ICBRR 시험 - GARP실제시험문제와 답 - 341문항

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?

A.Spread options
B.Chooser options
C.Binary options
D.Compound options

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Question No : 2

Which one of the following four statements correctly defines chooser options?

A.The owner of these options decides if the option is a call or put option only when a predetermined date is reached.
B.These options represent a variation of the plain vanilla option where the underlying asset is a basket of currencies.
C.These options pay an amount equal to the power of the value of the underlying asset above the strike price.
D.These options give the holder the right to exchange one asset for another.

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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?

A.Vega
B.Rho
C.Delta
D.Theta

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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

A.Increases in value by 0.02.
B.Increases in value by 2.
C.Decreases in value by 0.02.
D.Decreases in value by 2.

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Question No : 5

Which one of the following four statements on factors affecting the value of options is correct?

A.As volatility rises, options increase in value.
B.As time passes, options will increase in value.
C.As interest rates rise and option's rho is positive, option prices will decrease.
D.As the value of underlying security increases, the value of the put option increases.

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Question No : 6

To estimate a partial change in option price, a risk manager will use the following formula:

A.Partial change in option price = Delta x Change in underlying price
B.Partial change in option price = Delta x (1+ Change in underlying price)
C.Partial change in option price = Delta x Gamma x Change in underlying price
D.Partial change in option price = Delta x Gamma x (1+ Change in underlying price)

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Question No : 7

Which of the following statements about the interest rates and option prices is correct?

A.If rho is positive, rising interest rates increase option prices.
B.If rho is positive, rising interest rates decrease option prices.
C.As interest rates rise, all options will rise in value.
D.As interest rates fall, all options will rise in value.

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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?

A.2%
B.7%
C.25%
D.43%

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Question No : 9

Which one of the following four statements correctly defines an option's delta?

A.Delta measures the expected decline in option with time and is usually expressed in years.
B.Delta measures the effect of 1 bp in interest rate change on the option price.
C.Delta is the multiplier that best approximates the short-term change in the value of an option.
D.Delta measures the impact of volatility on the price of an option.

정답:

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?

A.The options positions hedge the forward position by 25%.
B.The option positions hedge the forward position by 50%.
C.The option positions hedge the forward position by 75%.
D.The option positions hedge the forward position by 100%.

정답:

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?

A.His overall portfolio has the same exposure to USD as a portfolio that is long USD 5 million.
B.His overall portfolio has the same exposure to USD as a portfolio that is long USD 10 million.
C.His overall portfolio has the same exposure to USD as a portfolio that is short USD 5 million.
D.His overall portfolio has the same exposure to USD as a portfolio that is short USD 10 million.

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Question No : 12

Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?

A.The underlying relevant exchange rates
B.The underlying interest rates
C.The future volatility of the exchange rates
D.The time to maturity

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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?

A.Underlying exchange rates
B.Underlying interest rates
C.Discrete future stock prices
D.Option exercise price

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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

A.I, III
B.II
C.II, III
D.I, II, III

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Question No : 15

Which one of the following four mathematical option pricing models is used most widely for pricing European options?

A.The Black model
B.The Black-Scholes model
C.The Garman-Kohlhagen model
D.The Heston model

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GARP ICBRR 시험