Free GARP FRM-Part-1 Exam Questions

An analyst is using key rate shifts to model the term structure of interest rates. For key rates the analyst has chosen the 1-year, 7-year, and 20-year yields. The rate changes that will have an e ect on a 5-year bond are:

In the context of stress testing principles for banks, which of the following statements is correct regarding wrong-way risk? Wrong-way risk emerges when: there are changes in basis between the opening and closing of a futures

A risk manager at an investment bank is examining the forward and futures contracts the bank’s clients use as hedging instruments. The manager compares the way the two types of contracts are priced, how profits and losses are calculated, and how decisions to offset or deliver against the contracts are made. Which of the following statements is correct?

An analyst is estimating whether a fund's excess return for a quarter is related to interest rates and last quarter's excess return. The regression equation is found to have unconditional heteroskedasticity and serial correlation. Which of the following is most accurate? Parameter estimates will be:

A risk analyst at an asset management company is assessing the past performance of an internally managed equity fund. The analyst obtains the following information on the market and the fund over the last year:• Treynor performance index for the fund: 8.00%• Return of the market portfolio: 5.60%• Beta of the fund: 0.65• Risk-free rate of interest: 1.75%Based on the information above, what is the Jensen’s alpha for the equity fund over the same period?