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GARP Updated 2016-FRR Exam Questions and Answers by jeremiah

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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: jeremiah
Question 28

To estimate a partial change in option price, a risk manager will use the following formula:

Options:

A.

Partial change in option price = Delta x Change in underlying price

B.

Partial change in option price = Delta x (1+ Change in underlying price)

C.

Partial change in option price = Delta x Gamma x Change in underlying price

D.

Partial change in option price = Delta x Gamma x (1+ Change in underlying price)

Discussion
Question 29

To safeguard its capital and obtain insurance if the borrowers cannot repay their loans, Gamma Bank accepts financial collateral to manage its credit risk and mitigate the effect of the borrowers' defaults. Gamma Bank will typically accept all of the following instruments as financial collateral EXCEPT?

Options:

A.

Unrated bonds issued and traded on a recognized exchange

B.

Equities and convertible bonds included in a main market index

C.

Commercial debts owed to a company in a form of receivables

D.

Mutual fund shares and similar unit investment vehicles subject to daily quotes

Discussion
Question 30

Which one of the following four parameters is NOT a required input in the Black-Scholes model to price a foreign exchange option?

Options:

A.

Underlying exchange rates

B.

Underlying interest rates

C.

Discrete future stock prices

D.

Option exercise price

Discussion
Question 31

Gamma Bank provides a $100,000 loan to Big Bath retail stores at 5% interest rate (paid annually). The loan also has an annual expected default rate of 2%, and loss given default at 50%. In this case, what will the bank's expected loss be? What is the expected loss of this loan?

Options:

A.

$300

B.

$550

C.

$750

D.

$1,050

Discussion
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