FRM Sample Questions 2012(FRM协会给的样题).pdf

inancial Risk ® Manager( RM ) Examination Sample Questions PART I inancial Risk Manager Examination ( RM®) Sample Questions Financial Markets and Products 1. When a stock pays a dividend, what happens to the prices of an American call option and an American put option? a. Both option values increase. b. The call option’s value increases and the put option’s value decreases. c. The call option’s value decreases and the put option’s value increases. d. Both option values decrease. Answer: c Explanation: American call and put options allow for early exercise. Cash dividends affect option prices, because they affect the underlying stock price. Since the stock price drops by the amount of the dividend on the ex-divi- dend date, the call option’s value decreases as well. Correspondingly, the put option’s value increases if the stock price decreases. Topic: inancial Markets and Products Subtopic: American options, effects of dividends, early exercise AIMS: Discuss the effects dividends have on the put‐call parity, the bounds of put and call option prices, and on the early exercise feature of American options Re erence: Hull, Option , Future , and Other Derivative , 7th Edition, Chapter 9 © 2011 Global Association of Risk Professionals. All rights reserved. It is illegal to reproduce this material 1 in any format without prior written approval of GARP, Global Association of Risk Professionals, Inc. inancial Risk Manager Examination ( RM®) Sample Questions 2. Consider an investor with an equity portfolio of USD 50 million. The portfolio beta relative to the SP 500 is 2.2. The investor