FRM考试2015年5月真题

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1、2015年5月FRM一级真题1.AcompanyisexpectedtoannouncethetermsofamateriallyimportantcontractnegotiationinearlyApril.Atraderexpectsthecompany’sstocktoberange-bounduntilthenandhasenteredintoapositionthatisshort100MarchcallswithastrikepriceofUSD50andlong100AprilcallswithastrikepriceofUSD50.Aftersomeconsiderat

2、ion,theriskcommitteebelievesthereisapossibilitythatthenewswillbereleasedinmid-Marchandinformsthetradeofthischange.Basedonthenewinformation,thetradersellsthe100Aprilcallsandbuys50MarchcallswithastrikeatUSD30and50MarchcallswithastrikeatUSD70.Whattypesofpositionsdidthetraderhave?A.Theoriginalpositio

3、nwaslongacallspreadandthefinalpositionwaslongastrangle.B.Theoriginalpositionwaslongacalendarspreadandthefinalpositionwaslongabutterflyspread.C.Theoriginalpositionwaslongareversecalendarspreadandfinalpositionwaslongacallspread.D.Theoriginalpositionwaslongacalendarspreadandthefinalpositionwasshorta

4、butterflyspread.2.Ariskanalystisstresstestingastock’sreturnsensitivitytoshocksinmacroeconomicfactorsusingamultifactormodel.Theanalystderivesthefollowingestimatesforthefactorbetas:β(GDP)=1.00β(InterestRate)=-1.50UnderbaselineexpectationsforGDPgrowthof3.5%andaninterestrateof3.0%,theexpectedreturnfo

5、rthestockisestimatedtobe6.0%.Underwhichofthefollowingscenarioswillthestockhavethehighestexpectedreturn?1ScenarioGDPGrowth(%)InterestRate(%)A-6.0-1.0B-4.01.5C0.05.0D6.07.5A.ScenarioAB.ScenarioBC.ScenarioCD.ScenarioD3.AriskanalystcompilesalternatemeasuresfromtheUnitedNations’databaseonthefourcountr

6、iesbelowtocomparethesocio-economicconditionsineach.CountryGiniCoefficientHumanDevelopmentIndexU0.3050.821V0.2360.892W0.3150.909Z0.3780.937Howwouldeachcountryrankfromhavingthemostincomeinequalitytotheleastincomeinequality?A.V>U>W>ZB.Z>W>U>VC.Z>W>V>UD.U>V>W>Z4.Toestimatethepriceofacalloption,ananal

7、ystperformsasimulationwith100scenariosandestimatesthe95%confidenceintervalforthecalloptionpriceas[4.55;5.15].Inordertoincreasetheaccuracyofthepricingresults,asecondsimulationwith400scenariosisperformed.Assumingthatthes