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发表时间:2015-05-09 来源: 告诉小伙伴:
【编者按】本文主要是每天分享老师精心带来的FRM历年真题以及考试答案的详细解析,帮助学员在学习中快速的提升考试成绩,加强练习。

亲爱的考生,为了帮助广大学员在2015年FRM备考中取得良好的成绩,金程网校为大家开设了FRM考试专栏,每天分享老师精心带来的FRM历年真题以及考试答案的详细解析,帮助学员在学习中快速的提升考试成绩,加强练习。

 

1.A firm has just issued $1,000 face value bonds with a coupon rate of 8%, paid     semi-annually, and a maturity of 15 years. If the issue price for this bond is $785.50, what is the yield-to-maturity, stated annually?

  A.       9.872%

  B.       10.365%

  C.       10.942% 

  D.       11.120% 

金程frm答案: C

  Using a bond calculator, PV= -785.5; FV=I000; N=30(15×2); PMT =40(1000×0.08/2). Solving for I/Y we get 5.471×2=10.942.

  相关知识点: Yield to Maturity

  The YTM of a fixed-income security is equivalent to its internal rate of return. The YTM is the discount rate that equates the present value of all cash flows associated with the instrument to its price. The yield to maturity assumes cash flows will be reinvested at the YTM and assumes that the bond will be held until maturity.

 2. A sample has the following characteristics

♦ The mean of the sample is 3.5%.

♦ Standard deviation is 2.5%.

♦ 900 observations in the sample.

Which is the standard error of the mean estimate?

A. 0.117%

B. 0.083%

C. 0.053%

D. 0.075%

金程frm答案: B

3. Risk management activities can increase firm value when:

  I. commodity risk is hedged.

  II. the firm's claimholders cannotreplicate the results of the firm's hedging activity.

  III. there is a sufficient number ofclaimholders.

  IV. the firm's claimholders aresufficiently risk averse.

  a. I and IV only.

  b. II Only.

  c. II and III only.

  d. I, II, and IV.

  金程frm答案解析:选B

  Risk management activities can increasefirm value when the firm's claimholders cannot take actions to replicate theresults of hedging activity. Claimholders are willing to pay for the firm to dosomething they cannot do on their own accounts. (See Book 1, Topic 3)

4. Which of the following statements regarding option"Greeks" is(are) correct?

  I. Vega measures the sensitivity of optionprices to changes in volatility.

  II. Forward instruments cannot be used tocreate gamma-neutral positions.

  III. Rho is a much more important riskfactor for equities than for fixed-income derivatives.

  IV. Theta represents the expected change indelta For a change in the value of the underlying.

  a. I and III only.

  b. I and II only.

  c. IV only.

  d. I, II, and IV.

  金程frm答案解析:选 B

  Gamma represents the expected change indelta for a change in the value of the underlying. Large changes in rates haveonly small effects on equity option prices, so rho is a more important riskfactor for fixed-income derivatives. (See Book 2, Topic 42)

5. What are the minimum values of an American-style and aEuropean-style 3-month call option with a strike price of $80 on anon-dividend-paying stock trading at $86 if the risk-free rate is 3%?

  American  European

  a. $6.00      $6.00

  b.  $6.00     $5.96

  c. $6.59      $6.00

d.  $6.59     $6.59

金程frm解析如下:

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