2007 FRM － Mock Exam 模考试题 (131- 135)

131. The current value of the S& 500 index is 1457, and each S& futures contract is for delivery of 250 times the index. A long-only equity portfolio with market value of USD 300,100,000 has beta of 1.1. To reduce the portfolio beta to 0.75, how many S& futures contract should you sell?

a.       288 contracts

b.       618 contracts

c.       906 contracts

d.       574 contracts

132. A bank assigns capital to its traders using component-VaR, which is based on the trading portfolio’s VaR estimated at the 99% confidence level. The market value of the bank’s trading portfolio is HKD 1 billion with a daily volatility of 2%. Of this portfolio, 1% is invested in a trading book with a beta of 0.6 relative to the trading portfolio. The closest estimate of the capital assigned to this trading book is

a.       HKD 279,600

b.       HKD 167,760

c.       HKD 1,977,070

d.       HKD 197,400

133. On January 1, 2006, a pension fund has assets of EUR 100 billion and is fully invested in the equity market. It has EUR 85 billion in liabilities. During 2006, the equity market declined by 15%, and yields increased by 1.2%. If the modified duration of the liabilities is 12.5, what is the pension fund’s surplus on December 31, 2006?

a.       EUR 15.00 billion

b.       EUR 12.93 billion

c.       EUR 12.75 billion

d.       EUR 12.57 billion

134. Considering options generally (i.e., not only plain vanilla calls and puts), which of the following statements about vega is correct?

a.       A deep in-the-money up and out call option has a negative vega.

b.       An option holder can never be vega negative.

c.       A deep out-of-money digital option has a negative vega.

d.       A deep out-of-money up and out call option has a negative vega.

135. Which of the following underlying macroeconomic conditions would leave an emerging market most vulnerable to the contagion effects of a currency crisis?

a.       Large current account surplus, low foreign exchange reserves, nonconvertible currency

b.       Large current account deficit, low foreign exchange reserves, fully convertible currency

c.       Small current account deficit, high foreign exchange reserves, nonconvertible currency

d.       Large current account surplus, low foreign exchange reserves, fully convertible currency