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GARP ICBRR Exam (page: 14)
GARP International Certificate in Banking Risk and Regulation (ICBRR)
Updated on: 15-Feb-2026

Viewing Page 14 of 70
ICBRR PDF 342 Questions

Which one of the following four mathematical option pricing models is used most widely for pricing European options?

  1. The Black model
  2. The Black-Scholes model
  3. The Garman-Kohlhagen model
  4. The Heston model

Answer(s): B



A risk manager is considering how to best quantify option price dynamics using mathematical option pricing models.
Which of the following variables would most likely serve as an input in these models?

I) Implicit parameter estimate based on observed market prices
II) Estimates of sensitivity of option prices to parameter changes
III) Theoretical option determination based on assumptions

  1. I, III
  2. II
  3. II, III
  4. I, II, III

Answer(s): D



Which one of the following four parameters is NOT a required input in the Black-Scholes model to price a foreign exchange option?

  1. Underlying exchange rates
  2. Underlying interest rates
  3. Discrete future stock prices
  4. Option exercise price

Answer(s): C



Which one of the following four variables of the Black-Scholes model is typically NOT known at a point in time?

  1. The underlying relevant exchange rates
  2. The underlying interest rates
  3. The future volatility of the exchange rates
  4. The time to maturity

Answer(s): C



A risk manager analyzes a long position with a USD 10 million value. To hedge the portfolio, it seeks to use options that decrease JPY 0.50 in value for every JPY 1 increase in the long position. At first approximation, what is the overall exposure to USD depreciation?

  1. His overall portfolio has the same exposure to USD as a portfolio that is long USD 5 million.
  2. His overall portfolio has the same exposure to USD as a portfolio that is long USD 10 million.
  3. His overall portfolio has the same exposure to USD as a portfolio that is short USD 5 million.
  4. His overall portfolio has the same exposure to USD as a portfolio that is short USD 10 million.

Answer(s): A



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