GARP International Certificate in Banking Risk and Regulation (ICBRR) 試験
Question No : 1
Which one of the following four exotic option types has another option as its underlying asset, and as a result of its construction is generally believed to be very difficult to model?
Question No : 2
Which one of the following four statements correctly defines chooser options?
Question No : 3
Typically, which one of the following four option risk measures will be used to determine the number of options to use to hedge the underlying position?
Question No : 4
A risk manager is analyzing a call option on the GBP with a vega of 0.02.
When the perceived future volatility increases by 1%, the call option
Question No : 5
Which one of the following four statements on factors affecting the value of options is correct?
Question No : 6
To estimate a partial change in option price, a risk manager will use the following formula:
Question No : 7
Which of the following statements about the interest rates and option prices is correct?
Question No : 8
In the United States, during the second quarter of 2009, transactions in foreign exchange derivative contracts comprised approximately what proportion of all types of derivative transactions between financial institutions?
Question No : 9
Which one of the following four statements correctly defines an option's delta?
Question No : 10
A risk manager has a long forward position of USD 1 million but the option portfolio decreases JPY 0.50 for every JPY 1 increase in his forward position.
At first approximation, what is the overall result of the options positions?
Question No : 11
A risk manager analyzes a long position with a USD 10 million value. To hedge the portfolio, it seeks to use options that decrease JPY 0.50 in value for every JPY 1 increase in the long position.
At first approximation, what is the overall exposure to USD depreciation?
Question No : 12
Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?
Question No : 13
Which one of the following four parameters is NOT a required input in the Black-Scholes model to price a foreign exchange option?
Question No : 14
A risk manager is considering how to best quantify option price dynamics using mathematical option pricing models.
Which of the following variables would most likely serve as an input in these models?
I. Implicit parameter estimate based on observed market prices
II. Estimates of sensitivity of option prices to parameter changes
III. Theoretical option determination based on assumptions
Question No : 15
Which one of the following four mathematical option pricing models is used most widely for pricing European options?