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FRM真题解析,帮助考生掌握解题思路!

FRM真题的练习对于备考中的考生是很重要的,尤其是近几年的真题练习。下面是小编列举的相关真题解析,帮助考生掌握解题思路!

The following statements compare a highly liquid asset against an (otherwise similar) illiquid asset. Which statement is most likely to be false?

A) It is possible to trade a larger quantity of the liquid asset without affecting the price.

B) The liquid asset has a smaller bid-ask spread.

C) The liquid asset has higher price volatility since it trades more often.

D) The liquid asset has higher trading volume.

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答案:C

解析:Aliquid asset has a smaller bid-ask spread, higher trading volume, less price impact from a large trade, but not necessarily higher volatility than an otherwise comparable illiquid asset.

Jeremy Park and Brian Larksen are both portfolio managers who hold identical long positions worth GBP 100 million in the FTSE 1000 index. To hedge their respective portfolios, Park shorts TSE 1000 futures contracts while Larksen buys put options on the FTSE 1000. Who has a higher Liquidity-at-Risk (LaR) measure?

A) Larksen

B) Park

C) Both have the same LaR

D) Insufficient information to determine

答案:B

解析:The futures positions are exposed to margin calls in the event that the FTSE 1000 increases. Park, with the short futures position, is thus exposed more to liquidity risk (cash flow risk). The Park portfolio, hedged with the short futures contract, will thus have the higher LaR.扫码领取

One potential solution for mitigating the liquidity risk caused by derivatives counterparties exiting their large dealer bank exposures is most likely the:

A) Use of central clearing.

B) Use of a novation through another dealer bank.

C) Requirement of dealer banks to pay out cash to reduce counterparty exposure.

D) Creation of new contracts by counterparties.

答案:A

解析:One potential solution for mitigating the liquidity risk caused by derivatives counterparties exiting their large dealer bank exposures is the use of central clearing through a counterparty. However, central clearing is only effective when the underlying securities have standardized terms. The reduction of a counterparty’s exposure through novation, entering new offsetting contracts, or requiring a dealer bank to cash out of a position will all reduce the liquidity of the dealer bank.

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