在備考FRM考試中考生需要做大量的真題練習(xí)，那么在FRM沖刺階段做FRM真題有必要嗎？

在沖刺階段做FRM真題是很有必要的，尤其是近幾年的FRM真題練習(xí)。下面是小編列舉的相關(guān)真題，希望對(duì)你有所幫助！

The credit protection buyer in a total return swap, where the protection seller pays LIBOR plus a spread, is hedged against each of the following risks except for:

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A) Credit deterioration in the reference.

B) Spread risk in the reference.

C) General level of interest rates.

D) Counterparty exposure to the protection seller.

答案：D

解析：The TRS provides a hedge against credit and market risk. In the case of LIBOR, a higher interest rate implies a loss on the reference, however this is hedged by the protection sellers higher payments.

Aportfolio manager enters into a total return swap as the total return receiver. Under which of the following situations, would the portfolio manager be required to make a net outlay to the counterparty?

A) If the transaction was initiated as a hedge. Then no outlay was required

B) If there were a capital gain on the reference asset

C) If the market value of the reference asset decreased significantly

D) If the spread between the reference asset and the benchmark asset changed

答案：C

解析：When the market value of the reference asset decreased, that means a capital loss, hence the total return receiver will be required to pay the net difference. In other words, the total return receiver is exposed to both credit risk and market risk.掃碼預(yù)約

In a total return swap, the:

A) Total return payer bears the risk of holding the reference asset

B) Total return payer transfers the risk of holding the reference asset to the total return receiver

C) Total return receiver transfers the risk of holding the reference asset to the total return payer

D) Credit risk of the buyer and seller cancel each other out

答案：B

解析：In a total return swap, the total return payer transfers the capital gains and losses of the reference asset to the total return receiver.

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