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GARP Updated 2016-FRR Exam Questions and Answers by ember

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GARP 2016-FRR Exam Overview :

Exam Name: Financial Risk and Regulation (FRR) Series
Exam Code: 2016-FRR Dumps
Vendor: GARP Certification: Financial Risk and Regulation
Questions: 387 Q&A's Shared By: ember
Question 88

Jack Richardson wants to compute the 1-month VaR of a portfolio with a market value of USD 10 million, with an average monthly return of 1% and average monthly standard deviation of 1.5%. What is the portfolio VaR at 99% confidence level?

Probability Cumulative Normal distribution

0.90 1.282

0.91 1.341

0.92 1.405

0.93 1.476

0.94 1.555

0.95 1.645

0.96 1.751

0.97 1.881

0.98 2.054

0.99 2.326

Options:

A.

164,500

B.

232,600

C.

246,750

D.

348,900

Discussion
Question 89

PV01 is a method of describing interest rate risk. Which one of the following is a specific weakness of PV01?

Options:

A.

PV01 overestimates convexity risk

B.

PV01 is not very good at describing value change due to large changes in interest rates

C.

PV01 underestimates the effect of small changes in interest rates

D.

PV01 requires a large number of calculations to produce a reasonable estimate of the effect of interest rate changes

Discussion
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Question 90

Since most consumers of natural gas do not have the ability to store it, they contract with gas suppliers to receive a flow of natural gas equal to a specific number of MMBT's per day (MMBT is millions of British Termal Units, the unit in which gas futures are quoted on the U.S. markets). To protect against price increases with a bank, the natural gas consumer, concerned with the average price over the course of the month, will use the following contracts:

Options:

A.

American options

B.

Asian options

C.

Compound options

D.

Flexible volume options

Discussion
Question 91

What is it called when obligors default at the same time?

Options:

A.

Divergent behavior

B.

Default bias

C.

Herd behavior

D.

Speculative bias

Discussion
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