Free GARP FRM-Part-2 Exam Questions
Absolute Free FRM-Part-2 Exam Practice for Comprehensive Preparation
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GARP FRM-Part-2 Exam Questions
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Provided By: GARP
- Exam: FRM Exam Part II
- Certification: GARP Certification
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Total Questions: 503
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Updated On: Jan 08, 2025
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Rated: 4.9 |
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Online Users: 1006
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Question 1
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A fund manager owns a portfolio of options on TUV, a non-dividend paying stock. The portfolio is made up of 5,000 deep in-the-money call options on TUV and 20,000 deep out-of-the-money call options on TUV. The portfolio also contains 10,000 forward contracts on TUV. Currently, TUV is trading at USD 52. Assuming 252 trading days in a year, the volatility of TUV is 12% per year, and that each of the option and forward contracts is on one share of TUV, which of the following amounts would be closest to the 1-day 99% VaR of the portfolio?
Answer: C
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A fund manager owns a portfolio of options on TUV, a non-dividend paying stock. The portfolio is made up of 5,000 deep in-the-money call options on TUV and 20,000 deep out-of-the-money call options on TUV. The portfolio also contains 10,000 forward contracts on TUV. Currently, TUV is trading at USD 52. Assuming 252 trading days in a year, the volatility of TUV is 12% per year, and that each of the option and forward contracts is on one share of TUV, which of the following amounts would be closest to the 1-day 99% VaR of the portfolio?
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Question 2
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Assuming a loan portfolio of L, a recovery rate of RR, and the percentage of losses on a portfolio less than V(T, X), which of the following formulas is used to estimate credit VaR?
Answer: A
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Assuming a loan portfolio of L, a recovery rate of RR, and the percentage of losses on a portfolio less than V(T, X), which of the following formulas is used to estimate credit VaR?
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Question 3
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A presentation provided to executive leadership on the top 10 risks an entity is facing should include all of the following except:
Answer: C
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A presentation provided to executive leadership on the top 10 risks an entity is facing should include all of the following except:
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Question 4
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Which of the following statements is most accurate regarding reduced-form versus structural models used to estimate default correlation?
Answer: A
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Which of the following statements is most accurate regarding reduced-form versus structural models used to estimate default correlation?
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Question 5
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The Merton model is different from Moody’s-KMV Expected Default Frequency approach in two key areas. Which of the following statements refers to one of those differences?
Answer: C
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The Merton model is different from Moody’s-KMV Expected Default Frequency approach in two key areas. Which of the following statements refers to one of those differences?