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08practice exam 1 的10


10.Paul Graham, FRM is analyzing the sales growth of a baby product launched threeyears ago by a regional company. He assesses that three factors contributeheavily towards the growth and comes up with the following results:
Y = b +1.5 X1 + 1.2X2 + 3X3
Sum ofSquared Regression [SSR] = 869.76
Sum ofSquared Errors [SEE] = 22.12
Determinewhat proportion of sales growth is explained by the regression results.
a. 0.36
b. 0.98
c. 0.64
d. 0.55




Coefficient of Determination i.e. R2 explains proportion of variation explained by the
regression. R2 = SSR/SST, SEE = (SSE/(n-2) )^1/2 , SST = SSR + SSE. Therefore, SSE = 489.29, SST =
1359.05, R2 = 0.64
愣是没看懂什么意思




33.Imagine a stack-and-roll hedge of monthly commodity deliveries that youcontinue for the next five years.
Assumethe hedge ratio is adjusted to take into effect the mistiming of cash flows butis not adjusted for the basis risk of the hedge. In which of the following situationsis your calendar basis risk likely to be greatest?
a.Stack and roll in the front month in oil futures.
b.Stack and roll in the 12-month contract in natural gas futures.
c.Stack and roll in the 3-year contract in gold futures.
d. Allfour situations will have the same basis risk.


答案是a. 没看懂他的解释：The oil term structure is highly volatile at the short end, making a front-month stack-androll
hedge heavily exposed to basis fluctuations. In natural gas, much of the movement occurs at the front
end, as well, so the 12-month contract won’t move as much. In gold, the term structure rarely moves
much at all and won’t begin to compare with oil and gas.








17. A junior bond with a face value of 200 matures in 5 years. A senior bond on the same firms also matures
in 5 years, and has a face value of 100. Assume -A = .5 and the riskfree rate=.04. Firm value is equal to
400. Using the Merton model, what is the value of the junior bond? (The following table includes figures
that will reduce the time required to answer this but it also includes figures that are irrelevant to the
problem and some that are strictly wrong).
d1 d2 N(d1) N(d2)
1.978 0.860 .9761 .8051
1.978 0.860 .8051 .9761
0.9952 -.1228 .8413 .5478
0.9952 -1.505 .8413 .0661
0.9952 -.1228 .8413 .4522
a. 99.07
b. 174.55
c. 75.48
d. 16.63

答案是a  官方解释这么说：
To get this answer use the first and last row of the table to make the calculation of the
Black-Scholes formula go faster. Plug in the values given into the B-S formula and use the first row to
get the value of the equity if the leverage were just 100 (the face value of the senior bond). Subtract
this off 400 to get the value of the senior bond. Plug in the values of the B-S formula assuming a
strike of 300 (the total debt) to get the value of the equity. Use the last row of the table to make this
go faster. Subtracting the value of the equity and the senior debt from 400 gives us the answer, a.
但是官方解释没有说为什么用第一行和第四行的数据。还有那个"-A"  是什么意思？

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关键词：FRM Fluctuations Calculation Fluctuation oil and gas 讨论 FRM

对于10题 直接就是869.76/（869.76+22.12）=97.52% 我不知道怎么是64%的
同时不知道楼主的题在哪弄的 分享吧

第33题只能用排除法 在handbook的市场风险部分有commodity的风险 natural gas 和oil的比 gold大 故 C 和 D 不对。对于A 和 B 期限短的大 故为A

B  A   ?   很多题答案不一定对，大家在这里交流吧~~

第10道：
SEE是standard estimated error，题目没有告诉你Sum of Squared Errors (SSE)，而告诉你SEE，要你自己先算SSE（太无耻了）
之后用SSE和SST去算determination，就是R2。R2 也就是correlation的平方，也就是解释estimator有多少比重是可以由regression来解释的，就是题目答案。

第33道就考你一个关系：时间越短,basis risk越大。basis risk和hedge price以及asset的future value有关，时间越短的波动可能越大。

SEE = (SSE/(n-2) )^1/2 这个概念或者公式是在哪儿有的啊？？？
handbook和notes好像没有么

这个是统计里面regression的基本常识，只要是统计的书里面都有。

有点懂了。。。

那么第一题本身题目就有问题

Sum ofSquared Regression [SSR] = 869.76
Sum ofSquared Errors [SEE] = 22.12
这句话，如果是Sum ofSquared Errors =22.12，那么可以直接拿来算R-squared
如果是说SEE= 22.12，即standard esimated errors=22.12，那么需要先用公式求SSE，再算R-squared

什么鸟题目。。。还GARP自己出的呢，不负责任阿