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1、FRM-201905-P1冲刺模拟考1.AbanksriskcommitteeisreviewingthebanksmostsignificantlosseventsandcategorizingeacheventintospecificriskcategoriesInoneCaSGamodeloperatorinputtheWrongpriceforasecurityintoanalgorithmusedfortradingwhichthencausedthealgorithmtobuyinsteadofsellthesecurity;Thissituationwouldbeanexampl
2、eof:A.Marketrisk.B.Operationalrisk,C.StrategicriskD.Liquidityrisk2InpreparationforabriefingtotheboardofdirectorytheCROconsidersspecificexplanationsastowhycertainrisksshouldbehedgedWhichofthefollowingwouldbeanaccurateexplanationoftheimpactofhedgingriskexposuresonshareholderwealth?.Hedgingincreasesthe
3、variabilityofthefirmsprofitmakingthefirmamoreattractiveinvestmentforstakeholdersB.HedgingreducesafimsexpectedcostsoffinancialdistressC.Hedgingdosenotincreaseshareholderwealthbecauseshareholdershavediversifiedportfolios.D.Hedgingwithderivativesreducesthecomplianceandoperationalcostsofthefirm.3.Theboa
4、rdofdirectorsplaysakeyroleintheprocessofcreatingastrongcultureofriskmanagementatanorganizationAspartofthisroleonefunctionthatshouldbefulfilledbytheboardofdirectorsisto:A.MonitortheeffectivenessofthecompandSgovernancepracticesandmakechanges;ifnecessary,toensurepropercompliance.B.Ensurethattheinterest
5、softheconpan/SstakeholdersareprioritizedaboveitsexecutiveinterestsinordertomaximizethepotentialreturnoninvestmentC.AddressissuesthatcouldpotentiallyrepresentaconflictofinterestbyassigningcommitteescomposedexclusivelyofexecutiveboardmembersD.Establishapolicytoaddressindividualriskfactorsbyeitherreduc
6、ing,hedgingoravoidingexposuretoeachrisk.4.AboardofdirectorsisevaluatingtheimplementationofanewERMprogramatanassetmanagementcompany.WhichstatementbelowisconsistentacrossthevariouscurrentdefinitionsofanERMprogramandmostappropriatetobeincludedinthecompanysERMdefinitionandgoals?.TheERMprogramshouldreduc
7、ecostsbytransferringorinsuringmostoftheComPanysmajorriskexposures,B.ThemajorgoalofthenewERMprogramshouldbetoreduceearningsvolatilityC.TheERMprogramshouldbemanagedseparatelyfromtheoperationalsideofthecompany.D.TheERMprogramshouldprovideanintegratedstrategytomanageriskacrossthecompanyasawhole5.Theboar
8、dofdirectcrsatalargebankisconsideringcreatingaCROpositionWhichofthefollowingwouldbeanappropriatedescriptionofafunctionoftheCROposition?A.DevelopriskmanagementpoliciesandcommunicatethecompanySriskprofiletokeystakeholdersB.PerformbacktestsandscenarioanalysestotestassumptionsinthebanksriskmodelsC.Indep
9、endentlyapprovechangesinthebanksrisktoleranceanditsriskappetiteframework.D.Establishandexecuterisktransferstrategiesonaday-tcrdaybasis6.Whichofthefollowingmethodswillgenerallybeeffectiveinreducingthelikelihoodthatyourfirmisexposedto“hiddenrisk，？1.Reducingtheflexibilitywhentradershavetorespondtomarke
10、teventsILCreatingacultureofriskawarenessthroughouttheorganizationIILStructuringcompensationtobealignedwiththeriskappetiteofthefirm.IV.InvestingheavilyinquantitativeriskmodelsA.IonlyB.IVonlyC,IIandIIIonlyD.LIIandIIIonly7.IncharacterizingvariousdimensionsofabanlSdata,theBaselCommitteehassuggestedsever
11、alprinciplestopromotestrongandeffectiveriskdataaggregationcapabilitiesWhichstatementcorrectlydescribesarecommendationwhichthebankshouldfollowinaccordancewiththegivenprinciple?.TheintegrityprinciplerecommendsthatdataaggregationshouldbecompletelyautomatedwithoutanymanualinterventionB.Thecompletenesspr
12、inciplerecommendsthatafinancialinstitutionshouldcapturedataonitsentireuniverseofmaterialriskexposures,C.TheadaptabilityprinciplerecommendsthatabankshouldfrequentlyupdateitsriskreportingsystemstoincorporatechangesinbestpracticesD.Theaccuracyprinciplerecommendsthattheriskdatabereconciledwithmanagement
13、:sestimatesofriskexposurepriortoaggregation8.nanalystisconsideringaninvestmentinstockDKRandhasgatheredthefollowinginfermation:theanalystbelievesDKRisfairlyvaluedaccordingtotheCAPM.ExpectedreturnofDKR&00%RiSkfreerate250%StandarddeviationofDKRreturns1475%Standarddeviationofmarketreturns1350%Correlatio
14、nofDKRreturnandmarketreturnsQ76Basedonthisinformation,whatistheexpectedreturnofthemarketportfolio?A*9.12%B.10.43%C.1219%D.15.12%9.Whichofthefollowingstatementsconcerningthecapitalassetpricingmodel(CPM)andthecapitalmarketline(CML)iscorrect?.IJetaidentifiestheappropriatelevelofriskforwhichaninvestorsh
15、ouldbecompensatedB.UnsystematicriskisnotdiversifiableSothereisnorewardfortakingonsuchrisk,C.AssetswithequivalentbetaswillalwaysearndifferentreturnsDThemarketriskpremiumiscalculatedbymultiplyingbetabythedifferencebetweentheexpectedreturnonthemarketandtheriskeerateofreturn10.Whichofthefollowingstateme
16、ntsaboutportfolioriskanddiversificationisleastaccurate?.NotallriskisdiversifiableB.UnsystematicriskcanbesubstantiallyreducedbydiversificationC.Systematicriskcanbeeliminatedbyholdingsecuritiesinawell-diversifiedinternationalstockportfoliD.Noneofabove1LTwoportfoliosthathavetheexactsameexpectedreturnan
17、dsamebenchmarkindex.Incomparingthesetwoportfoliowhichofthefollowingstatementsaboutperformancemeasuresiscorrect?.TheportfoliowiththehigherbetawillhavethehigherTreynorratiB.Jenserisalphaisparticularlywell-suitedforcomparingportfolioswithdifferentlevelsofrisk.C.Theportfoliowiththehighervolatilitywillha
18、vethehigherSharPeratiobutthelowerTreynorratioD.ThereisanexactlinearrelationshipbetweentheTreynorratioandJenserlsalphaforeachportfolia12.banksinvestmentanalystispreparingtovalueseveralequitiesinthebanksportfolioandiscomparingdifferenttheoriesrelatedtothediscountratethatshouldbeappliedtoequitycashflow
19、sWhichofthefollowingstatementsiscorrectwithrespecttothearbitragepricingtheory(APT)?A.WhenanAPTfactorbetaispositiveanincreaseintheriskpremiumwillleadtoadecreaseintheassefsexpectedreturn.B.TheAPTassumesallcompanyspecificriskscanbecompletelydiversifiedawayinaportfolioC.InanAPTInodeLthefactorbetasforthe
20、marketportfolioaretypicallyequalto1.D.TheAPTassumesthatallinvestorsholdmean-varianceefficientportfoliosandwillmakesmallportfoliochangeswhenamispricedsecurityexists.13.AriskanalystisestimatingthesensitivityofaStOCKSexpectedreturntodifferentmacroeconomicscenariosusinganarbitragepricingtheoryframeworkT
21、heanalystderivesthefollowingestimatesforthefactorsbetas:(industrialProduction)=0.75,(interestRate)=-L25Underbaselineexpectation与withindustrialproductiongrowthof3.0%andaninterestrateof25%,theexpectedreturnforthestockisestimatedtobe4.0%.UnderwhichofthefollowingscenarioswillthestockhavetheIOWeStexpecte
22、dreturn?.Industrialproductiongrowthof&0%andaninterestrateof3.0%B.Industrialproductiongrowthof-20%andaninterestrateof1.0%C.Industrialproductiongrowthof40%andaninterestrateof5.0%D.Industrialproductiongrowthof1.0%andaninterestrateof20%14,portfoliomanagerreturns10%withavolatilityof20%.Thebenchmarkreturn
23、s8%withavolatilityof14ThecorrelationbetweenthetwoisQ9&Therisk-freerateis3%.Whichofthefollowingstatementsiscorrect?A.TheportfoliohashigherSRthanthebenchmarkB.TheportfoliohasnegativeIRC.TheIRisQ35D.TheIRisQ2915.Studyingpreviousfinancialdisastersprovideslessonslearnedthatcanhelpimproveprocessesandcontr
24、olsinordertohelppreventfuturedisastersWhichofthefolloringcasestudiescorrectlyidentifiesalessonlearnedfromthegivenfinancialdisaster?.TheMetallgesellschaftcaseshowsthenecessityofproceduresthatmayleadtothedetectionoffictitioustradeentriesB.TheSocieteGeneralecasehighlightstheimportanceofcorrectlymeasuri
25、ngthecorrelationbetweenlargepositionsC.TheBaringsBankcasedemonstrateswhyfirmsshouldrestricttheuseofleverageintradingDerivativesD.TheLong-TermCapitalManagementcaseshowstheimportanceoftakingintoaccountthatcorrelationscanincreasesharplyduringcrises16.Pastfinancialdisastershaveresultedwhenafirmallowsatr
26、adertohavedualrolesasboththeheadoftradingandtheheadoftheback-officesupportfunctionWhichofthefollowingcasestudiesdidnotinvolvethisparticularoperationalriskoversight?1.AlliedIrishBank.ILBarings.IOnlyB.IIonlC.BothLandILD.NeitherLnorII17.riskconsultantisreviewingtheroleofregulatoryarbitrageinthe2007cred
27、itcrisistobetterunderstandthelessonslearnedasaresultofthecrisisWhichofthefollowingbestdescribeshowregulatoryarbitragetookplaceinthemortgagesecuritizationmarket?A.BankssecuritizedmortgagesandtheninvestedintranchesoftheseMBStogetamorefavorabletreatmentforcapitalpurposes.B.Mortgageoriginatorswererequir
28、edtopurchaseaportionofMBSequitytrancheswhichwerethenofferedinthesecondarymarketC.PensionfundswhichinvestedinmortgagesecuritieswererequiredtoholdonlysecuritiesratedBBBandaboveD.Mortgageoriginatorswereencouragedtoofferadjustableratemortgagestosubprimeborrowerswithinitiallow“teaseIrrates18.Basedontheri
29、skassessmentoftheCRO,BankUnitedSCEOdecidedtomakealargeinvestmentinaleveredportfolioofCDOs.TheCROhadestimatedthattheportfoliohada1%chanceoflosing$1billionormoreoveroneyear,alossthatwouldmakethebankinsolventAttheendofthefirstyeartheportfoliohaslost$2billionandthebankwasclosedbyregulatorsWhichofthefoll
30、owingstatementsiscorrect?A.TheOUtcomedemonstratesariskmanagementfailurebecausethebankdidnoteliminatethepossibilityoffinancialdistressB.TheoutcomedemonstratesariskmanagementfailurebecausethefactthatanextremelyunlikelyoutcomeoccnedC.TheoutcomedemonstratesariskmanagementfailurebecausetheCROfailedtogoto
31、regulatorstostoptheshutdown.D.Basedontheinformationprovided,onecannotdeterminewhetheritwasariskmanagementfailure19.Creditriskanalystsataninvestmentbankarepreparingareportonacompany.Afterconcludingtheirresearch,theyestimatea60%probabilitythatthecompanywillhaveitscreditratingdowngradedwithinoneyearbya
32、majoragency;Ifincludinginthereport,whichofthefollowingwouldbeaviolationoftheGARPcodeofConduct?.discussionofapossibletradeinthedebtoftwocompetingfirmsthatcouldpotentiallybeacquiredbythecompany.B.nanalysisoftradinginthecompandSdebtbyitsmajorbondholdersC.AstatementthatthecompanySdebtisalmostcertaintobe
33、downgraded.D.AvaluationmatrixprojectingseveralpotentialvaluationsforthecompandSdebtbasedonpotentialCreditratingsattheendofoneyear20.BobHatfieldhashisownmoneymanagementfirmwithtwoclientsTheaccountsofthetwoclientsareequalinvalue.ItisHatfieldsopinionthatinterestrateswillfallinthenearfutureBaseduponthis
34、Hatfieldbeginsincreasingthebondallocationofeachportfolio.InordertocomplywithBestPracticesintheGARPCodeofCondUCttheanalystneedsto:A.informtheclientsofthechangeandtellthemitisbaseduponanopinionandnotafactB.makesurethatthechangeisidenticalforbothclientsC.fileareportwiththeSECofthenewportfolioallocation
35、D.Performallofthesefunctions21.firmisconcernedaboutpotentialincreasesinthefederalfundsrateandtheirimpactontheS&P500.Fora3-monthfcrecastperiodthefirmseconomicsteamestimatesthefollowing:90%probabilitythattheFederalReservewillnotraisethefederalfundsrate32%probabilitythatthereturnontheS&P500Willbebetwee
36、nT0%and+10%.38%chancethattheretuontheS&P500willbelessthan-10%.21%jointprobabilitythatthereturnontheS&P500willbegreaterthan10%andthattheFederalReservewillnotraisethefederalfundsrateBasedontheestimatesabovegiventhattheFederalReserveraisesthefederalfundsrawhatistheprobabilitythatthereturnontheS&P500isg
37、reaterthan10%?A.10%B.15%C.20%D.40%22nanalystistryingtodeterminethequalityofapoolofloansusingdefaultdataTheanalystknowsthatofallPOoIS10%areLowRisk,70%areAverageRiskEachmonth,thereisa90%probabilitythataLowRiskpoolhasnodefaultsan80%chancethatanAverageRiskpoolhasnodefaultsanda70%chancethataHighRiskpoolh
38、asnodefaultsIfinonemonththepoolcheckedbytheanalystdidhavedefaultswhatistheprobabilitythatthispooliseitherLowRiskorAverageRisk?A.2&57%B.3333%C.6&67%D.71.43%23.neconomicanalystascalculatedtheprobabilitiesofthreepossiblestatesfortheeconomynextyear:growth,normal,andrecessionAbankanalysthasestimatedthepo
39、ssiblereturnsontwostocks,AandB,ineachofthethreescenariosshowninthefollowingtable:StateProbabilityReturnofStockAReturnofStockBGrowthQ200.30Q20Normal0.600.10Q10RecessionQ20-Q20-Q10GiventhatthestandarddeviationoftheestimatedreturnsonstocksAandBare160%and9.8%,respectively,whatisthecovarianceoftheestimat
40、edreturnsonstocksAandB?A.-Q0187B.-Q0156C.0.0156I).Q017824Ananalystisconcernedwiththesymmetryandpeakednessofadistributionofreturnsoveraperiodoftimeforacompanysheisexamining.Shedoessomecalculationsandfindsthatthemedianreturnis42%,themeanreturnis4.8%,andthemodereturnis3.7Shealsofindsthatthemeasureofexc
41、esskurtosisis2Basedonthisinformation,thecorrectcharacterizationofthedistributionofreturnsovertimeis:SkewnessKurtosisA.PositiveLeptokurticB.PositivePlatykurticC.NegativePlatykurticD.NegativeLeptokurtic25.creditanalystcoversaportfolioof10bondsthatareallcurrentlyratedinvestmentgradeUnderthecompanysport
42、folioinvestmentguidelinenomorethantwobondsintheportfoliomayberatednon-investmentgradeTheanalysthasestimatedthateachbondhasa20%probabilityofbeingdowngradedtono11-investmentgradeoverthefollowingyearandeachdowngradeisindependentofotherdowngradesWhatistheestimatedprobabilitythatmorethantwobondsintheport
43、foliowillberatednoninvestmeritgradeattheendofnextyear?.322%B.37.6%C.623%D.67.8%26.AnanalystislookingtocombinetwostockswithannualreturnsthatarejointlynormallydistributedanduncorrelatedStockAhasameanreturnof7%andastandarddeviationofreturnsof20%;StockBhasameanreturnof12%andastandarddeviationofreturnsof
44、15%.Iftheanalystcombinesthestksintoanequallyweightedportfoliqwhatistheprobabilitythattheportfolioreturnoverthenextyearwillbegreaterthan12%?Z0OLOl0.1Q52980.54380.2Q5793OL58320.3Q61790.6217A.4207%B.44.32%C.5&67%D.57.93%27.QuantitativeanalystusedasimulationtoforecasttheS&P500indexvalueattheendoftheyear
45、withanindexvalueof1800atthebeginningoftheyeanHegenerated200scenariosandcalculatedtheaverageindexvalueatyear11endtobe1980,witha95%confidenceintervalof(1940,2020).Inordertoimprovetheaccuracyoftheforecast,thequantitativeanalystincreasedthenumberofscenariostoattainanew95%confidenceintervalof(197Q1990)wi
46、ththesamesamplemeanandthesamesamplestandarddeviation.Howmanyscenarioswereusedtogeneratethisresult?A.400B.800C.1,600D*320028.ColleaguesBenjaminEckoandBernardCharlesrecentlydiscussedtheapplicationofthenormaldistributionforrandomvariablesEckoclaimedthattheZ-StatistiCmeasuresthedistanceinstandarddeviati
47、onunitthatagivenobservationisfromthepopulationmeanCharlesclaimedthatthereisa95%chancethatthez-statisticliesabovenegative1.96RegardingthestatementsofEckoandCharles:A.Eckoiscorrect;CharlesiscorrectB.Eckoiscorrect;CharlesisincorrectC.Eckoisincorrect;CharlesiscorrectD.Eckoisincorrect;Charlesisincorrect2
48、9.HedgeFundhasbeeninexistencefortwoyearsItsaveragemonthlyreturnhasbeen6%withastandarddeviationof5%.HedgeFundhasastatedobjectiveofContrOIIingvolatilityasmeasuredbytheStandarddeviatiofmonthlyreturnsYouareaskedtotestthenullhypothesisthatthevolatilityofHedgeFundsmonthlyreturnisequalto4%versusthealternativehypothesisthatthevolatilityisgreaterthan4%.Assumingthatallmonthlyreturnsareindependentlyandidentically
