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Selected 2016-FRR Financial Risk and Regulation Questions Answers

Page: 23 / 28
Total 387 questions

Financial Risk and Regulation (FRR) Series Questions and Answers

Question 89

Since most consumers of natural gas do not have the ability to store it, they contract with gas suppliers to receive a flow of natural gas equal to a specific number of MMBT's per day (MMBT is millions of British Termal Units, the unit in which gas futures are quoted on the U.S. markets). To protect against price increases with a bank, the natural gas consumer, concerned with the average price over the course of the month, will use the following contracts:

Options:

A.

American options

B.

Asian options

C.

Compound options

D.

Flexible volume options

Question 90

Oliver McCarthy owns a portfolio of bonds. Which of the following choices equals the modified duration of Oliver's portfolio?

Options:

A.

Minimum of the modified durations of the component bonds

B.

Value-weighted average modified duration of the component bonds

C.

Coupon-weighted average modified duration of the component bonds

D.

Maximum of the modified durations of component bonds

Question 91

To reduce the variability of net interest income, Gamma Bank can swap positions that make its duration gap equal to

Options:

A.

0

B.

1

C.

-1

D.

0.5

Question 92

According to Basel II what constitutes Tier 1 capital?

Options:

A.

Equity capital and core capital

B.

Profits to reserves and innovative Tier 1 capital

C.

Equity capital and accrued profits to reserves

D.

Core capital and innovative Tier 1 capital.

Page: 23 / 28
Total 387 questions