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临近FRM考试有必要做FRM真题解析吗?

发布时间:2021-11-04

来源:融跃教育

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11月FRM考试开考还有几天的时间,有考生咨询,临近FRM考试还有必要做FRM真题解析吗?

关于FRM真题解析,一定要做的,尤其是近几年FRM考试的真题。下面是小编列举的相关真题,希望对你有所帮助!

The credit protection buyer in a total return swap, where the protection seller pays LIBOR plus a spread, is hedged against each of the following risks except for:

A) Credit deterioration in the reference.》》2021年新版FRM一二级内部资料免费领取!【精华版】

B) Spread risk in the reference.

C) General level of interest rates.

D) Counterparty exposure to the protection seller.

答案:D

解析:The TRS provides a hedge against credit and market risk. In the case of LIBOR, a higher interest rate implies a loss on the reference, however this is hedged by the protection sellers higher payments.扫码预约

Aportfolio manager enters into a total return swap as the total return receiver. Under which of the following situations, would the portfolio manager be required to make a net outlay to the counterparty?

A) If the transaction was initiated as a hedge. Then no outlay was required

B) If there were a capital gain on the reference asset

C) If the market value of the reference asset decreased significantly

D) If the spread between the reference asset and the benchmark asset changed

答案:C

解析:When the market value of the reference asset decreased, that means a capital loss, hence the total return receiver will be required to pay the net difference. In other words, the total return receiver is exposed to both credit risk and market risk.

In a total return swap, the:

A) Total return payer bears the risk of holding the reference asset

B) Total return payer transfers the risk of holding the reference asset to the total return receiver

C) Total return receiver transfers the risk of holding the reference asset to the total return payer

D) Credit risk of the buyer and seller cancel each other out

答案:B

解析:In a total return swap, the total return payer transfers the capital gains and losses of the reference asset to the total return receiver.

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