Free GARP FRM-Part-2 Exam Questions

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?

The CRO of a regional mortgage lender has asked an enterprise risk manager todevelop a set of policies and procedures for the firm’s operational risk reporting. Themanager considers appropriate policies for the governance of the firm’s riskreporting framework and also assesses how the firm should structure its risk reportsfor different stakeholder groups and organizational functions. Which of the followingwould be most appropriate for the manager to recommend?

Three and a half months ago, XYZ Manufacturing lost their single largest customer, and the company stopped service of all debt payments to ABC Bank. The bank has seized some collateral, but they are working with XYZ as they form plans to find new customers and build a better future. For now, the loans to XYZ Manufacturing should most likely be classified as:

The Bureau of Labor Statistics has just reported an unexpected short-term increase in high-priced luxury automobiles. What is the most likely anticipated impact on a mean-reverting model of interest rates?

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?