FRM-201905-P1 冲刺模拟考（题目+答案）.docx

FRM-201905-P1冲刺模拟考1.AbanksriskcommitteeisreviewingthebanksmostsignificantlosseventsandcategorizingeacheventintospecificriskcategoriesInoneCaSGamodeloperatorinputtheWrongpriceforasecurityintoanalgorithmusedfortradingwhichthencausedthealgorithmtobuyinsteadofsellthesecurity;Thissituationwouldbeanexampleof:A.Marketrisk.B.Operationalrisk,C.StrategicriskD.Liquidityrisk2InpreparationforabriefingtotheboardofdirectorytheCROconsidersspecificexplanationsastowhycertainrisksshouldbehedgedWhichofthefollowingwouldbeanaccurateexplanationoftheimpactofhedgingriskexposuresonshareholderwealth?.Hedgingincreasesthevariabilityofthefirm'sprofitmakingthefirmamoreattractiveinvestmentforstakeholdersB.Hedgingreducesafim'sexpectedcostsoffinancialdistressC.Hedgingdosenotincreaseshareholderwealthbecauseshareholdershavediversifiedportfolios.D.Hedgingwithderivativesreducesthecomplianceandoperationalcostsofthefirm.3.TheboardofdirectorsplaysakeyroleintheprocessofcreatingastrongcultureofriskmanagementatanorganizationAspartofthisroleonefunctionthatshouldbefulfilledbytheboardofdirectorsisto:A.MonitortheeffectivenessofthecompandSgovernancepracticesandmakechanges;ifnecessary,toensurepropercompliance.B.Ensurethattheinterestsoftheconpan/SstakeholdersareprioritizedaboveitsexecutiveinterestsinordertomaximizethepotentialreturnoninvestmentC.AddressissuesthatcouldpotentiallyrepresentaconflictofinterestbyassigningcommitteescomposedexclusivelyofexecutiveboardmembersD.Establishapolicytoaddressindividualriskfactorsbyeitherreducing,hedgingoravoidingexposuretoeachrisk.4.AboardofdirectorsisevaluatingtheimplementationofanewERMprogramatanassetmanagementcompany.WhichstatementbelowisconsistentacrossthevariouscurrentdefinitionsofanERMprogramandmostappropriatetobeincludedinthecompanysERMdefinitionandgoals?.TheERMprogramshouldreducecostsbytransferringorinsuringmostoftheComPanysmajorriskexposures,B.ThemajorgoalofthenewERMprogramshouldbetoreduceearningsvolatilityC.TheERMprogramshouldbemanagedseparatelyfromtheoperationalsideofthecompany.D.TheERMprogramshouldprovideanintegratedstrategytomanageriskacrossthecompanyasawhole5.TheboardofdirectcrsatalargebankisconsideringcreatingaCROpositionWhichofthefollowingwouldbeanappropriatedescriptionofafunctionoftheCROposition?A.DevelopriskmanagementpoliciesandcommunicatethecompanySriskprofiletokeystakeholdersB.Performbacktestsandscenarioanalysestotestassumptionsinthebank'sriskmodelsC.Independentlyapprovechangesinthebanksrisktoleranceanditsriskappetiteframework.D.Establishandexecuterisktransferstrategiesonaday-tcrdaybasis6.Whichofthefollowingmethodswillgenerallybeeffectiveinreducingthelikelihoodthatyourfirmisexposedto“hiddenrisk，'？1.ReducingtheflexibilitywhentradershavetorespondtomarketeventsILCreatingacultureofriskawarenessthroughouttheorganizationIILStructuringcompensationtobealignedwiththeriskappetiteofthefirm.IV.InvestingheavilyinquantitativeriskmodelsA.IonlyB.IVonlyC,IIandIIIonlyD.LIIandIIIonly7.Incharacterizingvariousdimensionsofabanl<Sdata,theBaselCommitteehassuggestedseveralprinciplestopromotestrongandeffectiveriskdataaggregationcapabilitiesWhichstatementcorrectlydescribesarecommendationwhichthebankshouldfollowinaccordancewiththegivenprinciple?.TheintegrityprinciplerecommendsthatdataaggregationshouldbecompletelyautomatedwithoutanymanualinterventionB.Thecompletenessprinciplerecommendsthatafinancialinstitutionshouldcapturedataonitsentireuniverseofmaterialriskexposures,C.TheadaptabilityprinciplerecommendsthatabankshouldfrequentlyupdateitsriskreportingsystemstoincorporatechangesinbestpracticesD.Theaccuracyprinciplerecommendsthattheriskdatabereconciledwithmanagement:sestimatesofriskexposurepriortoaggregation8.nanalystisconsideringaninvestmentinstockDKRandhasgatheredthefollowinginfermation:theanalystbelievesDKRisfairlyvaluedaccordingtotheCAPM.ExpectedreturnofDKR&00%RiSkfreerate250%StandarddeviationofDKRreturns1475%Standarddeviationofmarketreturns1350%CorrelationofDKRreturnandmarketreturnsQ76Basedonthisinformation,whatistheexpectedreturnofthemarketportfolio?A*9.12%B.10.43%C.1219%D.15.12%9.Whichofthefollowingstatementsconcerningthecapitalassetpricingmodel(CPM)andthecapitalmarketline(CML)iscorrect?.IJetaidentifiestheappropriatelevelofriskforwhichaninvestorshouldbecompensatedB.UnsystematicriskisnotdiversifiableSothereisnorewardfortakingonsuchrisk,C.AssetswithequivalentbetaswillalwaysearndifferentreturnsDThemarketriskpremiumiscalculatedbymultiplyingbetabythedifferencebetweentheexpectedreturnonthemarketandtheriskeerateofreturn10.Whichofthefollowingstatementsaboutportfolioriskanddiversificationisleastaccurate?.NotallriskisdiversifiableB.UnsystematicriskcanbesubstantiallyreducedbydiversificationC.Systematicriskcanbeeliminatedbyholdingsecuritiesinawell-diversifiedinternationalstockportfoliD.Noneofabove1LTwoportfoliosthathavetheexactsameexpectedreturnandsamebenchmarkindex.Incomparingthesetwoportfoliowhichofthefollowingstatementsaboutperformancemeasuresiscorrect?.TheportfoliowiththehigherbetawillhavethehigherTreynorratiB.Jenserisalphaisparticularlywell-suitedforcomparingportfolioswithdifferentlevelsofrisk.C.TheportfoliowiththehighervolatilitywillhavethehigherSharPeratiobutthelowerTreynorratioD.ThereisanexactlinearrelationshipbetweentheTreynorratioandJenserlsalphaforeachportfolia12.banksinvestmentanalystispreparingtovalueseveralequitiesinthebanksportfolioandiscomparingdifferenttheoriesrelatedtothediscountratethatshouldbeappliedtoequitycashflowsWhichofthefollowingstatementsiscorrectwithrespecttothearbitragepricingtheory(APT)?A.WhenanAPTfactorbetaispositiveanincreaseintheriskpremiumwillleadtoadecreaseintheassefsexpectedreturn.B.TheAPTassumesallcompanyspecificriskscanbecompletelydiversifiedawayinaportfolioC.InanAPTInodeLthefactorbetasforthemarketportfolioaretypicallyequalto1.D.TheAPTassumesthatallinvestorsholdmean-varianceefficientportfoliosandwillmakesmallportfoliochangeswhenamispricedsecurityexists.13.AriskanalystisestimatingthesensitivityofaStOCKSexpectedreturntodifferentmacroeconomicscenariosusinganarbitragepricingtheoryframeworkTheanalystderivesthefollowingestimatesforthefactorsbetas:(industrialProduction)=0.75,(interestRate)=-L25Underbaselineexpectation与withindustrialproductiongrowthof3.0%andaninterestrateof25%,theexpectedreturnforthestockisestimatedtobe4.0%.UnderwhichofthefollowingscenarioswillthestockhavetheIOWeStexpectedreturn?.Industrialproductiongrowthof&0%andaninterestrateof3.0%B.Industrialproductiongrowthof-20%andaninterestrateof1.0%C.Industrialproductiongrowthof40%andaninterestrateof5.0%D.Industrialproductiongrowthof1.0%andaninterestrateof20%14,portfoliomanagerreturns10%withavolatilityof20%.Thebenchmarkreturns8%withavolatilityof14ThecorrelationbetweenthetwoisQ9&Therisk-freerateis3%.Whichofthefollowingstatementsiscorrect?A.TheportfoliohashigherSRthanthebenchmarkB.TheportfoliohasnegativeIRC.TheIRisQ35D.TheIRisQ2915.StudyingpreviousfinancialdisastersprovideslessonslearnedthatcanhelpimproveprocessesandcontrolsinordertohelppreventfuturedisastersWhichofthefollo½ringcasestudiescorrectlyidentifiesalessonlearnedfromthegivenfinancialdisaster?.TheMetallgesellschaftcaseshowsthenecessityofproceduresthatmayleadtothedetectionoffictitioustradeentriesB.TheSocieteGeneralecasehighlightstheimportanceofcorrectlymeasuringthecorrelationbetweenlargepositionsC.TheBaringsBankcasedemonstrateswhyfirmsshouldrestricttheuseofleverageintradingDerivativesD.TheLong-TermCapitalManagementcaseshowstheimportanceoftakingintoaccountthatcorrelationscanincreasesharplyduringcrises16.Pastfinancialdisastershaveresultedwhenafirmallowsatradertohavedualrolesasboththeheadoftradingandtheheadoftheback-officesupportfunctionWhichofthefollowingcasestudiesdidnotinvolvethisparticularoperationalriskoversight?1.AlliedIrishBank.ILBarings.IOnlyB.IIonl¾C.BothLandILD.NeitherLnorII17.riskconsultantisreviewingtheroleofregulatoryarbitrageinthe2007creditcrisistobetterunderstandthelessonslearnedasaresultofthecrisisWhichofthefollowingbestdescribeshowregulatoryarbitragetookplaceinthemortgagesecuritizationmarket?A.BankssecuritizedmortgagesandtheninvestedintranchesoftheseMBStogetamorefavorabletreatmentforcapitalpurposes.B.MortgageoriginatorswererequiredtopurchaseaportionofMBSequitytrancheswhichwerethenofferedinthesecondarymarketC.PensionfundswhichinvestedinmortgagesecuritieswererequiredtoholdonlysecuritiesratedBBBandaboveD.Mortgageoriginatorswereencouragedtoofferadjustableratemortgagestosubprimeborrowerswithinitiallow“teaseIrrates18.BasedontheriskassessmentoftheCRO,BankUnitedSCEOdecidedtomakealargeinvestmentinaleveredportfolioofCDOs.TheCROhadestimatedthattheportfoliohada1%chanceoflosing$1billionormoreoveroneyear,alossthatwouldmakethebankinsolventAttheendofthefirstyeartheportfoliohaslost$2billionandthebankwasclosedbyregulatorsWhichofthefollowingstatementsiscorrect?A.TheOUtcomedemonstratesariskmanagementfailurebecausethebankdidnoteliminatethepossibilityoffinancialdistressB.TheoutcomedemonstratesariskmanagementfailurebecausethefactthatanextremelyunlikelyoutcomeoccnedC.TheoutcomedemonstratesariskmanagementfailurebecausetheCROfailedtogotoregulatorstostoptheshutdown.D.Basedontheinformationprovided,onecannotdeterminewhetheritwasariskmanagementfailure19.Creditriskanalystsataninvestmentbankarepreparingareportonacompany.Afterconcludingtheirresearch,theyestimatea60%probabilitythatthecompanywillhaveitscreditratingdowngradedwithinoneyearbyamajoragency;Ifincludinginthereport,whichofthefollowingwouldbeaviolationoftheGARPcodeofConduct?.discussionofapossibletradeinthedebtoftwocompetingfirmsthatcouldpotentiallybeacquiredbythecompany.B.nanalysisoftradinginthecompandSdebtbyitsmajorbondholdersC.AstatementthatthecompanySdebtisalmostcertaintobedowngraded.D.AvaluationmatrixprojectingseveralpotentialvaluationsforthecompandSdebtbasedonpotentialCreditratingsattheendofoneyear20.BobHatfieldhashisownmoneymanagementfirmwithtwoclientsTheaccountsofthetwoclientsareequalinvalue.ItisHatfieldsopinionthatinterestrateswillfallinthenearfutureBaseduponthisHatfieldbeginsincreasingthebondallocationofeachportfolio.InordertocomplywithBestPracticesintheGARPCodeofCondUCttheanalystneedsto:A.informtheclientsofthechangeandtellthemitisbaseduponanopinionandnotafactB.makesurethatthechangeisidenticalforbothclientsC.fileareportwiththeSECofthenewportfolioallocationD.Performallofthesefunctions21.firmisconcernedaboutpotentialincreasesinthefederalfundsrateandtheirimpactontheS&P500.Fora3-monthfcrecastperiodthefirmseconomicsteamestimatesthefollowing:90%probabilitythattheFederalReservewillnotraisethefederalfundsrate32%probabilitythatthereturnontheS&P500WillbebetweenT0%and+10%.38%chancethattheretuontheS&P500willbelessthan-10%.21%jointprobabilitythatthereturnontheS&P500willbegreaterthan10%andthattheFederalReservewillnotraisethefederalfundsrateBasedontheestimatesabovegiventhattheFederalReserveraisesthefederalfundsrawhatistheprobabilitythatthereturnontheS&P500isgreaterthan10%?A.10%B.15%C.20%D.40%22nanalystistryingtodeterminethequalityofapoolofloansusingdefaultdataTheanalystknowsthatofallPOoIS10%areLowRisk,70%areAverageRiskEachmonth,thereisa90%probabilitythataLowRiskpoolhasnodefaultsan80%chancethatanAverageRiskpoolhasnodefaultsanda70%chancethataHighRiskpoolhasnodefaultsIfinonemonththepoolcheckedbytheanalystdidhavedefaultswhatistheprobabilitythatthispooliseitherLowRiskorAverageRisk?A.2&57%B.3333%C.6&67%D.71.43%23.neconomicanalystascalculatedtheprobabilitiesofthreepossiblestatesfortheeconomynextyear:growth,normal,andrecessionAbankanalysthasestimatedthepossiblereturnsontwostocks,AandB,ineachofthethreescenariosshowninthefollowingtable:StateProbabilityReturnofStockAReturnofStockBGrowthQ200.30Q20Normal0.600.10Q10RecessionQ20-Q20-Q10GiventhatthestandarddeviationoftheestimatedreturnsonstocksAandBare160%and9.8%,respectively,whatisthecovarianceoftheestimatedreturnsonstocksAandB?A.-Q0187B.-Q0156C.0.0156I).Q017824Ananalystisconcernedwiththesymmetryandpeakednessofadistributionofreturnsoveraperiodoftimeforacompanysheisexamining.Shedoessomecalculationsandfindsthatthemedianreturnis42%,themeanreturnis4.8%,andthemodereturnis3.7Shealsofindsthatthemeasureofexcesskurtosisis2Basedonthisinformation,thecorrectcharacterizationofthedistributionofreturnsovertimeis:SkewnessKurtosisA.PositiveLeptokurticB.PositivePlatykurticC.NegativePlatykurticD.NegativeLeptokurtic25.creditanalystcoversaportfolioof10bondsthatareallcurrentlyratedinvestmentgradeUnderthecompanysportfolioinvestmentguidelinenomorethantwobondsintheportfoliomayberatednon-investmentgradeTheanalysthasestimatedthateachbondhasa20%probabilityofbeingdowngradedtono11-investmentgradeoverthefollowingyearandeachdowngradeisindependentofotherdowngradesWhatistheestimatedprobabilitythatmorethantwobondsintheportfoliowillberatednoninvestmeritgradeattheendofnextyear?.322%B.37.6%C.623%D.67.8%26.AnanalystislookingtocombinetwostockswithannualreturnsthatarejointlynormallydistributedanduncorrelatedStockAhasameanreturnof7%andastandarddeviationofreturnsof20%;StockBhasameanreturnof12%andastandarddeviationofreturnsof15%.Iftheanalystcombinesthestksintoanequallyweightedportfoliqwhatistheprobabilitythattheportfolioreturnoverthenextyearwillbegreaterthan12%?Z0OLOl0.1Q52980.54380.2Q5793OL58320.3Q61790.6217A.4207%B.44.32%C.5&67%D.57.93%27.QuantitativeanalystusedasimulationtoforecasttheS&P500indexvalueattheendoftheyearwithanindexvalueof1800atthebeginningoftheyeanHegenerated200scenariosandcalculatedtheaverageindexvalueatyear11endtobe1980,witha95%confidenceintervalof(1940,2020).Inordertoimprovetheaccuracyoftheforecast,thequantitativeanalystincreasedthenumberofscenariostoattainanew95%confidenceintervalof(197Q1990)withthesamesamplemeanandthesamesamplestandarddeviation.Howmanyscenarioswereusedtogeneratethisresult?A.400B.800C.1,600D*320028.ColleaguesBenjaminEckoandBernardCharlesrecentlydiscussedtheapplicationofthenormaldistributionforrandomvariablesEckoclaimedthattheZ-StatistiCmeasuresthedistanceinstandarddeviationunitthatagivenobservationisfromthepopulationmeanCharlesclaimedthatthereisa95%chancethatthez-statisticliesabovenegative1.96RegardingthestatementsofEckoandCharles:A.Eckoiscorrect;CharlesiscorrectB.Eckoiscorrect;CharlesisincorrectC.Eckoisincorrect;CharlesiscorrectD.Eckoisincorrect;Charlesisincorrect29.HedgeFundhasbeeninexistencefortwoyearsItsaveragemonthlyreturnhasbeen6%withastandarddeviationof5%.HedgeFundhasastatedobjectiveofContrOIIingvolatilityasmeasuredbytheStandarddeviatiofmonthlyreturnsYouareaskedtotestthenullhypothesisthatthevolatilityofHedgeFund'smonthlyreturnisequalto4%versusthealternativehypothesisthatthevolatilityisgreaterthan4%.Assumingthatallmonthlyreturnsareindependentlyandidentically