FRM一级_风险管理基础_定量分析答案(★★).pdf

金程教育 WWW.GFEDU.NET 专业领先增值 专业来自百分百的投入 1-30 1.1 FOUNDATION OF RISK MANAGEMENT 1. Financial risk management: A. seeks to eliminate all financial risks. B. only focuses on managing market-related financial risks. C. is the process of reacting to financial losses in order to minimize losses. D. Is the process of detecting, assessing, and managing financial risks. Answer: D 2. The risk of sustaining significant losses due to the inability to take or exit a position at a fair price is most likely: A. market risk B. liquidity risk C. operational risk D. credit event risk Answer: B Liquidity risk is the risk of sustaining significant losses due to the inability to take or exit a position at a fair price. 3. Risk management to reduce the probability of financial distress: A. always increases firm value B. can increase firm value because financial distress has measurable costs C. is easily replicated by individual shareholders D. cannot reduce the weighted average cost of capital Answer: B Financial distress will take up management time and energy and possibly lead to stricter terms from suppliers and loss of customers. Therefore, reducing the probability of financial distress can increase firm value. 4. Which of the following strategies may increase firm value by decreasing the costs of bankruptcy and financial distress? I. Reducing the potential costs of financial distress and bankruptcy. II. Reducing the weighted average cost of capital. III. Improving management incentives. IV. Reducing information asymmetries. A. only B. and only C. ,and only D. and only Answer: D Strategiesandboth suggest risk management to reduce the cost of bankruptcy and financial distress may be value enhancing. 5. The role of risk management does NOT involve performing which of the following tasks? A. Make sure that the firm takes greater than the necessary amount of risk. B. Assess all risks faced by the firm. C. Communicate these risks to risk-taking decision makers. D. Monitor and manage these risks. Answer: A The role of risk management involves performing the following tasks: (1) Assess all risks faced by the firm. (2)Communicate these risks to risk-taking decision makers. And (3) Monitor and manage these risks(make sure that the 金程教育 WWW.GFEDU.NET 专业领先增值 专业来自百分百的投入 2-30 firm only takes the necessary amount of risk) 6. Jim Sheehan manages a diversified portfolio containing forty stocks. The portfolio beta is 1.05. Jim is considering adding the stock of ABC Inc. to the portfolio, and would fund the purchase with cash already in the portfolio. ABC Inc. has a beta of 1.20, and is currently not part of the portfolio. Which statement about the resulting portfolio is TRUE? A. Systematic risk would increase, but the unsystematic risk would be unchanged. B. Systematic risk would decrease, but the unsystematic risk would be unchanged. C. Both systematic risk and unsystematic risk would be unchanged. D. Both systematic risk and unsystematic risk would both incease. Answer: A Since the portfolio is well diversified, the assumed level of unsystematic risk is zero. The addition of ABC Inc. will increase the portfolio beta, and, hence, the level of systematic risk. 1.2 Capital Asset Pricing Model (CAPM) 7. In the context of the capital asset pricing model (CAPM), systematic risk is best described as the part of total risk: A. that is uncorrelated with the market B. that can be reduced through diversification C. for which investors can expect to be compensated D. for which investors cannot expect to be compensated Correct answer: C Solution In the context of the CAPM, systematic risk is correlated with market, can not reduce through diversification and the investor can expect to be compensated. 8. Which of the following statements about portfolio risk and diversification is least accurate? A. Not all risk is diversifiable. B. Unsystematic risk can be substantially reduced by diversification. C. Systematic risk can be eliminated by holding securities in a well-diversified international stock portfolio. D. None of above. Correct answer: C Solution Systematic (market-related) risk cannot be eliminated by diversification. Unsystematic (unique, company-specific) risk can be reduced by diversification, Diversification benefits will occur any time security returns have less than perfect positive correlations. 9. All of the following are assumptions of the Capital Asset Pricing Model EXCEPT A. Each investor seeks to maximize the expected utility of wealth at the end of that investors horizon. B. Investors can borrow and lend at the same risk-free rate. C. Investors have the same expectations concerning returns. D. The time horizons of investors are normally distributed. Answer: D The CAPM assumes that investors all have the same horizon (as well as expectations). This means that the distribution of the horizons is not normal because normality implies a bell-shaped curve distribution, which would have a positive variance and, hence, dispersion. 10. Markowitz Portfolio Theory is not accurately described as including an assumption that: A. risk is measured by the range of expected returns B. for a given risk level, investor prefer higher returns to lower returns C. investors base all their decisions on expected return and risk D. investors focus on utility maximization 金程教育 WWW.GFEDU.NET 专业领先增值 专业来自百分百的投入 3-30 Correct answer: A MPT 假设包括：Returns distribution，Utility maximization，Risk is variability，Risk/return，Risk aversion, 风险由方 差度量，另外注意把 CAPM 的假设作为 MPT 的干扰选项。 11. Gregg Goebel and Mason Eriksson are studying for the FRM examination. They have just started the section on Portfolio Management and Eriksson is having difficulty with the equations for the covariance (cov1,2) and the correlation coefficient (r1,2) for two-stock portfolios. Goebel is confident with the material and creates the following quiz for Eriksson. Using the information in the table below, he asks Erickson to fill in the question marks. Portfolio J Portfolio K Portfolio L Number of Stocks 2 2 2 Covariance ? cov1,2 = 0.020 cov1,2 = 0.003 Correlation coefficient r1,2 = 0.750 ? ? Risk measure Stock 1 Std. Deviation1 = 0.08 Std. Deviation1 = 0.20 Std. Deviation1 = 0.18 Risk measure Stock 2 Std. Deviation2 = 0.18 Std. Deviation2 = 0.12Variance2 = 0.09 Which of the following choices correctly gives the covariance for Portfolio J and the correlation coefficients for Portfolios K and L? Portfolio J Portfolio K Portfolio L A. 1.680 0.002 0.076 B. 0.011 0.002 0.076 C. 0.011 0.833 0.056 D. 1.680 0.833 0.056 Correct answer: C Solution The calculations are as follows: Portfolio J covariance = cov1,2 = (r1,2) * (s1) * (s2) = 0.75 * 0.08 * 0.18 = 0.0108, or 0.011. Portfolio K correlation coefficient = (r1,2) = cov1,2 / (s1) * (s2) = 0.02 / (0.20 * 0.12) = 0.833. Portfolio L correlation coefficient = (r1,2) = cov1,2 / (s1) * (s2)1/2 = 0.003 / (0.18 * 0.091/2) = 0.003 / (0.18 * 0.30) = 0.056. 12. Using the Markowitz model, calculation of the portfolio standard deviation does not require the: A. expected rate of return on the market portfolio B. variance of each individual asset in the portfolio C. covariance between returns for all assets included in the portfolio D. all of above Correct answer: A Solution The Markowitz formula for the standard deviation of a portfolio does not require any information about the market portfolio. 13. An investor has a same amount invested in each of the following four securities: Security Expected annual rate of return W 0.10 X 0.12 Y 0.16 Z 0.22 The investor plans to sell Security Y and use the proceeds to purchase a new security that has same expected return as the current portfolio. The expected return for the investors new portfolio, compared to the current portfolio, will be: A. lower regardless of any change in the standard deviation of the portfolio B. the same regardless of any change in the standard deviation of the portfolio C. lower only if the standard deviation of the new security is lower than the standard deviation Security Y D. higher regardless of any change in the standard deviation of the portfolio 金程教育 WWW.GFEDU.NET 专业领先增值 专业来自百分百的投入 4-30 Correct answer: A Solution The mean is 15%, if Y (16%) is substituted by the portfolio with the mean, the mean of the new portfolio will be reduced. 14. An analyst gathered the following information about a portfolio comprised of two assets: If the covariance of returns for the two assets equals 0.75, then the expected return and expected standard deviation of the portfolio are closest to: Expected Return Expected Standard Deviation A. 12.5% 4.14% B. 12% 4.14% C. 12% 6.44% D. 12.5% 6.44% Correct answer: C Solution The expected return of the portfolio is the weighted average return of the two assets = 0.60 x 10 + 0.40 x 15 = 12%.The expected standard deviation of the portfolio is calculated as:= (0.602 x 0.082) + (0.402 x 0.052) + (2 x 0.60 x 0.40 x 0.75 x 0.08 x 0.05)0.5= 0.0041440.5 = 0.0433 6.44% 15. An investor is considering adding another investment to an existing portfolio. To achieve the maximum diversification benefits, the investor should add an investment that has a correlation coefficient with the existing portfolio closest to: A. 1.0. B. 0.5. C. 0.0. D. 1.0 Correct answer: A Solution Maximum benefits from diversification are achieved when assets with perfect negative correlation are added to a portfolio. Some diversification benefits are achieved as long as the correlation is less than perfectly positive. 16. Two investors, Mr. Black and Mr. White, have varying indifference curves. The indifference curve for Mr. White has a much steeper slope than the indifference curve for Mr. Black. All else being equal, both investors prefer less risk to more, and prefer higher returns to lower. Which of the following statements about the optimal portfolio and level of risk aversion for Mr. White, compared to Mr. Black, is TRUE? Optimal Portfolio Risk Aversion A. Lower on the efficient frontier curve Lower B. Lower on the efficient frontier curve Higher C. Higher on the efficient frontier curve Higher D. Higher on the efficient frontier curve Lower Correct answer: B Solution As indicated by a steeper indifference curve, Mr. White is more risk-averse. Therefore, his optimal portfolio will be lower on the efficient frontier curve relative to Mr. Blacks optimal portfolio. Asset Weight % Expected Return E(R) Expected Standard Deviation E() X 60 10% 8% Y 40 15% 5% 金程教育 WWW.GFEDU.NET 专业领先增值 专业来自百分百的投入 5-30 17. Which of the following statements regarding the Markowitz efficient frontier is least likely to be correct? The optimal portfolio for: I. a more risk-averse investor will be different from the optimal portfolio for a less risk-averse investor II. an investor is the portfolio that lies on the efficient frontier and provides her with the greatest level of utility III. a more risk-averse investor will lie inside the efficient frontier but will lie outside the efficient frontier for a less risk-averse investor A. only B. and only C. only D. , and only Correct answer: C Solution The optimal portfolio will be different for investors with different levels of risk aversion, yet it will always lie on the efficient frontier, not inside or outside the curve. 18. As an investor continues to move upward on the efficient frontier, which of the following best describes the change in the: Slope of the efficient frontier? Incremental return per unit of incremental risk? A. Increase Increase B. Increase Decrease C. Decrease Decrease D. Decrease Increase Correct answer: C Solution Move upward on the efficient frontier, slope of efficient frontier decreases and slop is equal to incremental return per unit of incremental risk. 19. An investor has a portfolio located on the capital market line to the right of the market portfolio. Whether the portfolio is lending/borrowing or linear with the market portfolio? Linear with portfolio Lending/borrowing A. linear lending B. linear borrowing C. nonlinear lending D. nonlinear borrowing Correct answer: B Solution At the right side of market portfolio and on the CML line, the investor is borrowing at the risk free rate to buy the market portfolio. 20. Fabrice Miro and Victoria Leete are studying for the FRM examination. Miro wants to test Leetes understanding of the graph of the capital market line (CML) and the efficient frontier. He develops the following statements and asks her to identify the one that is FALSE. Assuming that Leete answers correctly, which statement does she select? I. The CML is not always straight. II. Investors move up and down the CML by varying the weightings of the risk-free asset and portfolio M by either lending or borrowing the risk-free asset. III. The market portfolio lies on the CML and has only unsystematic risk. A. only B. and only C. only D. , and only Correct answer: C 金程教育 WWW.GFEDU.NET 专业领先增值 专业来自百分百的投入 6-30 Solution The first part of this statement is true - the market portfolio does lie on the CML. However, the market portfolio is completely diversified and thus has no unsystematic risk. The risk that remains is market portfolio risk, or nondiversifiable, or systematic risk. The other choices are true. The CML will “kink” if the borrowing rate and lending rate are not equal. The CML does measure standard deviation (or total risk) against returns, and this is considered a weakness since systematic, or undiversifiable, risk is what investors are compensated for undertaking. The security market line (SML) better represents this because it measures systematic, or beta, risk against expected returns. 21. Which of the following statements about the market portfolio and the capital market line (CML) is least accurate? The market portfolio: I. assumes an equal amount is invested in each risky asset II. bears risk that is related to changes in macroeconomic variables III. is perfectly positively correlated with other portfolios on the CML A. only B. and only C. only D. , and only Correct answer: A Solution All risky assets are included in the market portfolio at market value, not in equal amounts. 22. Assume the annual volatility of the market is 20% and a stocks annual volatility is 30%. The of the stock is 1.2. What are the correlation and covariance, respectively, between the stock and the market? Correlation Covariance A 0.8 0.048 B 0.048 0.8 C 0.8 Cannot be determined with the information given D 0.048 Cannot be determined with the information given A. row A B. row B C. row C D. row D Answer: A A is correct. The calculation is 2 cov, cov,var var cov, 1.2;0.3;0.2 cov,48 0.048 ,0.8 0.3 0.2 sM SMM M sM SM SM SM SM R R RRR R R R corr RR RandR RR corr RR B is incorrect - the values have been swapped (i.e. are in the wrong places). C is incorrect - there is sufficient information for the covariance to be determined. D is incorrect - the correlation calculation is incorrect and there is sufficient information for the covariance to be determined. 金程教育 WWW.GFEDU.NET 专业领先增值 专业来自百分百的投入 7-30 23. As an investor continues to move upward on the capital market line, how will the slope of the capital market line and the incremental return per unit of incremental risk, respectively, change? Slope of the Capital market line Incremental return per unit of incremental risk A. Decreases Decrease B. Decreases Does not change C. Does not change Does not change D. Does not change Decrease Correct answer: C Solution Slope of the capital market line equals to incremental return per unit of incremental risk in value, both of them do not change when an investor continues to move upward on the capital market line. 24. The Fed is expected to raise interest rates. This will cause the security market line to: A. shift upward B. shift downward C. have a steeper slope D. become a band Correct answer: A Solution Shifts in the SML are caused by changes in expected real growth, in market conditions such as interest rates, or changes in the expected rate of inflation. A change in slope is in response to changes in attitudes of investors toward risk; they want either higher or lower rates of return for the same risk. 25. Karissa Grossklaus recently joined an investment banking firm as a research analyst. One of the partners asks her to determine whether a certain stock, Park Street Holdings, is overvalued or undervalued, and by how much (expressed as percentage return). Grossklaus runs a regression and finds the following information on the stock: m s= 0.75, where m = market. Covs,m = 1.30, where s = stock and m = market. The price today (P0) equals $45.00. The expected price in one year (P1) is $55.00. The firm typically pays no dividend. The 3-month Treasury bill is yielding 4.25%. The historical average S he is preparing a purchase recommendation on Burch Corporation. According to the GARP Code of Conduct, which of the following statement about disclosure of conflicts is most correct? Lambert would have to disclose that: A. All of these choices require disclosure B. His wife own 2000 shares of Burch Corporation C. Offshore is a an OTC market maker for Burch Corporation s stock D. He has a material beneficial ownership of Burch Corporation through a family trust Answer: A GARP members should make full and fair disclosure of all matters that could reasonably be expecte