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发布时间：2024-01-05 04:02:53
2013年05月FRM一级模拟考试（一）_参考答案1.Answer:DTheMonteCarloapproachallowsforwhateverrelationshipstheVARmodelerwouldliketotakeintoaccountItisthemostflexiblemethodforgeneratingVAR;however,itcomesatacostofrequiringsubstantialcomputingpower,especiallywhenthemodelusedtogenerateportfoliorelationshipsiscomplex.2.Answer:AToobtainthed(1.0discountfactor,firstsolveford(0.5,Intheequationbelow,thepriceforBondAisequatedtoitsterminalcashflowinsixmonths,whichistheprincipalplusthesemiannualcouponof$3.00.101.182=103.00×d(0.5d(0.5=0.9823NextusethepriceandcashflowsofBondBtocalculatethed(l.0discountfactor.Thecashflowinsixmonthsisthesemiannualcouponof$6.00andisdiscountedbyd(0.5.Thecashflowinoneyearistheprincipalplusthesemiannualcouponof$6.00.102.341=6.00×d(0.5+106.00×d(1.0102.341=6.00×0.9823+106.00×d(1.0d(1.0=0.90993.Answer:CTheunusedlinesofcreditareanexampleofaresourceadvantage,specificallybypreservingdebtcapacity.(SeeBook1,Topic14.Answer:DSharperatio=[E(Rp-RF]/σ(2.5-3.5/21=-0.0476Sortinoratio=[E(Rp-R.min]/(semi-standarddeviation(2.5-3.5/16=-0.0625Thedifferencebetweenthesetworatiosis:-0.0625-(-0.0476=-0.0149.5.Answer:AThelevelofsignificanceistheprobabilityofrejectingthenullhypothesiswhenitistrue.Thenullhypothesiswillberejectedifthez-statisticisgreaterthan1.645.6.Answer:DTocomputethepriceofthebond,discounteachcashflowbacktothepresentattheappropriate
spotrates.$1.75isthecouponpaymentperperiod.Period3paysprincipalpluscouponof$101.75.Thefirstpaymentcomputationisasfollows:N=0.5I=2.2%FV=1.75SolveforPV→1.73Maturity(yearsSpotrate（%）PV0.52.20%1.731.02.25%1.711.52.30%1.692.02.35%1.672.52.40%1.653.02.45%94.62Bondprice103.07(SeeBook3,Topic237.Answer:DAstrapisbettingonvolatilityinabullishmarketsinceitpaysoffmoreontheupside.8.Answer:BThecostofequityforSTTisequalto:risk-freerate+(betaxequityriskpremiumcostofequity=3%+[1.6x(5%+2%=14.2%ThecostofdebtforSTTisequalto:costofborrowingx(1—marginaltaxrateCostofdebt=10%x(1—0.35=6.5%Notethatthecostofborrowingcouldalsobecomputedas:risk-freerate+defaultspread=3%+7%=10%.GivenSTT’scapitalstructuremixof55%equityand45%debt,itsweightedaveragecostofcapitaliscomputedas:WACC=(55%x14.2%+(45%x6.5%=10.735%(SeeBook1,Topic19.Answer:DStandarddeviation=160,000=400;400/100=40Theresearcheriscorrectthatapossibleconsequenceofincreasingthesamplesizeissamplingmorethanonepopulation.Inaddition,increasingsamplesizewillincreaseitscosts.Theneedforadditionalprecisionmustbebalancedwithcostandtheriskofsamplingmorethanonepopulation.10.Answer:DSolveforthefacevalue(Fusingthefollowingformula:
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