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FRM真题解析,送给备考的你!

发布时间:2021-11-24

来源:融跃教育

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备考FRM考试中,尤其是冲刺阶段,对于FRM真题的练习是非常重要的,尤其是近几年的FRM真题,下文是小编列举的相关真题解析,送给备考的你!

Ahedge fund is considering taking positions in various tranches of a collateralized debt obligation (CDO). The fund’s chief economist predicts that the default probability will decrease significantly and that the default correlation will increase. Based on this prediction, which of the following is a good strategy to pursue?》》2021年新版FRM一二级内部资料免费领取!【精华版】

A) Buy the senior tranche and buy the equity tranche.

B) Buy the senior tranche and sell the equity tranche.

C) Sell the senior tranche and sell equity tranche.

D) Sell the senior tranche and buy the equity tranche.

答案:D

解析:The decrease in probability of default would increase the value of the equity tranche.Also, a default of equity tranche would increase the probability of default of the senior tranche, due to increased correlation, reducing its value. Thus, it is better to go long the equity tranche and short the senior tranche.

As the CRO of a retail bank, you are presenting to your Risk Committee the benefits of securitizing a pool of mortgages. Which of the following would you use to support your arguments that this will benefit the bank?

Ⅰ.It will improve your bank's return on capital

Ⅱ.Will immediately increase your bank's available capital

Ⅲ.You will be able to offer an attractive yield to investors

Ⅳ.It will lower your borrowing costs扫码咨询,立享特惠

A) I and III only

B) I, III, and IV only

C) I, II, III and IV

D) I, II, and IV only

答案:C

解析:'I' is valid. Securitization can improve a bank's return by moving risk assets off the books.

'II' is valid. Moving assets off balance sheet can reduce capital requirements and improve capital adequacy. 'III' is valid. III, which is a benefit for the investor, could also in principle be relevant

to the bank if the bank is having trouble placing securities (e.g., severe adverse

selection costs).

'IV' is valid. By moving riskier assets off the balance sheet via securitization, the bank can lower its borrowing costs.

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