距離11月FRM一級考試越來越近了，F(xiàn)RM考生在考前要每天都去復(fù)習(xí)，考試備考做模擬題是少不了的，下面金程小編給大家分享一下FRM一級模擬題，F(xiàn)RM考生抓緊時間領(lǐng)取進(jìn)行模擬測試吧。
FRM一級模擬題精選
1.At the end of one day a clearinghouse member is long 100 contracts, and the settlement price is $50,000 per contract. The original margin is $2,000 per contract. On the following day the member becomes responsible for clearing an additional 20 contracts, entered into at a price of $51,000 per contract. The settlement price at the end of this day is $50,200. How much does the member have to add to its margin account with the exchange clearinghouse?
A.$40000
B.$20000
C.$16000
D.$36000
2.A company has a $20 million portfolio with a beta of 1.2. It would like to use futures contracts on the S&P 500 to hedge its risk. The index is currently standing at 1080, and each contract is for delivery of $250 times the index. What is the hedge that minimizes risk? What should the company do if it wants to reduce the beta of the portfolio to 0.6?
A.Sell 89 contracts; Sell 44 contracts
B.Buy 89 contracts; Sell 44 contracts
C.Sell 44 contracts; Sell 89 contracts
D.Sell 44 contracts; Buy 89 contracts
3.Which of the following assumptions are made when using DV01 as a measure of interest rate risk?
I.Changes in the interest rates are small.
II.The yield curve is flat.
III.Changes to the yield curves are parallel.
IV.The yield curve is downward sloping.
A.I and III
B.I and II
C.I and IV
D.II and III
4.The term structure of interest rates is upward-sloping. Put the following in order of magnitude:
(a)The 5-year zero rate
(b)The yield on a 5-year coupon-bearing bond
(c)The forward rate corresponding to the period between 5 and 5.25 years in the future
What is the answer to this question when the term structure of interest rates is upward-sloping?
A.c > a > b
B.a > c > b
C.c > b > a
D.b > a > c
5.A 10-year 8% coupon bond currently sells for $90. A 10-year 4% coupon bond currently sells for $80. What is the 10-year zero rate? (Considering continuously compounding)
A.3.27%
B.3.37%
C.3.47%
D.3.57%
6.The current stock price of a company is USD 80. A risk manager is monitoring call and put options on the stock with exercise prices of USD 50 and 5 days to maturity. Which of these scenarios is most likely to occur if the stock price falls by USD 1?
ScenarioCall ValuePut Value
ADecrease by USD 0.07Increase by USD 0.89
BDecrease by USD 0.07Increase by USD 0.01
CDecrease by USD 0.94Increase by USD 0.01
DDecrease by USD 0.94Increase by USD 0.89
E.Scenario A
F.Scenario B
G.Scenario C
H.Scenario D
7.CAPM assumptions: Which of the following is NOT an underlying assumption of the CAPM model?
A.Investors only consider the first two moments of return distribution: the expected return and the variance.
B.All investors have the same forecast return, variance and covariance expectations for all assets.
C.All investors prefer to be fully invested in the market portfolio.
D.Markets are perfect: there are no taxes and no transaction costs. All assets are traded and are infinitely divisible.
8.Bonds issued by the XYZ corp, are currently callable at par value and trade close to par. The bonds mature in 8 years and have a coupon of 8%.The yield on the XYZ bonds is 175 Basis points over 8-year US treasury securities, and the Treasury spot yield curve has a normal, rising shape. If the yield on bonds comparable to the XYZ bond decreases sharply, the XYZ bonds will most likely exhibit:
A.Negative convexity
B.Increasing modified duration
C.Increasing effective duration
D.Positive convexity
9.The 2-month interest rates in Switzerland and the United States are, respectively, 3% and 8% per annum with continuous compounding. The spot price of the Swiss franc is $0.6500. The futures price for a contract deliverable in 2 months is $0.6600. What arbitrage opportunities does this create?
A.Borrow US dollars to buy Swiss franc and sell Swiss franc futures
B.Borrow Swiss franc to buy US dollars and sell US dollars futures
C.Borrow US dollars to buy Swiss franc and buy Swiss franc futures
D.Borrow Swiss franc to buy US dollars and buy US dollars futures
10.A risk manager is deciding between buying a futures contract on an exchange and buying a forward contract directly from a counterparty on the same underlying asset. Both contracts would have the same maturity and delivery specifications. The manager finds that the futures price is less than the forward price. Assuming no arbitrage opportunity exists, what single factor acting alone would be a realistic explanation for this price difference?
A.The futures contract is more liquid and easier to trade.
B.The forward contract counterparty is more likely to default.
C.The asset is strongly negatively correlated with interest rates.
D.The transaction costs on the futures contract are less than on the forward contract.
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