f.yafai
Test por , creado hace más de 1 año

FRM FRM Test sobre THE CONCEPT OF RISK, creado por f.yafai el 26/10/2013.

43
0
0
f.yafai
Creado por f.yafai hace más de 10 años
Cerrar

THE CONCEPT OF RISK

Pregunta 1 de 19

1

If different business and financial markets are known to be correlated:

Selecciona una de las siguientes respuestas posibles:

  • Value at Risk (VaR) is the best mechanism to reduce risk

  • Such risks should be avoided by the treasury management committee

  • Enterprise wide risk is the addition of individual risks

  • The treasurer should not manage risks in isolation

Explicación

Pregunta 2 de 19

1

A risk may be 'accepted and reduced' through

Selecciona una de las siguientes respuestas posibles:

  • Internal controls

  • Monitoring

  • Insurance

  • Derivatives

Explicación

Pregunta 3 de 19

1

In a Risk Management Framework, what activity is most likely to follow Risk Evaluation?

Selecciona una de las siguientes respuestas posibles:

  • Risk Identification

  • Risk Reporting

  • Risk Response

  • Risk Assessment

Explicación

Pregunta 4 de 19

1

You are a treasurer of a listed volume house builder. Which of the following benchmarking information is most likely to be DIFFICULT to obtain?

Selecciona una de las siguientes respuestas posibles:

  • Average six moth LIBOR

  • Industry norm for interest cost as a proportion of input costs

  • Budgeted interest as a proportion of EBITDA for your company

  • Average interest cover of three main listed competitors

Explicación

Pregunta 5 de 19

1

A company expects a $10 million receipt in one month's ( 30 days ) time and will invest these funds for three months (91 days) until they are required in the business.
By taking out an FRA, which of the following BEST describes the 'risk response' that Company A has taken to the $ interest rate risk?

Selecciona una de las siguientes respuestas posibles:

  • Avoid

  • Accept and retain (monitor)

  • Accept and reduce ( internal controls)

  • Accept and transfer (hedge)

Explicación

Pregunta 6 de 19

1

In a typical risk management framework, which of the following tasks would be the most likely to be carried out at the Risk Assessment stage?

Selecciona una de las siguientes respuestas posibles:

  • Assess when to control, avoid or transfer risk

  • Classify risk by source

  • Carry out detailed scenario analysis

  • Prioritise risks

Explicación

Pregunta 7 de 19

1

In a probability/impact matrix, the severity of consequence is LEAST likely to be measured in terms of:

Selecciona una de las siguientes respuestas posibles:

  • Earnings per share

  • Net debt: EBITDA

  • Probability of occurrence

  • Value at Risk

  • Absolute loss per even

Explicación

Pregunta 8 de 19

1

In a typical risk management framework, which of the following activities would be most likely to include a VaR calculation?

Selecciona una de las siguientes respuestas posibles:

  • Risk Identification

  • Risk Assessment

  • Risk Evaluation

Explicación

Pregunta 9 de 19

1

Which of the following time horizons are LEAST appropriate when assessing the frequency of a risk even in a Probability/Impact Matrix

Selecciona una de las siguientes respuestas posibles:

  • Days, for FX exposure in financial service business

  • Minuties, for risk of delay in batch processing

  • Hours, for EPS measurement for a service industry

  • Weeks, for commodity prices relevant to a manufacturer

Explicación

Pregunta 10 de 19

1

Treasury policy is most likely to prohibit:

Selecciona una de las siguientes respuestas posibles:

  • Maintaining a forward contract after the corresponding exposure has expired

  • Choosing not to hedge a known future foreign currency cash inflow or outflow

  • Choosing to delay hedging a material highly probable future transaction

  • Purchasing option contracts to hedge known future income streams

Explicación

Pregunta 11 de 19

1

An investment portfolio of USD shares has a value of USD 100 million and daily value standard deviation of EUR 250,000. The current exchange rate is EUR/USD 1.48, What is the best estimate of the daily Value at Risk at a 95 confidence level in EUR? Before you start on this type of question:
Make a note of the currency for the amount of VaR.
Make a note of the given standard deviation. Is it in the same currency as the amount of the VaR? If yes, you can ignore any forex rate details.

Selecciona una de las siguientes respuestas posibles:

  • 41,000

  • 61,000

  • 279,000

  • 280,000

  • 410,000

  • 610,000

Explicación

Pregunta 12 de 19

1

A US company holds USD 10 million of EUR dominated assets. The EUR/USD 30 day standard deviation is 1.6%, the EUR/USD spot rate is 1.6000, and the z score at 95% confidence is 1.65. what is the best estimate of the 95% 30 day value at risk on the EUR denominated assets?

Selecciona una de las siguientes respuestas posibles:

  • $95,000

  • $155000

  • $165000

  • $265000

  • $420000

Explicación

Pregunta 13 de 19

1

A US company holds USD 10 million of EUR dominated assets. The EUR/USD 30 day standard deviation is 1.6%, the EUR/USD spot rate is 1.6000, and the z score at 95% confidence is 1.65. what is the best estimate of the 95% 30 day value at risk on the EUR denominated assets?

Selecciona una de las siguientes respuestas posibles:

  • $95,000

  • $155000

  • $165000

  • $265000

  • $420000

Explicación

Pregunta 14 de 19

1

What is the daily VaR at 95% confidence level for a USD 5 million exposure against GBP if the standard deviation for the daily change in USD/GBP is 0.5000%

Selecciona una de las siguientes respuestas posibles:

  • USD 2,375

  • USD 4,125

  • USD 5,825

  • USD 23,750

  • USD 41,250

Explicación

Pregunta 15 de 19

1

An asset has a current value of 25 with a one-month standard deviation of 3. Its value follows a normal distribution. The best estimate of the probability of the investment being worth between 22 and 28 in one month's time is:

Selecciona una de las siguientes respuestas posibles:

  • 16%

  • 32%

  • 34%

  • 66%

  • 68%

Explicación

Pregunta 16 de 19

1

Red expects to convert USD 50 million into EUR in 6 months. Current rates are:
EUR/USD spot rate 1.1598
EUR/USD 6 months forward rate 1.1669
If the 6 month EUR/USD standard deviation is 6% what is the best estimate of the EUR value at risk on this receipt, in EUR, at a 99% confidence level?

Selecciona una de las siguientes respuestas posibles:

  • 4 million

  • 5 million

  • 6 million

  • 7 million

Explicación

Pregunta 17 de 19

1

The two dimensions of a risk occurrence are

Selecciona una de las siguientes respuestas posibles:

  • uncertainty and VaR

  • Probability and Impact

Explicación

Pregunta 18 de 19

1

Is it true that:

Selecciona una de las siguientes respuestas posibles:

  • Deterministic models predict future outcomes precisely

  • VaR CANNOT take account of asset correlations

  • Debt/EBITDA is NOT used to measure risk

Explicación

Pregunta 19 de 19

1

EUR/GBP spot is currently 0.7000, has a 30 day standard deviation of 8%, and can be assumed to be normally distributed. At a confidence level of 95%, EUR 7 million due to be received in 30 days will be worth at least GBP million:

Selecciona una de las siguientes respuestas posibles:

  • 4.0

  • 4.3

  • 4.9

  • 5.7

  • 6.1

  • 7.0

Explicación

Anterior
Siguiente