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2016-FRR Leak Questions

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Total 342 questions

Financial Risk and Regulation (FRR) Series Questions and Answers

Question 5

Which one of the following four statements about equity indices is INCORRECT?

Options:

A.

Equity indices are numerical calculations that reflect the performance of hypothetical equity portfolios.

B.

Equity indices do not trade in cash form, rather, they are meant to track the overall performance of an equity market.

C.

Capitalization-weighted equity indices are not generally considered better to track the performance of an overall market.

D.

Price-weighted equity indices give greater weight to shares trading at high prices.

Question 6

Samuel Teng owns a portfolio of bonds and is trying to compute the convexity of his portfolio. Which of the following choices equals the convexity of Samuel's portfolio?

Options:

A.

Minimum of the convexities of the component bonds

B.

Value-weighted average convexity of the component bonds

C.

Coupon-weighted average convexity of the component bonds

D.

Maximum of the convexities of the component bonds

Question 7

Banks duration match their assets and liabilities to manage their interest risk in their banking book. Currently, the bank's assets and liabilities both have a duration of 10. To hedge against the risk of decreasing interest rates, the bank should

I. Increase the duration of the liabilities

II. Increase the duration of the assets

III. Decrease the duration of the liabilities

IV. Decrease the duration of the assets

Options:

A.

I only.

B.

I and II.

C.

II and III.

D.

I and IV

Question 8

Which one of the following four statements presents a challenge of using external loss databases in the operational risk framework?

Options:

A.

Use of benchmarked data reflects similar data collection standards.

B.

External events are usually not of interest to senior management.

C.

If the external data is gathered from news sources, it may only reflect events that are interesting to the press.

D.

They provide a source of data on what operational loss events will occur.

Page: 2 / 25
Total 342 questions