Special Summer Sale 70% Discount Offer - Ends in 0d 00h 00m 00s - Coupon code: Board70

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

Question # 64

Which one of the following four parameters is NOT a required input in the Black-Scholes model to price a foreign exchange option?

Options:

A.

Underlying exchange rates

B.

Underlying interest rates

C.

Discrete future stock prices

D.

Option exercise price

Buy Now
Question # 65

When trading exotic options, one needs to consider the following risks:

I. Spot foreign exchange risks

II. Forward foreign exchange risks

III. Plain vanilla options risks

IV. Option-specific risks

Options:

A.

I, III

B.

II, III, IV

C.

I, II, IV

D.

I, II, III, IV

Buy Now
Question # 66

Which one of the following four model types would assign an obligor to an obligor class based on the risk characteristics of the borrower at the time the loan was originated and estimate the default probability based on the past default rate of the members of that particular class?

Options:

A.

Dynamic models

B.

Causal models

C.

Historical frequency models

D.

Credit rating models

Buy Now
Question # 67

In the United States, foreign exchange derivative transactions typically occur between

Options:

A.

A few large internationally active banks, where the risks become concentrated.

B.

All banks with international branches, where the risks become widely distributed based on trading exposures.

C.

Regional banks with international operations, where the risks depend on the specific derivative transactions.

D.

Thrifts and large commercial banks, where the risks become isolated.

Buy Now
Question # 68

A risk manager is considering how to best quantify option price dynamics using mathematical option pricing models. Which of the following variables would most likely serve as an input in these models?

I. Implicit parameter estimate based on observed market prices

II. Estimates of sensitivity of option prices to parameter changes

III. Theoretical option determination based on assumptions

Options:

A.

I, III

B.

II

C.

II, III

D.

I, II, III

Buy Now
Question # 69

Which one of the following four mathematical option pricing models is used most widely for pricing European options?

Options:

A.

The Black model

B.

The Black-Scholes model

C.

The Garman-Kohlhagen model

D.

The Heston model

Buy Now
Question # 70

Which one of the following four metrics represents the difference between the expected loss and unexpected loss on a credit portfolio?

Options:

A.

Credit VaR

B.

Probability of default

C.

Loss given default

D.

Modified duration

Buy Now
Question # 71

Beta Insurance Company is only allowed to invest in investment grade bonds. To maximize the interest income, Beta Insurance Company should invest in bonds with which of the following ratings?

Options:

A.

AAA

B.

AA

C.

A

D.

B

Buy Now
Question # 72

By lowering the spread on lower credit quality borrowers, the bank will typically achieve all of the following outcomes EXCEPT:

Options:

A.

Aggressively courting of new business

B.

Lower probability of default

C.

Rapid growth

D.

Higher losses in case of default

Buy Now
Question # 73

To manage its credit portfolio, Beta Bank can directly sell the following portfolio elements:

I. Bonds

II. Marketable loans

III. Credit card loans

Options:

A.

I

B.

II

C.

I, II

D.

II, III

Buy Now
Exam Code: 2016-FRR
Exam Name: Financial Risk and Regulation (FRR) Series
Last Update: Apr 2, 2025
Questions: 387
2016-FRR pdf

2016-FRR PDF

$25.5  $84.99
2016-FRR Engine

2016-FRR Testing Engine

$28.5  $94.99
2016-FRR PDF + Engine

2016-FRR PDF + Testing Engine

$40.5  $134.99