Free FRM-Part-1 Mock Exam – Practice Online Confidently

A market risk analyst at a regional bank is calculating the annual VaR of portfolio of investment securities. The portfolio has a current market value of USD 3,700,000 with a daily variance of 0.0004. Assuming there are 250 trading days in a year and the daily portfolio returns are independent and follow the same normal distribution with a mean of zero, what is the estimate of the 1-year VaR at the 95% confidence level?

It is April 15, and a trader is entered into a short position in two soybean meal futures contracts. The contracts expire on August 15, and call for the delivery of 100 tons of soybean meal each. Further, because this is a futures position, it requires the posting of a $3,000 initial margin and a $1,500 maintenance margin per contract. For simplicity, however, assume that the account is marked to market on a monthly basis. Assume the following represent the contract delivery prices (in dollars per ton) that prevail on each settlement date:April 15 (initiation) 173.00May 15 179.75June 15 189.00July 15 182.50August 15 (delivery) 174.25What is the equity value of the margin account on the May 15 settlement date, including any additional equity that is required to meet a margin call?

Portfolio A has total assets of $14 million and an expected return of 12.50 percent. Historical VAR of the portfolio at 5 percent probability level is $2,400,000. What is the portfolio's standard deviation?

All of the following are reasons that Nick Leeson engaged in aggressive speculative trading in the Barings Bank collapse except:

Call and put option values are most sensitive to changes in the volatility of the underlying when: