Free GARP FRM-Part-2 Exam Questions

A portfolio manager at a US-based hedge fund has been searching for potentialreturn opportunities in the environment of declining global interest rates experiencedafter the global financial crisis (GFC) of 2007-2009. The manager identifies theexistence of a positive cross-currency basis between two currencies and notes thatthis positive basis has persisted since the GFC. What is the most appropriateexplanation for this persistence?

Within the context of the three lines of defense model, risk champions (or risk specialists) are most likely to be included in which lines?

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?

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?

Unconditional testing does not reflect the: