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質問 1：
Which one of the following four statements does identify correctly the relationship between the value of an
option and perceived exchange rate volatility?
A. As the perceived future foreign exchange volatility decreases, the value of all options increases.
B. As the perceived future foreign exchange volatility increases, the value of all options increases.
C. With increases in perceived future foreign exchange volatility, the value of all foreign exchange
D. Option values can only change due to the factors related to the demand for specific options
正解：B
質問 2：
Which of the following statements about a bank's behavior regarding Risk Adjusted Return on Capital
(RAROC) is correct?
I. A bank should always seek to maximize their overall RAROC.
II. A bank should consider investing in a business even with negative RAROC if it increases the RAROC of
the bank as a whole.
III. A bank should minimize its overall RAROC by controlling the absolute and relative amount of risk of its
businesses.
IV. A bank should maximize its RAROC by always investing in a new business that maximizes the RAROC
for that business unit.
A. II, III, and IV
B. I, II and III
C. I and II
D. II and IV
正解：C
質問 3：
Which of the following factors can cause obligors to default at the same time?
I. Obligors may be harmed by exposures to similar risk factors simultaneously.
II. Obligors may exhibit herd behavior.
III. Obligors may be subject to the sampling bias.
IV. Obligors may exhibit speculative bias.
A. I, II
B. I
C. III, IV
D. II, III
正解：A
質問 4：
Mega Bank has $100 million in deposits on which it pays 3% interest, and $20 million in equity on which it
pays no interest. The loan portfolio of $120 million earns an average rate of 10%. If the rates remain the same,
what is the net interest income of Mega Bank?
A. $5 million per year
B. $9 million per year
C. $12 million per year
D. $2 million per year
正解：B
質問 5：
In the United States, stock investors must comply with the Regulation T of the Federal Reserve Bank and may
borrow up to ___ of the value of the securities from their brokers.
A. 50%
B. 60%
C. 40%
D. 30%
正解：A
質問 6：
An asset manager for a large mutual fund is considering forward exchange positions traded in a clearinghouse
system and needs to mitigate the risks created as a result of this operation. Which of the following risks will be
created as a result of the forward exchange transaction?
A. Exchange rate and interest rate risk
B. Exchange rate risk
C. Credit risk
D. Exchange rate and credit risk
正解：A
Which one of the following four statements does identify correctly the relationship between the value of an
option and perceived exchange rate volatility?
A. As the perceived future foreign exchange volatility decreases, the value of all options increases.
B. As the perceived future foreign exchange volatility increases, the value of all options increases.
C. With increases in perceived future foreign exchange volatility, the value of all foreign exchange
D. Option values can only change due to the factors related to the demand for specific options
正解：B
質問 2：
Which of the following statements about a bank's behavior regarding Risk Adjusted Return on Capital
(RAROC) is correct?
I. A bank should always seek to maximize their overall RAROC.
II. A bank should consider investing in a business even with negative RAROC if it increases the RAROC of
the bank as a whole.
III. A bank should minimize its overall RAROC by controlling the absolute and relative amount of risk of its
businesses.
IV. A bank should maximize its RAROC by always investing in a new business that maximizes the RAROC
for that business unit.
A. II, III, and IV
B. I, II and III
C. I and II
D. II and IV
正解：C
質問 3：
Which of the following factors can cause obligors to default at the same time?
I. Obligors may be harmed by exposures to similar risk factors simultaneously.
II. Obligors may exhibit herd behavior.
III. Obligors may be subject to the sampling bias.
IV. Obligors may exhibit speculative bias.
A. I, II
B. I
C. III, IV
D. II, III
正解：A
質問 4：
Mega Bank has $100 million in deposits on which it pays 3% interest, and $20 million in equity on which it
pays no interest. The loan portfolio of $120 million earns an average rate of 10%. If the rates remain the same,
what is the net interest income of Mega Bank?
A. $5 million per year
B. $9 million per year
C. $12 million per year
D. $2 million per year
正解：B
質問 5：
In the United States, stock investors must comply with the Regulation T of the Federal Reserve Bank and may
borrow up to ___ of the value of the securities from their brokers.
A. 50%
B. 60%
C. 40%
D. 30%
正解：A
質問 6：
An asset manager for a large mutual fund is considering forward exchange positions traded in a clearinghouse
system and needs to mitigate the risks created as a result of this operation. Which of the following risks will be
created as a result of the forward exchange transaction?
A. Exchange rate and interest rate risk
B. Exchange rate risk
C. Credit risk
D. Exchange rate and credit risk
正解：A
Momoi -
とても読みやすい2016-FRR参考書で丁寧な解説ですね。実力をチェックできますから超安心で受験して受かるという