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質問 1：
Using the definitions used by JPMorgan Chase in their annual report, which of the following exposure types
would be considered as a non-trading risk exposure?
I. Short term equity investments
II. Loans held to maturity
III. Mortgage servicing rights
IV. Derivatives used to manage asset/liability exposure.
A. III and IV
B. II and III
C. II, III, and IV
D. I and II
正解：C
質問 2：
According to Basel II what constitutes Tier 3 capital?
A. Preference shares that confer on issuers the right to defer payment of a fixed dividend.
B. Subordinated debt issues that pay interest.
C. Debt capital that can only be used to support market risk in the trading book of the bank.
D. Hybrid debt capital instruments that are similar to equity.
正解：C
質問 3：
Which one of the four following statements about back testing the VaR models is correct?
Back testing requires
A. Plotting the daily profit and losses along with the ranges predicted by VaR models
B. Plotting VaR forecasts against the proportion of daily losses exceeding the average loss.
C. Comparing the predictive ability of VaR on a daily basis to the realized daily profits and losses.
D. Determining the proportion of daily profits exceeding those predicted by VaR.
正解：C
質問 4：
Which one of the following four options is NOT a typical component of a currency swap?
A. Denomination of the original notional amount into a foreign currency
B. Periodic exchange of interest payments in different currencies
C. An initial currency exchange of the notional amount
D. A final currency exchange
正解：A
質問 5：
When considering the advantages of operational risk function owned by the Chief Compliance Officer in a
financial institution, an operational risk manager consultant suggests that this governance approach will have
all of the following advantages except:
A. The operational risk function quickly inherits an existing reporting structure, established meeting
schedules and functional reporting cycles from the compliance function.
B. In accordance with Basel II Accord, the operational risk function should report directly into the audit
function and strengthen that function.
C. The operational risk function is closely linked in a partnership with the compliance function to leverage
data and assessment activities.
D. This governance structure maintains an independent operational risk function.
正解：B
質問 6：
A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this
portfolio is to changes in interest rates. Which one of the following four metrics is typically used for this
purpose?
A. Duration of default
B. Modified duration
C. Effective duration
D. Macaulay duration
正解：B
Using the definitions used by JPMorgan Chase in their annual report, which of the following exposure types
would be considered as a non-trading risk exposure?
I. Short term equity investments
II. Loans held to maturity
III. Mortgage servicing rights
IV. Derivatives used to manage asset/liability exposure.
A. III and IV
B. II and III
C. II, III, and IV
D. I and II
正解：C
質問 2：
According to Basel II what constitutes Tier 3 capital?
A. Preference shares that confer on issuers the right to defer payment of a fixed dividend.
B. Subordinated debt issues that pay interest.
C. Debt capital that can only be used to support market risk in the trading book of the bank.
D. Hybrid debt capital instruments that are similar to equity.
正解：C
質問 3：
Which one of the four following statements about back testing the VaR models is correct?
Back testing requires
A. Plotting the daily profit and losses along with the ranges predicted by VaR models
B. Plotting VaR forecasts against the proportion of daily losses exceeding the average loss.
C. Comparing the predictive ability of VaR on a daily basis to the realized daily profits and losses.
D. Determining the proportion of daily profits exceeding those predicted by VaR.
正解：C
質問 4：
Which one of the following four options is NOT a typical component of a currency swap?
A. Denomination of the original notional amount into a foreign currency
B. Periodic exchange of interest payments in different currencies
C. An initial currency exchange of the notional amount
D. A final currency exchange
正解：A
質問 5：
When considering the advantages of operational risk function owned by the Chief Compliance Officer in a
financial institution, an operational risk manager consultant suggests that this governance approach will have
all of the following advantages except:
A. The operational risk function quickly inherits an existing reporting structure, established meeting
schedules and functional reporting cycles from the compliance function.
B. In accordance with Basel II Accord, the operational risk function should report directly into the audit
function and strengthen that function.
C. The operational risk function is closely linked in a partnership with the compliance function to leverage
data and assessment activities.
D. This governance structure maintains an independent operational risk function.
正解：B
質問 6：
A risk associate evaluating his current portfolio of assets and liabilities wants to determine how sensitive this
portfolio is to changes in interest rates. Which one of the following four metrics is typically used for this
purpose?
A. Duration of default
B. Modified duration
C. Effective duration
D. Macaulay duration
正解：B
Pirates -
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Pass4Testの2016-FRR問題集を使って勉強し、合格することができました。
解説が充実しており、とてもわかりやすかったです。