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雷达卡
总的来说，基本都是notes覆盖的考点。希望能帮助以后考试的人（包括潜在的我）
1. 考了一题Swap的comparative advantage，问了他们的cost savings后的net payment。
2. 下列哪一项是operational risk：一个明显的选项是operational risk，其余的都是market risk
3. 关于LTCM的，我选择了decline in value at the same time那个。
4. Zero-coupon bond = 5340000, par value = 10,000,000, 15 years, semiannual couponuding, 问modified duration。此题好算，zero-coupon bond的macaulay duration = 15 years, 再算出YTM, （注意是semi-annual basis）所以最后得出大概是14.5
5. 两个risky asset, 他们的correlation = -1, 问他们的Efficient frontier。我选择了他们可以construct zero standard deviation：因为他们perfectively negatively correlated，那么efficient frontier 就是two segmented line。
6. 有一个表格，然后算出expected loss，这题比较简单，把数字代入公式即可算出。
7． 用1-step binomial tree 定价American put option，这里的陷阱就是early exercise的价值比hold to maturity的价格要高，好像最后选15
8. 考了金程百题预测里面的原题：一个portfolio由bond和Stock组成，已知VaR of portfolio，和VaR of equity，求VaR of bond？
9. 类似这题
Junaid Manzoor has been hired as head of risk management by KDB Asset Management, a small investment firm in Pakistan. Manzoor implements a risk measurement framework to gauge portfolio risk for the firm. Unfortunately, the methodology he implements for risk measurement has changed considerably in recent years and is no longer used internationally. Neither Manzoor nor anyone else at the firm is aware of the changes to risk measurement approaches. As a GARP member, has Junaid violated the GARP Code of Conduct?
A. No, this is not a violation of the GARP Code of Conduct because neither Manzoor nor the firm is aware of the changes to risk measurement approaches.
B. No, this is not a violation as the methodology worked when Manzoor took his FRM exams.
C. This is only a violation of the GARP Code of Conduct if investment decisions are made based on Manzoor’s risk reports.
D. Yes, this is a violation of the GARP Code of Conduct.
10. 关于heteroskedasticity看图识别题。
11. 哪种情况可以在non-volatile market中获利，我选的是short straddle （只有在非volatile的情况下才会有option premium）
12. 给出EWMA，让你算前一天的correlation还是covariance，忘记了。但代入计算应该不难。
13. Poisson distribution
14. 给出K50 fund和KOSPI的standard deviation还有correlation，算beta。我选0.74
15. 有个表格，里面有futures price, 看上去是backwardation= inverted futures price什么的。
16. 下列哪一项usually the same，我选的是gamma of call and put。
17. Operational data governance 是minimize the errors 什么什么的，貌似notes有相似的语句。
18. put-call parity，dividends在3个月后给，但option的maturity是6个月，给出call, S, 和X，算出put。
19. 一题关于multiple regression的，我只记得我选的是effects of explanatory powers要holding all other constant。
20. 一题关于savings和annual income的single-variable regression
Savings = - 25.26 + 0.24income。
A. -25.26是R-square。不对
B. 如果income = 0, savings = 0
C. 如果income增加1000，savings增加240
D. 如果income减少2000，savings增加480
21. GARCH(1,1)的persistence, 只有一个符合a + b < 1 (stable)
22. key rate exposure, 类似第四本notes的196页的例子。
23. 给出futures和spot的standard deviation都是1，让你算出variance of basis。当correlation = 1 时，basis variance = 0, 当correlation = -1时，basis variance = 4
24. Stress testing的drawback，我选subjective主观的。
25. Cheapest to delivery，貌似每年必考。
26. Black-Schole不能定价以下哪个产品：A. American call; B. American Put; C. European Call; D. Forward。我选的是Forward，我考虑到American put可以early exercise，而American call = never optimal to exercise early = European call。不知道对不对。
27. The indenture would not include fixed spread tender offers.
28. original issue discount (OID)然后后面一题考了，如果这个zero-coupon bond的发行人破产了，能拿到多少，我选的是850。
29. 那个一个是most liquid to hedge interest risk。有swap，swaption，我选的是eurodollar futures，不知道对不对。
其他真的想不出了，从香港机场回到深圳现在一直没有休息，以后补充。
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