Free GARP FRM-Part-2 Exam Questions

Which of the following statements most accurately describes the effect of selling a loan without recourse?

A pension fund has $100,000 in assets and $90,000 in liabilities. Assume that theexpected return on the surplus is 5%, and the annual VaR of the surplus is 22% at the 99%confidence level.The initial surplus of the fund is equal to:

In the context of arbitrage trades, if the CDS spread is significantly greater than the bond yield spread, what is the most appropriate action by the investor?

An investment bank has a one-way credit support annex (CSA) on a bilateraltransaction with a hedge fund counterparty. Under the terms of the CSA, the markto-market value of the transaction forms the basis of the hedge fund’s collateralrequirements, which are provided below:Value (CNY)Mark-to-market value of net exposure 25,000,000Mark-to-market value of collateral posted 10,800,000Threshold amount 14,000,000Minimum transfer amount 2,500,000Rounding amount 10,000Assuming the net exposure increases to CNY 27,000,000 and the mark-to-marketvalue of collateral posted has not changed, how much additional collateral will the hedge fund have to post?

A group of risk managers in a newly established asset management firm is assignedto implement the risk management process that includes three fundamentaldimensions: risk planning, risk budgeting and risk monitoring. The managers startby discussing the components of and the guidelines included in the risk plan. Whichof the following statements is correct?