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2015年11月FRM一级测试卷(附答案)

发表时间:2015-08-18 来源: 告诉小伙伴:
【编者按】2015年11月FRM一级测试卷(附答案)?各位考生想顺利通过FRM考试,除了掌握专业知识和答题技巧之外,还可以关注金程网校的精品网课,金程网校专业讲师为考生们提供考试复习笔记汇总,帮助考生更好地理解FRM知识,金程祝各位考生考试大捷...

        2015年11月FRM一级测试卷(附答案)

1.Consideraconvertiblebondthatistradingataconversionpremiumof20percent.Ifthevalueoftheunderlyingstockrisesby25percent,thevalueofthebondwill:

        A.Risebylessthan25%.

        B.Riseby25%.

        C.Risebymorethan25%.

        D.Remainunchanged.

       

FRM备考资料全套下载:http://www.gfedu.cn/frm/content_6796.shtml

2.Ifacashflowof$10,000intwoyears'timehasaPVof$8,455,theannualpercentagerate,assumingcontinuouscompoundingisCLOSESTto:

        A.8.13%.

        B.8.39%.

        C.8.75%.

        D.8.95%.

        3.Thecurrentvaluesofafirm'sassetsandliabilitiesare200millionand160millionrespectively.Iftheassetvaluesareexpectedtogrowby40millionandliabilityvaluesby30millionwithinayearandiftheannualstandarddeviationofthesevaluesis50million,thedistancefromdefaultintheKMVmodelwouldbeclosestto:

        A.0.8standarddeviations.

        B.1.0standarddeviations.

        C.1.2standarddeviations.

        D.Cannotnotbedetermined.

        4.Whatisthesemiannual-paybondequivalentyieldonanannual-paybondwithayieldtomaturityof12.51percent?

        A.12.00%.

        B.11.49%.

        C.12.51%.

        D.12.14%.

        5.Youwanttotestatthe0.05levelofsignificancethatthemeanpriceofluxurycarsisgreaterthan$80,000.Arandomsampleof50carshasameanpriceof$88,000.Thepopulationstandarddeviationis$15,000.Whatisthealternativehypothesis?

        A.Thepopulationmeanisgreaterthanorequalto$80,000.

        B.Thepopulationmeanislessthan$80,000.

        C.Thepopulationmeanisnotequalto$80,000.

        D.Thepopulationmeanisgreaterthanis$80,000.

        Answers:

        1.Correctanswer:A

        Theconvertiblebondimplicitlygivesbondholdersacalloptionontheunderlyingstock.Thedeltaofthisoptionwillvarybetween0(whentheoptionisextremelyoutofthemoney)and1(whentheoptionisextremelyinthemoney).Inthiscase,thebondistradingataconversionpremiumof20%sothedeltamustbesomewherebetweenzeroandone,andhencethepriceoftheconvertiblebondwillrisebylessthanthepriceoftheunderlyingstock.金程题库--全球财经第一题库(精题真题、全真模考系统、名师答疑)点击进入【FRM题库】

        2.Correctanswer:B

        Continuouslycompoundedrate=ln(FV/PV)/N=ln(10000/8455)/2=8.39%.

        3.Correctanswer:B

        Distancefromdefault=(Expectedvalueofassets-Expectedvalueofliabilities)/Standarddeviation=(240-190)/50=1.0.

        4.Correctanswer:D:

        Thesemiannual-paybondequivalentyieldofanannual-paybond=2*[(1+yieldtomaturityontheannual-paybond)*0.5-1]=12.14%.

        5.Correctanswer:D

        Thealternatehypothesisisthestatementwhichwillbeacceptedifthenullhypothesisisprovenwrong.Therefore,wemakewhateverwearetryingtotestasthealternatehypothesis-inthiscasethatthemeanpriceofluxurycarsisgreaterthan$80,000,andthenullhypothesisastheopposite(themeanpriceofluxurycarsislessthanorequalto$80,000).Thisproblemisacommonexampleofhowstatisticiansestablishhypothesesbyprovingthattheopposite(i.e.thenullhypothesis)isfalse.

        各位考生想顺利通过FRM考试,除了掌握专业知识和答题技巧之外,还可以关注金程网校的精品网课,金程网校专业讲师为考生们提供考试复习笔记汇总,帮助考生更好地理解FRM知识,金程祝各位考生考试大捷!>>进入直播

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