《20110416_frm一级模考第一套题目_程黄维》由会员分享，可在线阅读，更多相关《20110416_frm一级模考第一套题目_程黄维（25页珍藏版）》请在金锄头文库上搜索。
1、金程教育 WWW.GFEDU.NET 专业领先增值 1-25 专业来自百分百的投入 FRM 一级模考试题（一）一级模考试题（一） 1. Monte Carlo simulation and the historical method are two means of calculating VAR. Which of the following describes a disadvantage (or disadvantages) of the Monte Carlo method compared to the historical method of calculating VAR? （
2、） The Monte Carlo method: I Takes advantage of the normal distribution. II Incorporates flexibility in modeling price paths. III Uses large amounts of computing power. A. I only B. I and II C. II and III D. III only 2. Given the following information, which of the following amounts is closest to d (
3、l.0), the discount factor for the first year? （ ） Bond A Bond B Bond C Bond maturity in years 0.5 1 2 Coupon 6.00% 12.00% 9.00% Price 101.182 102.341 99.573 A. 0.9099 B. 0.9138 C. 0.9655 D. 0.9823 3. Other risk management tools besides VAR could be used by practitioners such as exposure limits, stop
4、-loss limits, and notional limits. Which of the following statements regarding such tools is(are) incorrect? （ ） I Exposure limits may be aggregated across assets. II Stop-loss limits may be aggregated across assets. III Notional limits may be aggregated across assets. A. I only B. II only C. I and
5、III D. II and III 4. Arthur Harrow is a pharmaceuticals analyst at Dominion Asset Management (Dominion). His supervisor directs him to prepare separate research reports on Miracle Drug Company (Miracle) and Wonder Drug Company (Wonder). Harrows former college roommate and close friend is the preside
6、nt of Miracle. Harrow owns 2000 shares of Wonder, which currently sells for $25 a share. Harrows supervisor is unaware of these facts. According to the GARP Code of Conduct, which of the following actions, if any, is Harrow required to take if he writes the research reports? （ ） 金程教育 WWW.GFEDU.NET 专
7、业领先增值 2-25 专业来自百分百的投入 A. Harrow must disclose to Dominion both his relationship with the president of Miracle and his ownership of shares in Wonder. B. Harrow must disclose to Dominion his relationship with the president of Miracle but not his ownership of shares in Wonder. C. Harrow must disclose t
8、o Dominion his ownership of shares in Wonder but not his relationship with the president of Miracle. D. Harrow need not disclose to Dominion either his relationship with the president of Miracle or his ownership of shares in Wonder. 5. Gloria Brown, FRM, calculated the intrinsic value of RTN Company
9、 and expects the stock to generate a 25% annual return over the foreseeable future. However, Brown is concerned that her price forecast may be too high. She conducted a hypothesis test and concluded that at a 5% significance level, the null hypothesis can be rejected that RTN Companys investment ret
10、urn would be equal to or less than 25% per year. The, one-tailed test utilized a z-test. Indicate the meaning of the significance level chosen by Brown and state the correct rejection region. （ ） Significance level Rejection region A. Brown will reject a true null hypothesis 5% of the time z 1.645 B
11、. Brown will reject a false null hypothesis 95% of the time z 1.645 6. John Bone is a junior bond analyst for XYZ investments. He is examining both investment grade bonds and speculative grade bonds. In particular, he is looking for bonds located below the separation between these two bond classific
12、ations. Which of the following bonds would be classified as a speculative grade bond? （ ） A. FHLMC discount note. B. ACC rail bond rated Baa. C. OMC Corp. MTN rated BB. D. Travelers floating-rate note rated Aa. 7. An investor owns a stock and is bullish over the short term. Which of the following st
13、rategies will be the most appropriate one for this investor if the primary concern is to make a bet on the volatility of the stock? （ ） A. A covered call B. A protective put C. An at-the-money strip D. An at-the-money strap 8. Which of the following describes Long-Term Capital Managements major inve
14、stment strategies? （ ） I Relative value. II Credit spreads. III Long-long futures positions. 金程教育 WWW.GFEDU.NET 专业领先增值 3-25 专业来自百分百的投入 IV Equity volatility. A. I, II, and IV only B. I, II, III, and IV C. III only D. II and IV only 9. Paper Products Inc.s research department developed a new type of e
15、nvironmentally friendly paper. The marketing department surveyed a random sample of 100 people. The survey is designed to gauge customer interest level in the new product. The sample indicates an average purchase of 2,500 reams per year with a variance of 160,000 reams. The researchers supervisor is
16、 concerned that the sample size is too small. The researcher advises against increasing the sample size, stating that “there is a risk of sampling from more than one population.” Determine the standard error of the sample mean and indicate whether the researchers statement is correct or incorrect. （ ） Standard error Researchers statement A. 8 Correct B
