FRM一级的考试题量非常的大，加上时间紧张，平均算来2分钟就需要完成一题。而很多时候，题干非常长，若不能及时抓住关键词，就难以完成考试。大家在平时的练习中，一定要锻炼自己的答题感觉，提高读题、做题速度。接下来高顿教育小编整理了一些
frm一级习题，供大家练习。
1.Mortgage-backed securities(MBS)are a class of securities where the underlying is a pool of mortgages.Assume that the mortgages are insured,so that they do not have default risk.The mortgages have prepayment risk because the borrower has the option to repay the loan early(at any time)usually due to favorable interest rate changes.From an investor’s point of view,a mortgage-backed security is equivalent to holding a long position in a non-prepayable mortgage pool and which of the following?
A.A long American call option on the underlying pool of mortgages.
B.A short American call option on the underlying pool of mortgages.
C.A short European put option on the underlying pool of mortgages.
D.A long American put option on the underlying pool of mortgages.
2.An Asian option can be hedged dynamically because the:
A.average value of the underlying asset price decreases uncertainty the closer the option gets to expiration.
B.average value of the underlying asset price increases uncertainty the closer the option gets to expiration.
C.maximum value of the underlying asset price decreases uncertainty the closer the option gets to expiration.
D.minimum value of the underlying asset price increases uncertainty the closer the option gets to expiration.
3.Which of the following statements is an example of basis risk?Purchasing:?
A.an oil contract with delivery in a different geographical region.
B.a commodity with a desired distant delivery with near-term contracts.
C.a eurodollar contract,due to lack of commodity futures.
D.All of the above statements are correct.
Answer:
1.B
Prepayment risk is equivalent to an American call option because the borrower can repay at any time and the position is short because the option lies with the borrower.
2.A
Dynamic hedging can be used to hedge Asian options because uncertainty in the expiration value is decreased the closer one gets to expiration.This occurs because the intrinsic value becomes“set”due to the averaging effect over the life of the option.
3.D
All are examples of basis risk,which results from the inability of commodities to create a perfect hedge.Differences due to timing,grade,storage costs,or transportation costs create basis risk.
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