Online Access Free GARP.2016-FRR.v2022-01-17.q125 Practice Test (Page 5)

2016-FRR Exam Question 16

Which of the following statements describes correctly the objectives of position mapping ?

A.Position mapping models risk factors affecting the value of a position as combination of core risk factors
used in the VaR calculations.

B.I, II and III

C.I and II

D.For VaR calculations, mapping converts positions based on their deltas to underlying factor risks.

E.II, III, and IV

F.II and IV

G.Position mapping reduces the possible number of risk factors to a computationally manageable level.

H.Position mapping groups similar positions into one group based on the closeness of their respective
VaR.

2016-FRR Exam Question 17

Which of the following statements represents a methodological difference between variance-covariance and
full revaluation methods?

A.Variance-covariance approach provides computational advantages over the full revaluation approach.

B.Variance-covariance approach prices positions more accurately than the full revaluation approach.

C.Variance-covariance approach uses only historic data to compute the covariance matrix.

D.Variance-covariance approach computes the VAR for each position separately, while the full revaluation
method computes the VAR on a portfolio basis.

2016-FRR Exam Question 18

The skewness of ABC company's stock returns equal -1.5. What is the correct interpretation of this?

A.It indicates lower probability of extreme negative events compared to the normal distribution.

B.It indicates higher relative probability of extreme events than non-extreme events compared to estimates
from a normal distribution.

C.It indicates that the returns are indeed normally distributed.

D.It indicates higher relative probability of negative returns compared to estimates derived from a normal
distribution.

2016-FRR Exam Question 19

Bank Zilo has $2 million in cash and $10 million in loans coming due tomorrow with an expected default rate
of 1%. The proceeds will be deposited overnight. The bank owes $ 10 million on a securities purchase that
settles in two days and pays off $9 million in commercial paper in three days that is not expected to renew.
How much money should the bank plan to raise so as to avoid a liquidity problem?

A.$712 million

B.$710 million

C.$650 million

D.$700 million

2016-FRR Exam Question 20

A portfolio manager is interested in computing risk measures for his bond investment portfolio. Which of the
following measures the sensitivity of duration to interest rates?

A.Credit spread.

B.Convexity.

C.Yield curve

D.Modified duration.

Other Version: 4792GARP.2016-FRR.v2022-05-06.q121; 97GARP.Surepassexams.2016-FRR.v2022-01-22.by.xaviera.121q.pdf; 48GARP.Itpassleader.2016-FRR.v2021-08-29.by.yvette.108q.pdf

Latest Upload: 164ACSM.020-222.v2025-09-11.q48; 156VMware.5V0-31.23.v2025-09-10.q73; 130Oracle.1z0-915-1.v2025-09-10.q24; 159Citrix.1Y0-231.v2025-09-10.q87; 134SAP.C-THR85-2505.v2025-09-09.q29; 164Adobe.AD0-E727.v2025-09-09.q76; 129Oracle.1Z0-1123-25.v2025-09-09.q20; 134SAP.C_SIGPM_2403.v2025-09-08.q20; 251EXIN.ITIL.v2025-09-08.q161; 169BCS.PC-BA-FBA-20.v2025-09-08.q45

2016-FRR Exam Question 16

2016-FRR Exam Question 17

2016-FRR Exam Question 18

2016-FRR Exam Question 19

2016-FRR Exam Question 20

Download PDF File