新版FRM备考资料下载
  • 考纲对比
  • 学习计划
  • 思维导图
  • 复习资料
  • 历年真题
  • 词典及公式

FRM真题练习哪里有真题解析?

很多FRM学员还不知道FRM真题的重要性,考前进行FRM真题练习有效果吗?FRM考试中真题练习真的重要吗?FRM真题练习哪里有真题解析?下文融跃小编为大家列举相关真题介绍!》》》戳:各科视频讲义+历年真题+21年原版书(PDF版)免·费领取

You are currently long $10,000,000 par value, 8% XYZ bonds. To hedge your position, you must decide between credit protection via a 5-year CDS with 60bp annual premiums or digital swap with 50% payout with 50bp annual premiums.After one year, XYZ has defaulted on its debt obligations and currently trades at 60% of par. Which of the following statements is true?

A) The contingent payment from the protection buyer to the protection seller is greater under the single-name CDS than the digital swap.

B) The contingent payment from the protection buyer to the protection seller is less under the single-name CDS than the digital swap.

C) The contingent payment from the protection seller to the protection buyer is greater under the single-name CDS than the digital swap.

D) The contingent payment from the protection seller to the protection buyer is less under the single-name CDS than the digital swap.扫码咨询

答案:D

解析:Choices Aand B can be eliminated because payments in default are made from protection seller to protection buyer. The payoff from the digital swap will be 50% of par value while the payoff from the single name will be 40% (i.e., 1–0.6) of par value.

Commercial Finance has lent $5 million to Barely, Inc. for one year at 7%, and entered into a credit default swap with Credit Insurers for 130 basis points. If the swap calls for semi-annual payments, what is due on the first payment assuming that no default has occurred?

A) Credit Insurers will pay Commercial Finance $32,500.

B) Commercial Finance will pay Credit Insurers $32,500.

C) Commercial Finance will pay Credit Insurers $207,500.

D) Commercial Finance will pay Credit Insurers $142,500.

答案:B

解析:Commercial Finance will pay Credit Insurers the sum equal to: $5 million×0.013/2 = $32,500

如果想要获得更多关于FRM考试的真题解析,点击在线咨询或者添加融跃老师微信(rongyuejiaoyu)