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 2016-FRR Dumps with Practice Exam Questions Answers

Questions: 342 questions

Last Update: Apr 16, 2024

GARP Certification Exam 2016-FRR has been designed to measure your skills in handling the technical tasks mentioned in the certification syllabus

2016-FRR Exam Last Week Results!

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Exam At Testing Centre

87%

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2016-FRR Questions and Answers

Question # 1

In early March, an energy trader takes a long position in natural gas futures for delivery in June, and hedges this exposure by taking a position in futures for July delivery. These trades were executed on the expectation that over time, the relative prices of the June and July contracts will come into alignment, the movement in these two contracts will largely mirror each other, and as a result of this, the net exposure is minimized and the position is protected against absolute price movements. However, if the two relative prices do not come into alignment with each other due to the scarcity of any of the two traded contracts in the futures market, the trader is likely to become exposed to the

A.

Location basis

B.

Quality basis

C.

Product basis

D.

Calendar spreads basis

Question # 2

Which one of the following four statements represents the advantages of the historical sim-ulation method when calculating VaR?

A.

Solve the problem caused by incorrectly assuming that asset returns are normally distributed.

B.

Rely on current market data to describe the distribution of returns and determine volatilities.

C.

Are believed to be superior in accuracy predicting future levels of realized volatility.

D.

Are only using loss probabilities that can be found in tables of the standard normal distribution.

Question # 3

To estimate the forward price of oil, a commodity trader would most likely use the following pricing relationship:

A.

Oil forward price = Expected future oil price ± Oil market risk premium

B.

Oil forward price = Expected future oil price ± storage cost + Oil market risk premium

C.

Oil forward price = Expected future oil price ± Oil storage cost + (1 + Oil market risk premium)

D.

Oil forward price = Expected future oil price ± Oil storage cost + (1 - Oil market risk premium)

Question # 4

An endowment asset manager with a focus on long/short equity strategies is evaluating the risks of an equity portfolio. Which of the following risk types does the asset manager need to consider when evaluating her diversified equity portfolio?

I. Company-specific projected earnings and earnings risk

II. Aggregate earnings expectations

III. Market liquidity

IV. Individual asset volatility

A.

I

B.

I, IV

C.

II, III

D.

I, II, IV

Question # 5

Banks duration match their assets and liabilities to manage their interest risk in their banking book. Currently, the bank's assets and liabilities both have a duration of 10. To hedge against the risk of decreasing interest rates, the bank should

I. Increase the duration of the liabilities

II. Increase the duration of the assets

III. Decrease the duration of the liabilities

IV. Decrease the duration of the assets

A.

I only.

B.

I and II.

C.

II and III.

D.

I and IV