Free GARP FRM-Part-2 Exam Questions

Which of the following statements about portfolio losses and default correlation are most likely correct?I. Increasing default correlation decreases senior tranche values but increases equity tranche values.II. At high default rates, increasing default correlation decreases mezzanine bond prices.

A portfolio has an equal amount invested in two positions, X and Y. The expected excess return of X is 9% and that of Y is 12%. Their marginal VaRs are 0.06 and 0.075, respectively. To move toward the optimal portfolio, the manager will probably:

A regional bank wants to improve its operational resilience to help keep pace with emerging best practices in this area. A consultant hired by the bank recommends that it establish a set of impact tolerances to improve its resilience. Which of the following correctly describes a potential benefit to the bank of establishing an impact tolerance?

Which of the following methods is not one of the three approaches for mapping a portfolio of fixed-income securities onto risk factors?

Bank, Inc., (Bank) operates in the United States and has a service contract in place with Service Co. (Service), which operates in France. Service manages a significant amount of confidential customer data for Bank, and recently a computer glitch at Service resulted in the accidental public disclosure of confidential customer data. As a result of the data breach, which of the following risks is Bank least likely to face?