8006試験無料問題集（290題）「PRMIA Exam I: Finance Theory Financial Instruments Financial Markets

出題：1

An investor believes that the market is likely to stay where it is. Which of the following option strategies will help him profit should his view be proven correct (assume all strategies described below are long only)?

A. Butterfly spread

B. Straddle

C. Collar

D. Strangle

正解：A 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：2

Futures initial margin requirements are

A. determined by the members based on the SPAN framework

B. determined based on the client's credit history

C. determined by the exchange

D. determined based on the length of the settlement period

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：3

Which of the following reflects the pricing convention for currency forwards, where one of the currencies is USD?

A. It can be quoted either way, based on whether the contract is for a short maturity or long

B. Forward forex prices are always quoted as the number of units of the foreign currency that one US dollar can buy

C. It depends upon the currency - futures forex prices follow the same convention as for spot prices

D. Forward forex prices are always quoted as the number of US dollars one unit of the foreign currency can buy

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：4

Which of the following statements is a correct description of the phrase present value of a basis point?

A. It refers to the present value impact of 1 basis point move in an interest rate on a fixed income security

B. It is the principal component representation of the duration of a bond

C. It refers to the discounted present value of 1/100th of 1% of a future cash flow

D. It is another name for duration

正解：A 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：5

The transformation line has a y-intercept equal to

A. the expected portfolio standard deviation

B. the expected rate of return

C. the risk-free rate

D. zero

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：6

If r be the yield of a bond, which of the following relationships is true:

A. Modified Duration x (1 + r) = Macaulay Duration

B. - Modified Duration / (1 + r) = Macaulay Duration

C. Modified Duration / (1 + r) = Macaulay Duration

D. - Modified Duration x (1 + r) = Macaulay Duration

正解：A 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：7

An equity portfolio manager desires to be 'market neutral'. His portfolio is valued at $10m and has a beta of
0.7 to the broad market index. The index is currently at 1000 and an index contract multiplier is specified as
250. What should he do to make the beta of his portfolio zero?

A. Buy 28 contracts of the index futures contract

B. Sell 28 contracts of the index futures contract

C. Buy 40 contracts of the index futures contract

D. Sell 40 contracts of the index futures contract

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：8

Which of the following is NOT a historical event which serves as an example of a short squeeze that happened in the markets?

A. The great Chicago fire, 1872

B. The CDO squeeze, 2008

C. The wheat squeeze, 1866

D. The great silver squeeze, 1979-80

正解：B 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：9

[According to the PRMIA study guide for Exam 1, Simple Exotics and Convertible Bonds have been excluded from the syllabus. You may choose to ignore this question. It appears here solely because the Handbook continues to have these chapters.] The profit potential from the conversion of convertible bonds into stock is limited by

A. conversion premium charged by the issuer

B. volatility of the stock

C. a rise in interest rates

D. the issuer's option to call the security at short notice

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：10

Which of the following statements are true:
I. Implied volatility refers to volatility estimates made by risk managers for their VaR calculations II. Implied volatility is generally observed to be constant across strikes and expiries, as otherwise we would have riskless arbitrage possible.
III. Volatility smile refers to the shape of the implied volatility curve across different strike prices IV. An option portfolio cannot have negative theta

A. III and IV

B. I and III

C. III

D. I, II and IV

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：11

Given identical prices, a bond trader prefers dealing with Bank A over Bank B. Given a choice between Bank B and Bank C, he prefers Bank B. Yet, when given a choice between Bank A and Bank C, he prefers dealing with Bank C. What axiom underlying the utility theory is he violating?

A. Continuity of choice

B. He is not violating anything

C. Stochastic dominance

D. Transitivity of choice

正解：D 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

出題：12

Calculate the settlement amount for a buyer of a 3 x 6 FRA with a notional of $1m and contract rate of 5%.
Assume settlement rate is 6%.

A. Receive $9434

B. Pay $9434

C. Receive $2463

D. Pay $2463

正解：C 解答を投票する

解説: (GoShiken メンバーにのみ表示されます)

8006試験無料問題集「PRMIA Exam I: Finance Theory Financial Instruments Financial Markets - 2015 Edition 認定」