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发表时间:2015-07-10 来源: 告诉小伙伴:
【编者按】2015年FRM真题解析(二); 每天分享老师精心带来的CFA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. In commodity trading, the exchange removes any daily losses from a trader’s account and adds any gains to the trader’s account. This process is known as:

       A. initial margin.

       B. maintenance margin.

       C. variation margin.

       D. marking to market.

       2. A portfolio manager is constructing a portfolio of stocks and corporate bonds. The portfolio manager has estimated that stocks and corporate bond returns have daily standard deviations of 1.8 percent and 1.1 percent, respectively, and estimates a correlation coefficient of returns of 0.43. If the portfolio manager plans to allocate 35 percent of the portfolio to corporate bonds and the rest to stocks, what is the daily portfolio VAR (2.5 percent) on a percentage basis?

       A. 2.71%.

       B. 3.05%.

       C. 2.57%.

       D. 2.27%.

       3. A corn grower is concerned that the price he can get from the field in mid-September will be less than he has forecasted. To protect himself from price declines, the farmer has decided to hedge. The best available futures contract he can find is for August delivery. Which of the following is the appropriate direction of his position and the source of basis risk that may impact the farmer?

       A. Short futures; correlation.

       B. Long futures; correlation.

       C. Short futures; rollover.

       D. Long futures; rollover.

       4. Two banks enter into a 1-year plain vanilla interest-rate swap with the following terms:

       *Notional principal is $500,000,000.

       *The fixed component of the swap is 7%, which is the current market rate.

       *The floating component of the swap is LIBOR + 200bps.

       If the current risk-free rate is 4 percent, the value for this swap at inception is closest to:

       A. $0.

       B. $500,000,000.

       C. $8,750,000.

       D. $35,000,000.

       5. What is the value of the European call option given below using the Black-Scholes model?

       Spot rate = 120 Strike price = 125 Risk- free rate = 8% Time to expiration = 0.5 years N(d1) = 0.554 N(d2) = 0.498

       A. 1.69.

       B. 4.23.

       C. 6.67.

       D. 11.83.


       1. Correct answer:D.

       To safeguard the clearinghouse, commodity exchanges require traders to settle their accounts on a daily basis. Marking to market is when any loss for the day is deducted from the trader’s account, and any gains are added to the account.

       2. Correct answer : A

       First, calculate the daily percentage VAR for stocks and corporate bonds:

       Stocks: VAR(2.5%)Percentage Basis = z2.5% ? σ = 1.96(0.018) = 0.0353 = 3.53%

       Bonds: VAR(2.5%)Percentage Basis = z2.5% ? σ = 1.96(0.011) = 0.0216 = 2.16%

       Next calculate the portfolio VAR using weights of 35% for bonds and 65% for stocks:

       [0.652(0.03532) + 0.352(0.02162) + 2(0.35)(0.65)(0.0353)(0.0216)(0.43)]0.5 = 0.0271 = 2.71%

       3. Correct answer : C

       The farmer needs to be short the futures contracts. The source of basis risk for this farmer arises from the fact that his contract and harvest dates do not perfectly match. As a result, he will be exposed to basis risk due to a necessary rollover in his position.

       4. Correct answer:A

       The initial value of a swap is always zero. As interest rates move and payments take place, the value of the swap will change for both parties.

       5. Correct answer: C

       Using the Black-Scholes model, the value of a call option

       = Spot price×N(d1) - Strike price×exp(-Risk-free rate×Time to expiration)×N(d2)

       = 120×0.554 - 125×exp(- 0.08 x 0.5) ×0.498

       = 6.671.


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