GARP 2016-FRR Financial Risk and Regulation (FRR) Series Online Training
GARP 2016-FRR Online Training
The questions for 2016-FRR were last updated at Apr 24,2025.
- Exam Code: 2016-FRR
- Exam Name: Financial Risk and Regulation (FRR) Series
- Certification Provider: GARP
- Latest update: Apr 24,2025
On January 1, 2010 the TED (treasury-euro dollar) spread was 0.4%, and on January 31, 2010 the TED spread is 0.9%. As a risk manager, how would you interpret this change?
- A . The decrease in the TED spread indicates a decrease in credit risk on interbank loans.
- B . The decrease in the TED spread indicates an increase in credit risk on interbank loans.
- C . Increase in interest rates on both interbank loans and T-bills.
- D . Increase in credit risk on T-bills.
Rising TED spread is typically a sign of increase in what type of risk among large banks?
I. Credit risk
II. Market risk
III. Liquidity risk
IV. Operational risk
- A . I only
- B . II only
- C . I and IV
- D . I, II, and III
Which one of the following four statements regarding floating rate bonds is incorrect?
- A . Floating rate bonds have coupon payments tied to floating interest rates or floating interest rate indexes.
- B . Floating rate bonds typically have less price risk than fixed rate bonds.
- C . Floating rate bonds are very sensitive to changes in interest rates.
- D . Floating rate bonds only have a small degree of interest rate risk.
James Johnson bought a coupon bond yielding 4.7% for $1,000.
Assuming that the price drops to $976 when yield increases to 4.71%, what is the PVBP of the bond.
- A . $26.
- B . $76.
- C . $870.
- D . $976.
Which of the following statements regarding CDO-squared is correct?
I. CDO-squared use other CDOs and CMOs as collateral.
II. Risk assessment of CDO-squared is almost impossible due to their complexity.
III. CDO-squared have lower credit risk than CMOs but higher than CDOs.
- A . I only
- B . I and II
- C . II and III
- D . I, II, and III
Which one of the following four statements represents the advantages of the historical sim-ulation method when calculating VaR?
- A . Solve the problem caused by incorrectly assuming that asset returns are normally distributed.
- B . Rely on current market data to describe the distribution of returns and determine volatilities.
- C . Are believed to be superior in accuracy predicting future levels of realized volatility.
- D . Are only using loss probabilities that can be found in tables of the standard normal distribution.
The Basel II Accord’s operational risk definition excludes all of the following items EXCEPT:
- A . Legal risk
- B . Strategic risk
- C . Reputational risk
- D . Geopolitical risk
Bank customers traditionally trade commodity futures with banks in order to achieve which of the following goals?
I. To express their own price views
II. To reverse undesired short-term exposure created from fixed commodity sales
III. To reach short-term budgetary targets
- A . I
- B . II
- C . I, III
- D . I, II, III
To estimate the responsiveness of a particular equity portfolio to the overall market, a trader should use the portfolio’s
- A . Alpha
- B . Beta
- C . CVaR
- D . VaR
For a bank a 1-year VaR of USD 10 million at 95% confidence level means that:
- A . There is a 5% chance that the bank would lose less than USD 10 million in a year.
- B . There is a 5% chance that the bank would lose more than USD 10 million in a year.
- C . There is a 5% chance that the worst loss would be USD 10 million in a year.
- D . There is a 5% chance that the least loss would be USD 10 million in a year.
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