)=10,Expected shortfall=15; C.VaR(90%)=14,Expected shortfall=15; D.VaR(90%)=18,Expected shortfall=22
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.VaR(90%)=10,Expected shortfall=15
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A market risk manager uses historical information on 1,000 days of profit/loss information to calculate a daily VaR at the 99th percentile, of USD 8 million. Loss observations beyond the 99th percentile are then used to estimate the conditional VaR. If the losses beyond the VaR level, in millions, are USD 9, USD 10, USD 11, USD 13, USD 15, USD 18, USD 21, USD 24, and USD 32, then what is the conditional VaR? A.USD 9 million; B.USD 32 million; C.USD 15 million; D.USD 17 million
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.USD 17 million
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A large bank currently has a security portfolio with a market value of $145 million. The daily returns on the bank's portfolio are normally distributed with 80% of the distribution lying within 1.28 standard deviations above and below the mean and 90% of the distribution lying within 1.65 standard deviations above and below the mean. Assuming the standard deviation of the bank's portfolio returns is 1.2%, calculate the VaR(5%) on a one-day basis. A.$2.87 million; B.$2.23 million; C.$2.04 million; D.Cannot be determined from information given
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.$2.87 million
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The purchase price of a 3-year 9 percent semiannual coupon bond that is currently yielding 7 percent will be: A.105.11; B.105.25; C.105.33; D.105.45
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.105.33
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
An analyst is studying a stock that is currently trading at $35. The analyst estimates that there is 33% probability that the stock will trade at $50 after one year, a 20% probability that the stock will trade at $42, and a 47% probability that the stock will trade at $20. What is the volatility of this stock return? A.13%; B.24%; C.31%; D.39%
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.39%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Howard Freeman manages a portfolio of investment securities for a regional bank. The portfolio has a current market value equal to USD 6,247,000 with a daily variance of 0.0002. Assuming there are 250 trading days in a year and that the portfolio returns follow a normal distribution, the estimate of the annual VaR at the 95% confidence level is closest to which of the following? A.USD 32,595; B.USD 145,770; C.USD 2, 297,854; D.USD 2,737,868
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.USD 2, 297,854
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Assuming the 92-day and 274-day interest rate is 8% (act/360, money market yield) compute the 182-day forward rate starting in 92 days (act/360, money market yield). A.7.8%; B.8.0%; C.8.2%; D.8.4%
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.8.0%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Your firm uses a proprietary forecasting model that requires parameter estimates of random variables that are believed to follow the Poisson distribution. You are attempting to assess the probability of the number of defects in an assembly production process for a given company. Assume that there is a 0.005 probability of a defect for every production run. What is the probability of 7 defects in 1,000 production runs? A.3.0%; B.4.4%; C.8.6%; D.10.4%
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.10.4%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The price of a six-month zero-coupon bond is $99.90 and the price of a one-year zero-coupon bond is $98.56. What is the implied six-month forward rate, under semi-annual compounding? A.1.30%; B.2.95%; C.2.72%; D.3.08%
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.2.72%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
An analyst regresses the returns of 60 stocks in a stock market and finds that the best fitting line is: Return=8% +9%×BetaIf the standard error of the estimate is 6% and the standard error of the coefficient of Beta is 4%, the test statistic for the coefficient is closest to: A.1.33; B.1.43; C.1.50; D.2.25
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.2.25
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
John Flag, the manager of a USD 150 million distressed bond portfolio, conducts stress tests on the portfolio. The portfolio’s annualized return is 12%, with an annualized return volatility of 25%. In the last two years, the portfolio encountered several days when the daily value change of the portfolio was more than 3 standard deviations. If the portfolio suffered a 4-sigma daily event, which of the following is the best estimate of the change in the value of this portfolio? Assume that there are 250 trading days in a year. A.USD 9.48 million; B.USD 23.70 million; C.USD 37.50 million; D.USD 150 million
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.USD 9.48 million
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Exactly one year ago, Sally purchased a $100.00 face value bond that pays a semiannual coupon with a coupon rate of 9.0% per annum. When she purchased the bond, it had a maturity of 10.0 years and its yield to maturity (YTM; aka, yield) was 6.00%. If the bond's price today happens to be unchanged from one year ago (when she purchased the bond), which of the following is nearest to the bond's yield (yield to maturity) today? A.5.57%; B.5.78%; C.6.00%; D.6.22%
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.5.78%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Consider the following single stock portfolio: Stock ABC has a market position of $200,000 and an annualized volatility of 30%. Calculate the linear VaR with 99% confidence level for a 10 business day holding period. Assume normal distribution and round to the nearest dollar. A.$11,952; B.$27,849; C.$60,000; D.$88,066
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.$27,849
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
You sample 25 observations from a sample of unknown variance. You calculate a sample mean of 70 and sample standard deviation of 60. You wish to conduct a two-tailed test of the null hypothesis that the mean is equal to 50. The most appropriate test statistic is a: A.z-statistic of 1.67; B.z-statistic of 0.33; C.t-statistic of 0.33 with 24 degrees of freedom; D.t-statistic of 1.67 with 24 degrees of freedom
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.t-statistic of 1.67 with 24 degrees of freedom
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A commodity-trading firm has an options portfolio with a two-day Value-at-Risk (VaR) of $2.5 million. What would be an appropriate translation of this VaR to a ten-day horizon under normal conditions? A.$3.713 million; B.$4.792 million; C.$5.590 million; D.Cannot be determined
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.$5.590 million
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A portfolio manager bought 1,000 call options on a non-dividend-paying stock, with a strike price of USD 100, for USD 6 each. The current stock price is USD 104 with a daily stock return volatility of 1.89%, and the delta of the option is 0.6. Using the delta-normal approach to calculate VaR, what is an approximation of the 1-day 95% VaR of this position? A.USD 1,120; B.USD 1,946; C.USD 3,243; D.USD 5,406
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.USD 1,946
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
There are 2 phone calls per hour in a call center every day. The probability that they will receive 20 calls in an 8-hour day is closest to: A.5.59%; B.6.56%; C.7.66%; D.8.40%
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.5.59%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Let random variable W be distributed normally as N(0,10). What are, respectively, the following: 1)The fourth moment of ; and 2)The kurtosis of W? A.30.0 (4th moment) and zero (kurtosis); B.100.0 and 3.0; C.300.0 and zero; D.300.0 and 3.0
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.300.0 and 3.0
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Assume the annual returns of Fund A are normally distributed with a mean and standard deviation of 10%. The annual returns of Fund B are also normally distributed, but with a mean and standard deviation of 20%. The correlation between the returns of the funds is 0.40. At the end of the year, Fund B has returned 30%, and Fund A has returned 12%. Which is NEAREST to the probability that Fund B outperforms Fund A by this much or more? A.7.00%; B.15.90%; C.33.22%; D.56.04%
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.33.22%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The result of the linear regression is: Y=0.10-0.50X, with a correlation coefficient ρ=-0.90. The fraction of the variance of Y attributable to X is equal to: A.-0.90; B.+0.90; C.+0.81; D.-0.50
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.+0.81
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A stock is currently trading at USD 45, and its annual price volatility is 30%. The risktree rate is 1.5% per year. A risk manager is developing a 1-step binomial tree for a 2-year horizon. What is the risk-neutral probability that the stock will move down? A.30%; B.43%; C.57%; D.70%
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.57%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A risk manager is backtesting a firm’s model for estimating 1-day 99% VaR and observes five exceedances over the prior 150 trading days. Assuming the model is correctly calibrated, and all the exceedances are independent of each other, what is the probability that there are exactly six exceedances over a period of 250 trading days? A.0.84%; B.2.75%; C.36.97%; D.39.25%
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.2.75%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Bond A and Bond B have the same rating and probability of default. The estimated probability that both bonds will default during the next year is 5%. If Bond A defaults next year, there is a 50% probability that Bond B will also default. What is the probability that neither Bond A nor Bond B will default over the next year? A.75%.; B.80%.; C.85%; D.95%.
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.85%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Assume the following discount function, which is a set of discount factors: d(0.5) = 0.990, d(1.0) = 0.970, d(1.5) = 0.960, d(2.0) = 0.950. A U.S. Treasury bond pays a semi-annual coupon at a rate of 5.0% per annum and matures with a face value of $1,000 in eighteen months (T = 1.5 years). What is the price of the bond? A.$985.00; B.$1,002.00; C.$1,015.00; D.$1,033.00
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.$1,033.00
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The following discount function contains semi-annual discount factors out to two years: d(0.5) = 0.9970, d(1.0) = 0.9911, d(1.5) = 0.9809, d(2.0) = 0.9706. What is the implied eighteen-month (1.5 year) spot rate (aka, 1.5 year zero rate)? A.0.600%; B.1.176%; C.1.290%; D.1.505%
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.1.290%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Your staff has determined that your 95% daily VaR model is perfectly accurate: on any given day, the probability that the loss exceeds VaR is 5%. What is the probability that next month, which has 20 trading days, VaR will be exceeded on two days or less? A.86.47%; B.91.97%; C.92.45%; D.99.99%
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.92.45%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A trader has an option position in crude oil with a delta of 100,000 barrels and gamma of 50,000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this position, assuming the extreme move on crude oil is $2.00 per barrel. A.$100,000; B.$200,000; C.$300,000; D.$400,000
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.$100,000
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A high growth stock has a daily return volatility of 1.60%. The returns are positivelyautocorrelated such that the correlation between consecutive daily returns is +0.30. What is the two-day volatility of the stock? A.1.800%; B.2.263%; C.2.580%; D.3.200%
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.2.580%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The variance of the returns from stock A is 0.018 and that of the market is 0.025. If the covariance between the stock and the market index is -0.002, their correlation coefficient is CLOSEST to: A.-0.23; B.-0.11; C.-0.09; D.-0.08
|
[
"C"
] |
KirkHan/FRM_QA100
| null |
C.-0.09
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
We assume a lambda parameter of 0.850 under an exponential smoothing (i.e., EWMA) approach to the estimation of today's (t) daily volatility. Yesterday (t-1) is the most recent daily return in our series. What are the weights assigned, respectively, to yesterday's and the day before yesterday's returns; i.e., weight (t-1) and weight (t-2)? A.15.00% (t-1) and 2.25% (t-2); B.15.00% and 12.75%; C.72.25% and 61.41%; D.85.00% and 72.25%
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.15.00% and 12.75%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A bank entered into a 5-year $150 million annual-pay LIBOR-based interest rate swap three years ago as the fixed rate payer at 5.5%. The relevant discount rates (continuously compounded) for 1-year and 2-year obligations are currently 5.75% and 6.25%, respectively. A payment was just made. The value of the swap is closest to: A.-$2,555,860; B.$2,555,860; C.$6,450,000; D.-$6,450,000
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.$2,555,860
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
The VaR of a portfolio at 95% confidence level is 15.2. If the confidence level is raised to 99% (assuming a one-tailed normal distribution), the new value of VaR will be closest to: A.10.8; B.5.2; C.18.1; D.21.5
|
[
"D"
] |
KirkHan/FRM_QA100
| null |
D.21.5
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
A linear time trend model is estimated on annual real euro-area GDP. measured in billions of 2010 euros, using data from 1995 until 2018. The estimated model is RGDPt=- 234178.8+121.3×t+εt. The estimate of the residual standard deviation is σ=262.8. (assuming Gaussian white noise errors). Note that t is the year, so that in the first observation, t = 1995, and in the last, t = 2018. What is the expected mean in 2019? A.10,725.9; B.10,847.2; C.10,968.5; D.10,765.2
|
[
"A"
] |
KirkHan/FRM_QA100
| null |
A.10,725.9
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
If the average rate of HFLS operational loss events instead is 20 per workweek (20 every five days), if we assume a Poisson distribution, what is the probability on a given single day that between four and six HFLS losses will occur, inclusive? A.35.6%; B.45.6%; C.55.6%; D.65.6%
|
[
"B"
] |
KirkHan/FRM_QA100
| null |
B.45.6%
|
Choice
| null | null | null | null | null | null | null | null | null | null | null | null | null |
Subsets and Splits
No community queries yet
The top public SQL queries from the community will appear here once available.