第三期FRM考前冲刺有奖竞答赛答题解析-FRM备考经验-高顿财经FRM培训

第三期FRM考前冲刺有奖竞答赛答题解析

2018-10-29 10:52 未知责编：Frm_Ren

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　　竞答须知：

　　1.本期竞赛共计10道题，答题、打卡及邀请皆可获取积分。

　　2.每期竞赛积分排行榜前10名有机会抽取高小吉公仔一只。连续三期排行榜第一名赠送FRM官方指定考试专用计算器一个。

　　3.本期答题即日起至11月1号23点59分截止，请大家在活动期间参与答题。

　　4.答题仅限实名制参与，每人仅限一次提交机会，如若发现作弊，取消活动资格。

　　5.活动等相关问题，请添加微信高顿Herman(ID:Chinesefrm)咨询。

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　　1.Answer:B

　　Solution:

　　Arbitrageurs attempt to earn a riskless profit by exploiting the mispricing of securities.

　　2.Answer:A

　　Solution:

　　Futures accounts are marked to market daily based on the new settlement price,which can result in either an addition to or subtraction from the previous margin balance.Under extraordinary circumstances(volatility)the mark to market can be required more frequently.Once the margin is marked to market,the contract is effectively a futures contract at the new settlement price.

　　3、Answer:D

　　Solution:

　　The futures contract ended at 995 on the first day.This represents a decrease in value in the position of 5×250×60=$75,000.The initial margin placed by the manager was$12,500*60=$750,000.The maintenance margin for this position requires$10,000*60 or$600,000.Since the value of the position declined$75,000 on the first day,the margin account is now worth$675,000,and will not require a variation margin to bring the position to the proper margin level.

　　4、Answer:B

　　Solution:

　　Because Fullen is long the portfolio,he will want to short futures contracts.number of contracts=βportfolio×(portfolio value/value of futures contract).The value of the futures contract=1,050×250=$262,500.number of contracts=0.75×($25,000,000/$262,500)=71 contracts.

　　5、Answer:B

　　Solution:

　　%DPrice=[-7.5*0.0082*100]+[(1/2)*104*0.00822*100]=-5.80%.

　　6.Answer:D

　　Solution:

　　The change in assets would be an increase of($100)(8.5)(0.005)=$4.25 million,whereas the change in liabilities would be an increase of($90)(6.5)(0.005)=$2.925 million.The net effect would be an increase in equity of$1.325 million.

　　7、Answer:C

　　Solution:

　　1015e(0.041-0.02)(0.25)=1020.34

　　8、Answer:C

　　Solution:

　　At the inception of the forward contract,the delivery price would have been:

　　1,150e(0.044-0.018)(0.5)=$1,165.05.

　　The value to the long position after three months is:1,075e(-0.018)(0.25)-1,165.05e(-.044)(.25)=1,070.17-1,152.31=-$82.41.Therefore,the value of the short position is$82.41.

　　9、Answer:A

　　Solution:

　　Credit risk is the main criticism of the comparative advantage argument,which fails to take into account the fact that a swap participant faces credit risk.

　　10.Answer:B

　　Solution:

　　The value of the fixed-rate component of the swap is($50×1.065)e(-0.0575)=$50.27M.The value of the floating-rate component of the swap is($50×1.0625)e(-0.0575)=$50.16M.Hence,the value of the swap to this counterparty is$50.16M-$50.27M=-$110,000.

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