Free GARP FRM-Part-2 Exam Questions

An analyst at a fixed-income investment company is evaluating different ways thecompany uses to estimate the VaR of its corporate bond portfolios. The portfoliosconsist of a large number of bonds with a wide range of maturities. The analystexamines the possibility of using a mapping approach to simplify the estimationprocess. Which of the following statements would the analyst be correct to makeregarding the approaches to mapping fixed-income portfolios?

Which of the following features is least likely a benefit of collateralization?

A bank is located near a college campus and would like to attract students to the bank. Which of the following conditional pricing demand deposit accounts would most likely appeal to a college student?

A risk manager at MAB Funds estimates that the fund’s one-week value at risk (VaR) is $1 million using a 95% probability. The fund can, therefore, be expected to lose:

A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on this historical data, the long-run mean correlation of Dow stocks was 34%, and the regression output estimates the following regression relationship: Y = 0.262 − 0.77X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 33%. What is the estimated one-period autocorrelation for this time period based on the mean reversion rate estimated in the regression analysis?