在備考FRM考試中,考生除了要記憶相關(guān)的金融知識點,對于真題也是有必要做的,尤其是近幾年的真題,下文是小編列舉的相關(guān)真題,希望對你有所幫助!
Which of the following statements about a cash collateralized debt obligations (CDO) special-purpose vehicle (SPV) is true?》》》戳:各科視頻講義+歷年真題+21年原版書(PDF版)免·費領(lǐng)取
A) In a cash CDO, the SPV invests in the actual securities that are used to generate payment to the tranches.
B) In a synthetic CDO, the SPV invests in the actual securities that are used to generate payment to the tranches.
C) In a synthetic CDO, the SPV does not invest in the actual securities that are used to generate payment to the tranches. Instead they invest only in a risk-free bond.
D) In a cash CDO, the SPV does not invest in the actual securities that are used to generate payment to the tranches. Instead they invest in a default swap and a risk-free bond.
答案:A
解 析:A cash collateralized debt obligations (CDO) special-purpose vehicle (SPV) invests in the actual securities that are used to generate payment to the tranches. A synthetic CDO's SPV does not invest in the actual securities that are used to generate payment to the tranches. Instead they invest in a default swap and a risk-free bond.
Astandard synthetic CDO (basket credit default swap) references a portfolio of ten (10) individual corporate names. Assume the following:
●The total reference notional (basket notional) is X, and the term is Y years
●The reference notional per individual reference credit name is X/10 (i.e. equal weight per name)
●The default correlations between the individual reference credit names are all equal to one (1.0)
●The single-name credit default swap (CDS) spread for each individual reference credit name is 100 basis points, for a term of Y years
●The assumed recovery rate on default for all individual reference credits is zero in all cases
●The synthetic CDO comprises two tranches, a 50% junior tranche priced at a spread J, and a 50% senior tranche priced at spread SAll else held constant, if the default correlations between the individual reference credit names are reduced from 1.0 to 0.7, what is the effect on the relationship between the junior tranche spread J and the senior tranche spread S?
A) The relationship remains the same
B) S increases relative to J
C) J increases relative to S
D) The effect cannot be determined given the data supplied
答案:C
解析:If the default correlations are initially all 1.0, then the only possible outcomes are that all issuers default at once, or no issuers default.
If the correlation is reduced below 1.0 to 0.70, there are some outcomes where only some issuers default; these cases will impact the junior tranche more than the senior tranche. However, the overall average default rate remains the same.
This means that at a correlation less than 1.0, the junior tranche bears more of the risk than the senior tranche. Therefore, the spread on the junior tranche will increase relative to that of the senior tranche, because the total spread across the entire basket must remain 100bps. The correct choice is C.
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- 報考條件
- 報名時間
- 報名費用
- 考試科目
- 考試時間
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GARP對于FRM報考條件的規(guī)定:
What qualifications do I need to register for the FRM Program?
There are no educational or professional prerequisites needed toregister.
翻譯為:報名FRM考試沒有任何學(xué)歷或?qū)I(yè)的先決條件。
可以理解為,報名FRM考試沒有任何的學(xué)歷和專業(yè)的要求,只要是你想考,都可以報名的。查看完整內(nèi)容 -
2024年5月FRM考試報名時間為:
早鳥價報名階段:2023年12月1日-2024年1月31日。
標(biāo)準(zhǔn)價報名階段:2024年2月1日-2024年3月31日。2024年8月FRM考試報名時間為:
早鳥價報名階段:2024年3月1日-2024年4月30日。
標(biāo)準(zhǔn)價報名階段:2024年5月1日-2024年6月30日。2024年11月FRM考試報名時間為:
早鳥價報名時間:2024年5月1日-2024年7月31日。
標(biāo)準(zhǔn)價報名時間:2024年8月1日-2024年9月30日。查看完整內(nèi)容 -
2023年GARP協(xié)會對FRM的各級考試報名的費用作出了修改:將原先早報階段考試費從$550上漲至$600,標(biāo)準(zhǔn)階段考試費從$750上漲至$800。費用分為:
注冊費:$ 400 USD;
考試費:$ 600 USD(第一階段)or $ 800 USD(第二階段);
場地費:$ 40 USD(大陸考生每次參加FRM考試都需繳納場地費);
數(shù)據(jù)費:$ 10 USD(只收取一次);
首次注冊的考生費用為(注冊費 + 考試費 + 場地費 + 數(shù)據(jù)費)= $1050 or $1250 USD。
非首次注冊的考生費用為(考試費 + 場地費) = $640 or $840 USD。查看完整內(nèi)容 -
FRM考試共兩級,F(xiàn)RM一級四門科目,F(xiàn)RM二級六門科目;具體科目及占比如下:
FRM一級(共四門科目)
1、Foundations of Risk Management風(fēng)險管理基礎(chǔ)(大約占20%)
2、Quantitative Analysis數(shù)量分析(大約占20%)
3、Valuation and Risk Models估值與風(fēng)險建模(大約占30%)
4、Financial Markets and Products金融市場與金融產(chǎn)品(大約占30%)
FRM二級(共六門科目)
1、Market Risk Measurement and Management市場風(fēng)險管理與測量(大約占20%)
2、Credit Risk Measurement and Management信用風(fēng)險管理與測量(大約占20%)
3、Operational and Integrated Risk Management操作及綜合風(fēng)險管理(大約占20%)
4、Liquidity and Treasury Risk Measurement and Management 流動性風(fēng)險管理(大約占15%)
5、Risk Management and Investment Management投資風(fēng)險管理(大約占15%)
6、Current Issues in Financial Markets金融市場前沿話題(大約占10%)查看完整內(nèi)容 -
2024年FRM考試時間安排如下:
FRM一級考試:
2024年5月4日-5月17日;
2024年8月3日(周六)上午;
2024年11月2日-11月15日。FRM二級考試:
2024年5月18日-5月24日;
2024年8月3月(周六)下午;
2024年11月16日-11月22日。查看完整內(nèi)容
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中文名
金融風(fēng)險管理師
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持證人數(shù)
25000(中國)
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外文名
FRM(Financial Risk Manager)
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考試等級
FRM考試共分為兩級考試
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考試時間
5月、8月、11月
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報名時間
5月考試(12月1日-3月31日)
8月考試(3月1日-6月30日)
11月考試(5月1日-9月30日)