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1、FRM-201905-P1-冲刺模拟考1.AbanksriskcommitteeisreviewingthebanlsmostsignificantlosseventsandcategorizingeacheventintospecificriskcategoriesInoneCaSeamodeloperatorinputtheWrongpriceforasecurityintoanalgorithmusedfortradingwhichthencausedthealgorithmtobuyinsteadofsellthesecurityThissituationwouldbeanexampl
2、eof:A.Marketrisk.B.Operatiaialrisk.C.StrategicriskD.Liquidityrisk.2InpreparationforabriefingtotheboardofdirectorstheCROconsidersspecificexplanationsastowhycertainrisksshouldbehedged.Whichofthefollowingwouldbeanaccurateexplanationoftheimpactofhedgingriskexposuresonshareholderwealth?A.Hedgingincreases
3、thevariabilityofthefimsprofitmakingthefirmamoreattractiveinvestmentforstakeholdersB.Hedgingreducesafi,sexpectedcostsoffinancialdistressC.HedgingdosenotincreaseshareholderwealthbecauseshareholdershavediversifiedportfoliosD.Hedgingwithderivativesreducesthecomplianceandoperationalcostsofthefirm.3.Thebo
4、ardofdirectorsplaysakeyroleintheprocessofcreatingastrongCUItureofriskmanagementatanorganization.Aspartofthisrole*onefunctionthatshouldbefulfilledbytheboardofdirectorsisto:A.Monitortheeffectivenessofthecompandsgovernancepracticesandmakechangesifnecessary,toensurepropercomplianceB.Ensurethattheinteres
5、tsoftheConIPanysstakeholdersareprioritizedaboveitsexecutiveinterestsinordertomaxizethepotentialreturnoninvestmentC.AddressissuesthatcouldpotentiallyrepresentaconflictofinterestbyassigningcommitteescomposedexclusivelyofexecutiveboardmembersD.Establishapolicytoaddressindividualriskfactorsbyeitherreduc
6、ing,hedging,oravoidingexposuretoeachrisk.4.AboardofdirectcrsisevaluatingtheimplementationofanewERMprogramatanassetmanagementcompany.WhichstatementbelowisconsistentacrossthevariouscurrentdefinitionsofanERMProgranlandmostappropriatetobeincludedinthecompanysERMdefinitionandgoals?A.TheERMprogramshouldre
7、ducecostsbytransferringorinsuringmostofthecompandsmajorriskexposures,B.ThemajorgoalofthenewERMprogramshouldbetoreduceearningsvolatilityC.TheERMprogramshouldbemanagedseparatelyfromtheoperationalsideofthecompany.D.TheERMprogramshouldprovideanintegratedstrategytomanageriskacrossthecompanyasawhole5.Theb
8、oardofdirectorsatalargebankisconsideringcreatingaCROposition.WhichofthefollowingwouldbeanappropriatedesciptionofafunctionoftheCROposition?A.Developriskmanagementpoliciesandcommunicatethecompan/Sriskprofetokeystakeholders.B.PerformbacktestsandscenarioanalysestotestassumptionsinthebanksriskmodelsC.Ind
9、ependentlyapprovechangesinthebankSriSktoleranceanditsriskappetiteframework.D.EstablishandexecuterisktransferStrategieSonadajMxrdaybasis6.Whichofthefollowingmethodswillgenerallybeeffectiveinreducingthelikelihoodthatyouifirmisexposedto“hiddenriskd?1.Reducingtheflexibilitywhentradershavetorespondtomark
10、eteventsHCreatingacultureofriskawarenessthroughouttheorganizationILLStructuringcompensationtobealignedwiththeriskappetiteofthefilm.IV.InvestingheavilyinquantitativeriskmodelsA.IonlyB.IVonlyC.IIandIIIonlyD.LUandIIIonly7.IncharacterizingvariousdimensionsofabanKsdatatheBaselCommitteehassuggestedseveral
11、principlestopromotestrongandeffectiveriskdataaggregationcapabilitiesWhichstatementcorrectlydescribesarecommendationwhichthebankshouldfollowinaccordancewiththegivenprinciple?A.Theintegrityprinciplerecommendsthatdataaggregationshouldbecompletelyautomatedwithoutanymanualintervention.B.Thecompletenesspr
12、inciplerecommendsthatafinancialinstitutionshouldcapturedataonitsentireuniverseofmaterialriskexposures,a bank should frequently update its risk reportingthe risk data be reconciled with managementsC.TheadaptabilityprinciplerecommendsthatsystemstoincorporatechangesinbestpracticesD.Theaccuracyprinciple
13、recommendsthatestimatesofriskexposurepriortoaggregation8.AnanalystisconsideringaninvestmentinstockDKRandhasgatheredthefollowinginformation:theanalystbelievesDKRisfairlyvaluedaccordingtotheCAPM.ExpectedreturnofDKR&00%RiSkerate250%StandarddeviationofDKRreturns1475%Standarddeviationofmarketreturns1350%
14、CorrelationofDKRreturnandmarketreturnsQ76Basedonthisinformation,whatistheexpectedreturnofthemarketportfolio?A.9.12%B.10.43%C.1219%D.1512%9.Whichofthefollowingstatementsconcerningthecapitalassetpricingmodel(CAPM)andthecapitalmarketline(CML)iscorrect?A.Betaidentifiestheappropriatelevelofriskforwhichan
15、investorshouldbecompensatedB.Unsystematicriskisnotdiversifiabsothereisnorewardfortakingonsuchrisk.C.AssetswithequivalentbetaswillalwaysearndifferentreturnsD.Themarketriskpremiumiscalculatedbymultiplyingbetabythedifferencebetweentheexpectedreturnonthemarketandtherisk-eerateofreturn10.Whichofthefollow
16、ingstatementsaboutportfolioriskanddiversificationisleastaccurate?A.NotallriskisdiversifiableB.UnsystematicriskcanbesubstantiallyreducedbydiversificationC.SystematicriskcanbeeliminatedbyholdingsecuritiesinaWelI-diversifiedinternationalstockportfolioD.NoneofaboveILTwoportfoliosthathavetheexactsameexpe
17、ctedreturnandsamebenchmarkindexIncomparingthesetwoPOrtfoIi03whichofthefollowingstatementsaboutperformancemeasuresiscorrect?A.TheportfoliowiththehigherbetawillhavethehigherTreynorratiB.Jenserisalphaisparticularlywell-suitedforcomparingportfolioswithdifferentlevelsofrisk.C.Theportfoliowiththehighervol
18、atilitywillhavethehigherSharperatiobutthelowerTreynorratioD.ThereisanexactlinearrelatishipbetweentheTreynorratioandJenserisalphaforeachpOEtfoliQ12AbankSinvestmentanalystispreparingtovalueseveralequitiesinthebanksportfolioandiscomparingdifferenttheoriesrelatedtothediscountratethatshouldbeappliedtoequ
19、itycashflows,Whichofthefollowingstatementsiscorrectwirespecttothearbitragepricingtheory(APT)?A.WhenanAPTfactorbetaispositive*anincreaseintheriskpremiumwillleadtoadecreaseintheassefsexpectedretuLB.TheAPTassumesallcompanyspecificriskscanbecompletelydiversifiedawayinaportfoliC.InanAPTmodeXthefactorbeta
20、sforthemarketportfolioaretypicallyequalto1.D.TheAPTassumesthatallinvestorsholdmean-varianceefficientportfoliosandwillmakesmallpotfoliochangeswhenamispricedsecurityexists13.Ariskanalystisestimatingthesensitivityofastocksexpectedreturntodifferentmacroeconomicscenariosusinganarbitragepricingthecryframe
21、work.Theanalystderivesthefollowingestimatesforthefactorsbetas:GndustialProduction)=0.75(interestRate)=-L25Underbaselineexpectations,withindustrialproductiongrowthof3,0%andaninterestrateof25%,theexpectedreturnforthestockisestimatedtobe4.0%.Underwhichofthefollowingscenarioswillthestockhavethelowestexp
22、ectedreturn?A.Industrialproductiongrowthof60%andaninterestrateof3.0%B.Industrialproductiongrowthof-2.0%andaninterestrateofL0%C.IndustrialPrOdUCtiongrowthof4.0%andaninterestrateofS0%D.IndustrialproductiongrowthofL0%andaninterestrateof20%14.Aportfoliomanagerreturns10%withavolatilityof20%.Thebenchmarkr
23、etus8%withavolatilityof14%.ThecorrelationbetweenthetwoisQ98.Therisk-freerateis3%.Whichofthefollowingstatementsiscorrect?A.TheportfoliohashigherSRthanthebenchmarkB.TheportfoliohasnegativeIRC.TheIRis0.35D.TheIRis0.2915.Studyingpreviousfinancialdisastersprovideslessonslearnedthatcanhelpimproveprocesses
24、andcontrolsinordertohelppreventfuturedisastersWhichofthefollcwringcasestudiescorrectlyidentifiesalessonlearnedfromthegivenfinancialdisaster?A.TheMetallgesellschaftcaseshowsthenecessityofproceduresthatmayleadtothedetectionoffictitioustradeentriesB.TheSocieteGeneralecasehighlightstheimportanceofcorrec
25、tlymeasuringthecorrelationbetweenlargepositions,C.TheBaringsBankcasedemonstrateswhyfirmsshouldrestricttheuseofleverageintradingDerivativesD.TheLong-TermCapitalManagementcaseshowstheimportanceoftakingintoaccountthatcorrelationscanincreasesharplyduringcrises16.Pastfinancialdisastershaveresultedwhenafi
26、rmallowsatradertohavedualrolesasboththeheadoftradingandtheheadoftheback-officesupportfunction.Whichofthefollowingcasestudiesdidnotinvolvethisparticularoperationalriskoversight?1AlliedIri由Bank.IIBaringsA.Ionly;B.IIonlyC.BothLandILD.NeitherLnorIL17.Ariskconsultantisreviewingtheroleofregulatoryarbitrag
27、einthe2007creditcrisistobetterunderstandthelessonslearnedasaresultofthecrisisWhichofthefollowingbestdescribeshowregulatoryarbitragetookplaceinthemortgagesecuritizationmarket?A.BankssecuritizedmortgagesandtheninvestedintranchesoftheseMBStogetamorefavorabletreatmentforcapitalpurposesB.Mortgageoriginat
28、orswererequiredtopurchaseaportionofMBSequitytrancheswhichwerethenofferedinthesecondarymarketC.PensionfundswhichinvestedinmortgagesecuritieswererequiredtoholdonlysecuritiesratedBBBandaboveD.Mortgageoriginatorswereencouragedtoofferadjustableratemortgagestosubprimeborrowerswithinitiallow“teaseIrrates18
29、.BasedontheriskassessmentoftheCRO,BankUnitedsCEOdecidedtomakealargeinvestmentinaleveredportfolioofCDOs.TheCROhadestimatedthattheportfoliohada1%chanceoflosing$1billionormoreoveroneyear;alossthatwouldmakethebankinsolventAttheendofthefirstyearthepotfoliohaslost$2billionandthebankwasclosedbyregulatorsWh
30、ichofthefollowingstatementsiscorrect?A.TheOUtcomedemonstratesariskmanagementfailurebecausethebankdidnoteliminatethepossibilityoffinancialdistress,B.TheoutcomedemonstratesariskmanagementfailurebecausethefactthatanextremelyunlikelyoutcomeoccurredC.TheoutmedemonstratesariskmanagementfailurebecausetheCR
31、Ofailedtogotoregulatorstostoptheshutdown.D.Basedontheinformationprovideclonecannotdeteninewhetheritwasariskmanagementfailure19.Creditriskanalystsataninvestmentbankarepreparingareportonacompany.Afterconcludingtheirresearch,theyestimatea60%probabilitythatthecompanywillhaveitscreditratingdowngradedwith
32、inoneyearbyamajoragency;IfincludinginthereportwhichofthefollowingwouldbeaviolationoftheGARPcodeofConduct?A.Adiscussionofapossibletradeinthedebtoftwocompetingfirmsthatcouldpotentiallybeacquiredbythecompany.B.AnanalysisoftradinginthecomPanysdebtbyitsmajorbondholders.C.Astatementthatthecompany?Sdebtisa
33、lmostcertaintobedowngradedD.AvaluationmatrixprojectingseveralpotentialvaluationsfortheCOinPanysdebtbasedonpotentialcreditratingsattheendofoneyear20.BobHatfieldhashisownmoneymanagementfirmwithtwoclientsTheaccountsofthetwoclientsareequalinvalueItisHatfieldsopinionthatinterestrateswillfallinthenearfutu
34、reBaseduponthisHatfieldbeginsincreasingthebondallocationofeachportfoliaInordertocomplywithBestPracticesintheGARPCodeofConduct,theanalystneedsto:A.informtheclientsofthechangeandtellthemitisbaseduponanopinionandnotafactB.makesurethatthechangeisidenticalforbothclientsC.feareportwiththeSECofthenewportfo
35、lioallocationD.performallofthesefunctions21.AfirmisconcernedaboutpotentialincreasesinthefederalfundsrateandtheirimpactontheS&P500.Fora3-monthforecastperiod,thefirmseconomicsteamestimatesthefollowing:60%probabilitythattheFederalReservewillnotraisethefederalfundsrate32%probabilitythatthereturnontheS&P
36、500willbebetween-10%and+1038%chancethatthereturnontheS&P500willbelessthan-10%.24%jointprobabilitythatthereturnontheS&P500willbegreaterthan10%andthattheFederalReservewillnotraisethefederalfundsrateBasedontheestimatesabovegiventhattheFederalReserveraisesthefederalfundsratqwhatistheprobabilitythatthere
37、turnontheS&P500isgreaterthan10%?A.10%B.15%C.20%D.40%22AnanalystistryingtodeterminethequalityofapoolofloansusingdefaultdataTheanalystknowsthatofallPOOlS10%areLowRisk,70%areAverageRisk.Eachmonth,thereisa90%probabilitythataLowRiskpoolhasnodefaultan80%chancethatanAverageRiskpoolhasnodefaultsanda70%chanc
38、ethataHighRiskpoolhasnodefaultsIfinonemonththepoolcheckedbytheanalystdidhavedefaultwhatistheprobabilitythatthispooliseitherLowRiskorAverageRisk?A.2&57%B.33.33%C.6667%D.71.43%23.Aneconomicanalystascalculatedtheprobabilitiesofthreepossiblestatesfortheeconomynextyear:growth,normal,andrecessionAbankanal
39、ysthasestimatedthepossiblereturnsontwostockyAandB,ineachofthethreescenariosshowninthefollowingtable:StateProbabilityReturnofStockAReturnofStockBGrowthQ20Q30Q20NormalQ600.10Q10RecessionQ20-ft20-Q10GiventhatthestandarddeviationoftheestimatedreturnsonstocksAandBare16.0%and9.8%,respect!velwhatisthecovar
40、ianceoftheestimatedreturnsonstocksandB?A.-oi87B,-Q0156C.0.0156I).0.017824.Ananalystisconcernedwiththesymmetryandpeakednessofadistributionofreturnsoveraperiodoftimeforacompanysheisexamining.Shedoessomecalculationsandfindsthatthemedianreturnis42%,themeanreturnis48%,andthemodereturnis37%.Shealsofindsth
41、atthemeasureofexcesskurtosisis2Basedonthisinformation,thecorrectcharacterizationofthedistributionofreturnsovertimeis:SkewnessKurtosisA.PositiveLeptokurticB.PositivePlatykurticC.NegativePlatykUrtiCD.NegativeLeptokurtic25.Acreditanalystcoversaportfolioof10bondsthatareallcurrentlyratedinvestmentgrade,U
42、nderthecompanysportfolioinvestmentguidelines;nomorethantwobondsintheportfoliomayberatednon4nvestmeritgrade.Theanalysthasestimatedthateachbondhasa20%probabilityofbeingdowngradedtono11rinvestmentgradeoverthefollowingyearandeachdowngradeisindependentofotherdowngradesWhatistheestimatedprobabilitythatmor
43、ethantwobondsintheportfoliowillberatednon-investmeritgradeattheendofnextyear?A.322%B.37.6%C.623%D.67.8%26.AnanalystislookingtocombinetwostockswithannualreturnsthatarejointlynormaHydistributedandUncorrelatedStockAhasameanreturnof7%andastandarddeviationofreturnsof20%;StockBhasameanreturnof12%andastand
44、arddeviationofreturnsof15%.Iftheanalystcombinesthestocksintoanequallyweightedportfoliqwhatistheprobabilitythattheportfolioreturnoverthenextyearwillbegreaterthan12%?Z0QOl0.1Q52980.54380.2(157930.58320.3Q61790.6217.4207%B.4432%C5567%D.57.93%27.QuantitativeanalystusedasimutationtoforecasttheS&P500index
45、valueattheendoftheyearwithanindexvalueof1800atthebeginningoftheyearHegenerated200scenariosandcalculatedtheaverageindexvalueatyear-endtobe1980,witha95%confidenceintervalof(1940,2020).Inordertoimprovetheaccuracyoftheforecast,thequantitativeanalystincreasedthenumberofscenariostoattainanew95%confidencei
46、ntervalof(1970,1990)withthesamesamplemeanandthesamesampiestandarddeviationHowmanyscenarioswereusedtogeneratethisresult?.400B.800C.1,600I).3,20028.ColleaguesBenjaminEckoandBernardCharlesrecentlydiscussedtheapplicationofthenormaldistributionforrandomvariablesEckoclaimedthattheZ-StatistiCmeasuresthedis
47、tance,instandarddeviationunits,thatagivenobservationisfromthepopulationmeaaCharlesclaimedthatthereisa95%chancethattheZ-StatiStiCliesabovenegative1.96RegardingthestatementsofEckoandCharles:A.Eckoiscorrect;CharlesiscorrectB.Eckoiscorrect;CharlesisincorrectC.Eckoisincorrect;CharlesiscorrectD.Eckoisinco
48、rrect;Charlesisincorrect29.HedgeFundhasbeeninexistencefortwoyears.Itsaveragemonthlyreturnhasbeen6%withastandarddeviationof5%.HedgeFundhasastatedobjectiveofcontrollingvolatilityasmeasuredbythestandarddeviationofmonthlyreturns,YouareaskedtotestthenullhypothesisthatthevolatilityofHedgeFund,smonthlyreturnisequalto4%versusthealternativehypothesisthatthevolatilityisgreaterthan4%.Assumingthatallmonthlyreturnsareindependentlyan
