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2016-FRR Exam Dumps - GARP Financial Risk and Regulation Questions and Answers

Question # 114

James Johnson bought a 3-year plain vanilla bond that has yield of 4.7% and 4% coupon paid annually, for $87,139. Macauley's duration of the bond is 2.94 years. Rate volatility is 20% of the yield. The bond's annualized volatility is therefore:

Options:

A.

3.15%.

B.

2.90%.

C.

2.81%.

D.

2.64%.

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Question # 115

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.

Options:

A.

$26.

B.

$76.

C.

$870.

D.

$976.

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Question # 116

A large number of traders decide to follow the same trading strategy and sell a substantial portion of their physical gold holdings on the markets. The positions held by the traders are an example of what?

Options:

A.

Crowded trades

B.

Basis trades

C.

Disappearance trades

D.

Break trades

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Question # 117

Which among the following are shortfalls of the static liquidity ladder model?

I. The static model gives a liquidity estimate only after the bank faces the liquidity problem.

II. The static model can only make projections over a few days.

III. The static model does not incorporate uncertainty in the analysis.

Options:

A.

I, II

B.

I, III

C.

I, II, III

D.

III

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Question # 118

Which of the following about the ratios between various Tiers of capital is not a requirement of the Basel Committee?

Options:

A.

Tier 2 capital cannot exceed 50% of the bank's total regulatory capital.

B.

Innovative instruments in Tier 1 are limited to a maximum of 15% of Tier 1 capital.

C.

Lower Tier 2 capital may only equal 50% of core capital.

D.

Upper Tier 2 capital may only equal 30% of core capital.

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Question # 119

Alpha Bank estimates its 1-month, 95% VaR is 30 million EUR. This means that in the next month, there is a

Options:

A.

95% chance that AlphaBank can lose more than 30 million EUR.

B.

95% chance that AlphaBank will lose exactly 30 million EUR.

C.

95% chance that AlphaBank can lose at most 30 million EUR.

D.

95% chance that AlphaBank will at least lose 30 million EUR.

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Exam Code: 2016-FRR
Exam Name: Financial Risk and Regulation (FRR) Series
Last Update: Apr 3, 2025
Questions: 387
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