Liquidity & Treasury Risk — FRM Part 2 Practice Questions

87 free FRM Part 2 questions on Liquidity & Treasury Risk: 26 easy, 49 medium, and 12 hard, every one exam-realistic and fully explained once you sign in. This is the fastest way to turn Liquidity & Treasury Risk from a weakness into a scoring area — drill it in 10-question reps with immediate feedback.

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1. What is the bank's Liquidity Coverage Ratio (LCR), and does it meet the minimum Basel III requirement?
2. To immunize the economic value of equity against a parallel rate shift, what is the required Duration Gap (DGA
3. A bank's Economic Value of Equity (EVE) is exposed to interest rate risk. Assets are $1,000 m with duration D_
4. How would a new $10 billion long-term mortgage (RSF factor 85%) funded by $10 billion in new core deposits (AS
5. Which lens of Interest Rate Risk in the Banking Book (IRRBB) would show a significant loss if interest rates r
6. A bank has 100 bn of securities classified as 'Held-to-Matur… — If interest rates rise and the market value of
7. A bank's balance sheet shows total assets of 100 bn with a modified duration of DA = 5.0and total liabilities
8. Under the current regulatory framework, what is the specific time horizon defined for the Liquidity Coverage R
9. What does 'Pre-positioned' collateral mean in the context of a central bank facility in the CFP?
10. A bank's 'Survival Horizon' in a liquidity stress test is defined as:
11. A bank holds a portfolio of Level 1 High-Quality Liquid Assets (HQLA) totaling 10 billion and Level 2A assets
12. For the NSFR, a residential mortgage with a maturity over one year typically receives which RSF factor?
13. What is the RSF factor for performing loans to non-financial corporates with a remaining maturity of more than
14. A bank has an LCR of 120% with HQLA of 60 million. If its HQLA market value drops by 10% due to a market shock
15. Which liability has an ASF factor of 0% under the NSFR rules?
16. Which of the following events is a direct manifestation of Funding Liquidity risk?
17. In the 'Combined Stress' scenario for a Liquidity Stress Test, which of the following is true regarding 'Count
18. In a well-designed FTP framework, what is the 'Franchise Value' of a deposit taking unit?
19. A bank’s balance sheet shows Assets (A) of $100 bn with duration D_A = 4.5 and Liabilities (L) of $90 bn with
20. A bank's deposit unit gathers $1 billion in deposits. Matche… — What is the institutional consequence of this
21. If the spread has a mean of 60 bps and a volatility of 35 bps, what is the Liquidity-adjusted VaR (LVaR) using
22. What role do Early Warning Indicators (EWIs) play within a robust Contingency Funding Plan framework?
23. A bank behaviorally models a 'core' segment of its demand de… — If rates rise by 200 basis points, how does th
24. A CFO argues that since 'funding is cheap today,' the bank s… — What historical referent is this logic associa
25. A bank's 'Available Stable Funding' (ASF) includes 100 m in retail deposits. If80 m are classified as 'stable'
26. Which of the following is true regarding 'Level 2B' assets in the LCR?
27. In the LVaR formula for a linear unwind over n days (LVaR = VaR_1d × √(((n+1)(2n+1))/(6n))), what does the fac
28. What sub-cap is applied to Level 2B assets within the total stock of HQLA for the LCR?
29. If a bank has $10 billion in Available Stable Funding (ASF) and $12 billion in Required Stable Funding (RSF)
30. In the Net Stable Funding Ratio (NSFR), how is the funding requirement for Level 1 HQLA treated compared to it