FRM-201905-P1-冲刺模拟考（题目+答案）.docx

FRM-201905-P1-冲刺模拟考1.Abanksriskcommitteeisreviewingthebanl<smostsignificantlosseventsandcategorizingeacheventintospecificriskcategoriesInoneCaSeamodeloperatorinputtheWrongpriceforasecurityintoanalgorithmusedfortradingwhichthencausedthealgorithmtobuyinsteadofsellthesecurityThissituationwouldbeanexampleof:A.Marketrisk.B.Operatiaialrisk.C.StrategicriskD.Liquidityrisk.2InpreparationforabriefingtotheboardofdirectorstheCROconsidersspecificexplanationsastowhycertainrisksshouldbehedged.Whichofthefollowingwouldbeanaccurateexplanationoftheimpactofhedgingriskexposuresonshareholderwealth?A.Hedgingincreasesthevariabilityofthefim'sprofitmakingthefirmamoreattractiveinvestmentforstakeholdersB.Hedgingreducesafi,sexpectedcostsoffinancialdistressC.HedgingdosenotincreaseshareholderwealthbecauseshareholdershavediversifiedportfoliosD.Hedgingwithderivativesreducesthecomplianceandoperationalcostsofthefirm.3.TheboardofdirectorsplaysakeyroleintheprocessofcreatingastrongCUItureofriskmanagementatanorganization.Aspartofthisrole*onefunctionthatshouldbefulfilledbytheboardofdirectorsisto:A.Monitortheeffectivenessofthecompandsgovernancepracticesandmakechangesifnecessary,toensurepropercomplianceB.EnsurethattheinterestsoftheConIPanysstakeholdersareprioritizedaboveitsexecutiveinterestsinordertomaxizethepotentialreturnoninvestmentC.AddressissuesthatcouldpotentiallyrepresentaconflictofinterestbyassigningcommitteescomposedexclusivelyofexecutiveboardmembersD.Establishapolicytoaddressindividualriskfactorsbyeitherreducing,hedging,oravoidingexposuretoeachrisk.4.AboardofdirectcrsisevaluatingtheimplementationofanewERMprogramatanassetmanagementcompany.WhichstatementbelowisconsistentacrossthevariouscurrentdefinitionsofanERMProgranlandmostappropriatetobeincludedinthecompanysERMdefinitionandgoals?A.TheERMprogramshouldreducecostsbytransferringorinsuringmostofthecompandsmajorriskexposures,B.ThemajorgoalofthenewERMprogramshouldbetoreduceearningsvolatilityC.TheERMprogramshouldbemanagedseparatelyfromtheoperationalsideofthecompany.D.TheERMprogramshouldprovideanintegratedstrategytomanageriskacrossthecompanyasawhole5.TheboardofdirectorsatalargebankisconsideringcreatingaCROposition.WhichofthefollowingwouldbeanappropriatedesciptionofafunctionoftheCROposition?A.Developriskmanagementpoliciesandcommunicatethecompan/Sriskprofetokeystakeholders.B.PerformbacktestsandscenarioanalysestotestassumptionsinthebanksriskmodelsC.IndependentlyapprovechangesinthebankSriSktoleranceanditsriskappetiteframework.D.EstablishandexecuterisktransferStrategieSonadajMxrdaybasis6.Whichofthefollowingmethodswillgenerallybeeffectiveinreducingthelikelihoodthatyoui'firmisexposedto“hiddenriskd'?1.ReducingtheflexibilitywhentradershavetorespondtomarketeventsHCreatingacultureofriskawarenessthroughouttheorganizationILLStructuringcompensationtobealignedwiththeriskappetiteofthefilm.IV.InvestingheavilyinquantitativeriskmodelsA.IonlyB.IVonlyC.IIandIIIonlyD.LUandIIIonly7.IncharacterizingvariousdimensionsofabanKsdatatheBaselCommitteehassuggestedseveralprinciplestopromotestrongandeffectiveriskdataaggregationcapabilitiesWhichstatementcorrectlydescribesarecommendationwhichthebankshouldfollowinaccordancewiththegivenprinciple?A.Theintegrityprinciplerecommendsthatdataaggregationshouldbecompletelyautomatedwithoutanymanualintervention.B.Thecompletenessprinciplerecommendsthatafinancialinstitutionshouldcapturedataonitsentireuniverseofmaterialriskexposures,a bank should frequently update its risk reportingthe risk data be reconciled with managementsC.TheadaptabilityprinciplerecommendsthatsystemstoincorporatechangesinbestpracticesD.Theaccuracyprinciplerecommendsthatestimatesofriskexposurepriortoaggregation8.AnanalystisconsideringaninvestmentinstockDKRandhasgatheredthefollowinginformation:theanalystbelievesDKRisfairlyvaluedaccordingtotheCAPM.ExpectedreturnofDKR&00%RiSkerate250%StandarddeviationofDKRreturns1475%Standarddeviationofmarketreturns1350%CorrelationofDKRreturnandmarketreturnsQ76Basedonthisinformation,whatistheexpectedreturnofthemarketportfolio?A.9.12%B.10.43%C.1219%D.1512%9.Whichofthefollowingstatementsconcerningthecapitalassetpricingmodel(CAPM)andthecapitalmarketline(CML)iscorrect?A.BetaidentifiestheappropriatelevelofriskforwhichaninvestorshouldbecompensatedB.Unsystematicriskisnotdiversifiabsothereisnorewardfortakingonsuchrisk.C.AssetswithequivalentbetaswillalwaysearndifferentreturnsD.Themarketriskpremiumiscalculatedbymultiplyingbetabythedifferencebetweentheexpectedreturnonthemarketandtherisk-eerateofreturn10.Whichofthefollowingstatementsaboutportfolioriskanddiversificationisleastaccurate?A.NotallriskisdiversifiableB.UnsystematicriskcanbesubstantiallyreducedbydiversificationC.SystematicriskcanbeeliminatedbyholdingsecuritiesinaWelI-diversifiedinternationalstockportfolioD.NoneofaboveILTwoportfoliosthathavetheexactsameexpectedreturnandsamebenchmarkindexIncomparingthesetwoPOrtfoIi03whichofthefollowingstatementsaboutperformancemeasuresiscorrect?A.TheportfoliowiththehigherbetawillhavethehigherTreynorratiB.Jenserisalphaisparticularlywell-suitedforcomparingportfolioswithdifferentlevelsofrisk.C.TheportfoliowiththehighervolatilitywillhavethehigherSharperatiobutthelowerTreynorratioD.ThereisanexactlinearrelatishipbetweentheTreynorratioandJenserisalphaforeachpOEtfoliQ12AbankSinvestmentanalystispreparingtovalueseveralequitiesinthebanksportfolioandiscomparingdifferenttheoriesrelatedtothediscountratethatshouldbeappliedtoequitycashflows,Whichofthefollowingstatementsiscorrectwi±respecttothearbitragepricingtheory(APT)?A.WhenanAPTfactorbetaispositive*anincreaseintheriskpremiumwillleadtoadecreaseintheassefsexpectedretuLB.TheAPTassumesallcompanyspecificriskscanbecompletelydiversifiedawayinaportfoliC.InanAPTmodeXthefactorbetasforthemarketportfolioaretypicallyequalto1.D.TheAPTassumesthatallinvestorsholdmean-varianceefficientportfoliosandwillmakesmallpotfoliochangeswhenamispricedsecurityexists13.Ariskanalystisestimatingthesensitivityofastocksexpectedreturntodifferentmacroeconomicscenariosusinganarbitragepricingthecryframework.Theanalystderivesthefollowingestimatesforthefactorsbetas:GndustialProduction)=0.75(interestRate)=-L25Underbaselineexpectations,withindustrialproductiongrowthof3,0%andaninterestrateof25%,theexpectedreturnforthestockisestimatedtobe4.0%.Underwhichofthefollowingscenarioswillthestockhavethelowestexpectedreturn?A.Industrialproductiongrowthof60%andaninterestrateof3.0%B.Industrialproductiongrowthof-2.0%andaninterestrateofL0%C.IndustrialPrOdUCtiongrowthof4.0%andaninterestrateofS0%D.IndustrialproductiongrowthofL0%andaninterestrateof20%14.Aportfoliomanagerreturns10%withavolatilityof20%.Thebenchmarkretus8%withavolatilityof14%.ThecorrelationbetweenthetwoisQ98.Therisk-freerateis3%.Whichofthefollowingstatementsiscorrect?A.TheportfoliohashigherSRthanthebenchmarkB.TheportfoliohasnegativeIRC.TheIRis0.35D.TheIRis0.2915.StudyingpreviousfinancialdisastersprovideslessonslearnedthatcanhelpimproveprocessesandcontrolsinordertohelppreventfuturedisastersWhichofthefollcwringcasestudiescorrectlyidentifiesalessonlearnedfromthegivenfinancialdisaster?A.TheMetallgesellschaftcaseshowsthenecessityofproceduresthatmayleadtothedetectionoffictitioustradeentriesB.TheSocieteGeneralecasehighlightstheimportanceofcorrectlymeasuringthecorrelationbetweenlargepositions,C.TheBaringsBankcasedemonstrateswhyfirmsshouldrestricttheuseofleverageintradingDerivativesD.TheLong-TermCapitalManagementcaseshowstheimportanceoftakingintoaccountthatcorrelationscanincreasesharplyduringcrises16.Pastfinancialdisastershaveresultedwhenafirmallowsatradertohavedualrolesasboththeheadoftradingandtheheadoftheback-officesupportfunction.Whichofthefollowingcasestudiesdidnotinvolvethisparticularoperationalriskoversight?1AlliedIri由Bank.IIBaringsA.Ionly;B.IIonlyC.BothLandILD.NeitherLnorIL17.Ariskconsultantisreviewingtheroleofregulatoryarbitrageinthe2007creditcrisistobetterunderstandthelessonslearnedasaresultofthecrisisWhichofthefollowingbestdescribeshowregulatoryarbitragetookplaceinthemortgagesecuritizationmarket?A.BankssecuritizedmortgagesandtheninvestedintranchesoftheseMBStogetamorefavorabletreatmentforcapitalpurposesB.MortgageoriginatorswererequiredtopurchaseaportionofMBSequitytrancheswhichwerethenofferedinthesecondarymarketC.PensionfundswhichinvestedinmortgagesecuritieswererequiredtoholdonlysecuritiesratedBBBandaboveD.Mortgageoriginatorswereencouragedtoofferadjustableratemortgagestosubprimeborrowerswithinitiallow“teaseIrrates18.BasedontheriskassessmentoftheCRO,BankUnitedsCEOdecidedtomakealargeinvestmentinaleveredportfolioofCDOs.TheCROhadestimatedthattheportfoliohada1%chanceoflosing$1billionormoreoveroneyear;alossthatwouldmakethebankinsolventAttheendofthefirstyearthepotfoliohaslost$2billionandthebankwasclosedbyregulatorsWhichofthefollowingstatementsiscorrect?A.TheOUtcomedemonstratesariskmanagementfailurebecausethebankdidnoteliminatethepossibilityoffinancialdistress,B.TheoutcomedemonstratesariskmanagementfailurebecausethefactthatanextremelyunlikelyoutcomeoccurredC.TheoutmedemonstratesariskmanagementfailurebecausetheCROfailedtogotoregulatorstostoptheshutdown.D.Basedontheinformationprovideclonecannotdeteninewhetheritwasariskmanagementfailure19.Creditriskanalystsataninvestmentbankarepreparingareportonacompany.Afterconcludingtheirresearch,theyestimatea60%probabilitythatthecompanywillhaveitscreditratingdowngradedwithinoneyearbyamajoragency;IfincludinginthereportwhichofthefollowingwouldbeaviolationoftheGARPcodeofConduct?A.Adiscussionofapossibletradeinthedebtoftwocompetingfirmsthatcouldpotentiallybeacquiredbythecompany.B.AnanalysisoftradinginthecomPanysdebtbyitsmajorbondholders.C.Astatementthatthecompany?SdebtisalmostcertaintobedowngradedD.AvaluationmatrixprojectingseveralpotentialvaluationsfortheCOinPanysdebtbasedonpotentialcreditratingsattheendofoneyear20.BobHatfieldhashisownmoneymanagementfirmwithtwoclientsTheaccountsofthetwoclientsareequalinvalueItisHatfieldsopinionthatinterestrateswillfallinthenearfutureBaseduponthisHatfieldbeginsincreasingthebondallocationofeachportfoliaInordertocomplywithBestPracticesintheGARPCodeofConduct,theanalystneedsto:A.informtheclientsofthechangeandtellthemitisbaseduponanopinionandnotafactB.makesurethatthechangeisidenticalforbothclientsC.feareportwiththeSECofthenewportfolioallocationD.performallofthesefunctions21.AfirmisconcernedaboutpotentialincreasesinthefederalfundsrateandtheirimpactontheS&P500.Fora3-monthforecastperiod,thefirm'seconomicsteamestimatesthefollowing:60%probabilitythattheFederalReservewillnotraisethefederalfundsrate32%probabilitythatthereturnontheS&P500willbebetween-10%and+1038%chancethatthereturnontheS&P500willbelessthan-10%.24%jointprobabilitythatthereturnontheS&P500willbegreaterthan10%andthattheFederalReservewillnotraisethefederalfundsrateBasedontheestimatesabovegiventhattheFederalReserveraisesthefederalfundsratqwhatistheprobabilitythatthereturnontheS&P500isgreaterthan10%?A.10%B.15%C.20%D.40%22AnanalystistryingtodeterminethequalityofapoolofloansusingdefaultdataTheanalystknowsthatofallPOOlS10%areLowRisk,70%areAverageRisk.Eachmonth,thereisa90%probabilitythataLowRiskpoolhasnodefaultan80%chancethatanAverageRiskpoolhasnodefaultsanda70%chancethataHighRiskpoolhasnodefaultsIfinonemonththepoolcheckedbytheanalystdidhavedefaultwhatistheprobabilitythatthispooliseitherLowRiskorAverageRisk?A.2&57%B.33.33%C.6667%D.71.43%23.Aneconomicanalystascalculatedtheprobabilitiesofthreepossiblestatesfortheeconomynextyear:growth,normal,andrecessionAbankanalysthasestimatedthepossiblereturnsontwostockyAandB,ineachofthethreescenariosshowninthefollowingtable:StateProbabilityReturnofStockAReturnofStockBGrowthQ20Q30Q20NormalQ600.10Q10RecessionQ20-ft20-Q10GiventhatthestandarddeviationoftheestimatedreturnsonstocksAandBare16.0%and9.8%,respect!vel¾whatisthecovarianceoftheestimatedreturnsonstocksandB?A.-oi87B,-Q0156C.0.0156I).0.017824.Ananalystisconcernedwiththesymmetryandpeakednessofadistributionofreturnsoveraperiodoftimeforacompanysheisexamining.Shedoessomecalculationsandfindsthatthemedianreturnis42%,themeanreturnis48%,andthemodereturnis37%.Shealsofindsthatthemeasureofexcesskurtosisis2Basedonthisinformation,thecorrectcharacterizationofthedistributionofreturnsovertimeis:SkewnessKurtosisA.PositiveLeptokurticB.PositivePlatykurticC.NegativePlatykUrtiCD.NegativeLeptokurtic25.Acreditanalystcoversaportfolioof10bondsthatareallcurrentlyratedinvestmentgrade,Underthecompanysportfolioinvestmentguidelines;nomorethantwobondsintheportfoliomayberatednon4nvestmeritgrade.Theanalysthasestimatedthateachbondhasa20%probabilityofbeingdowngradedtono11rinvestmentgradeoverthefollowingyearandeachdowngradeisindependentofotherdowngradesWhatistheestimatedprobabilitythatmorethantwobondsintheportfoliowillberatednon-investmeritgradeattheendofnextyear?A.322%B.37.6%C.623%D.67.8%26.AnanalystislookingtocombinetwostockswithannualreturnsthatarejointlynormaHydistributedandUncorrelatedStockAhasameanreturnof7%andastandarddeviationofreturnsof20%;StockBhasameanreturnof12%andastandarddeviationofreturnsof15%.Iftheanalystcombinesthestocksintoanequallyweightedportfoliqwhatistheprobabilitythattheportfolioreturnoverthenextyearwillbegreaterthan12%?Z0QOl0.1Q52980.54380.2(157930.58320.3Q61790.6217.4207%B.4432%C5567%D.57.93%27.QuantitativeanalystusedasimutationtoforecasttheS&P500indexvalueattheendoftheyearwithanindexvalueof1800atthebeginningoftheyearHegenerated200scenariosandcalculatedtheaverageindexvalueatyear-endtobe1980,witha95%confidenceintervalof(1940,2020).Inordertoimprovetheaccuracyoftheforecast,thequantitativeanalystincreasedthenumberofscenariostoattainanew95%confidenceintervalof(1970,1990)withthesamesamplemeanandthesamesampiestandarddeviationHowmanyscenarioswereusedtogeneratethisresult?.400B.800C.1,600I).3,20028.ColleaguesBenjaminEckoandBernardCharlesrecentlydiscussedtheapplicationofthenormaldistributionforrandomvariablesEckoclaimedthattheZ-StatistiCmeasuresthedistance,instandarddeviationunits,thatagivenobservationisfromthepopulationmeaaCharlesclaimedthatthereisa95%chancethattheZ-StatiStiCliesabovenegative1.96RegardingthestatementsofEckoandCharles:A.Eckoiscorrect;CharlesiscorrectB.Eckoiscorrect;CharlesisincorrectC.Eckoisincorrect;CharlesiscorrectD.Eckoisincorrect;Charlesisincorrect29.HedgeFundhasbeeninexistencefortwoyears.Itsaveragemonthlyreturnhasbeen6%withastandarddeviationof5%.HedgeFundhasastatedobjectiveofcontrollingvolatilityasmeasuredbythestandarddeviationofmonthlyreturns,YouareaskedtotestthenullhypothesisthatthevolatilityofHedgeFund,smonthlyreturnisequalto4%versusthealternativehypothesisthatthevolatilityisgreaterthan4%.Assumingthatallmonthlyreturnsareindependentlyan