2010年5月FRM1级第一部分风险管理基础课堂练习题(仅含试题).pdf

1 2010 FRM Part 1 Foundations of Risk Management Mock Exam 1 Portfolio Q has a beta of 0 7 and an expected return of 12 8 The market risk premium is 5 25 The risk free rate is 4 85 Calculate Jensen s Alpha measure for Portfolio Q A 7 67 B 2 7 C 5 73 D 4 27 2 You are the new CFO of Global Insurance Inc You have asked a task force to report to you on how to structure an enterprise risk management program FRM with the objective of ensuring that your firm has the optimal level of risk for its level of capital The task force has made the following recommendations Which recommendation would hinder your FRM program from achieving its objective a Management should estimate the amount of capital required to support the risk of its operations given the firm s target rating b Management should allocate the amount of capital determined to support the risk of its operations with the objective that units with better accounting performance receive more capital c Management should measure firm level risk by aggregating risks across the firm consistently d Management should first determine the firm s risk appetite and the general rules for capital allocation 3 All the following are operational risk loss events except a An individual shows up at a branch presenting a check written by a customer for an amount substantially exceeding the customers low checking account balance When the bank calls the customer to ask him for the funds the phone is disconnected and the bank cannot recover the funds b A bank acting as a trustee for a loan pool receives less than the projected funds due to delayed repayment of certain loans c During an adverse market movement the computer network system becomes overwhelmed and only intermittent pricing information is available to the bank s trading desk leading to large losses as traders become unable to alter their hedges in response to falling prices d A loan officer inaccurately enters client financial information into the bank s proprietary credit risk model 2 4 You have been asked to review a memo on how market liquidity is affected by shocks to the financial system Which of the following observations made in the memo is incorrect a In periods of acute market stress market liquidity typically increases in the most liquid markets creating a self correcting loop that will ultimately remove downward pressure on asset prices b Evaporation of market liquidity is an important factor in determining whether and at what speed financial disturbances become financial shocks with potentially systemic threats c Market shocks may not be reflected in mark to market portfolio values immediately for portfolios with illiquid assets As a result it is possible for market shocks to have delayed effects on financial institutions d The impact of a market shock on the liquidity of a specific asset depends on the characteristics of the investors who own the asset 5 What type of operational risk caused substantial losses to Barings Bank a Inability to reconcile a new settlement system b Unauthorized trading c Political turmoil d Massive technology failure 6 A fund manager recently received a report on the performance of his portfolio over the last year According to the report the portfolio return is 9 3 with a standard deviation of 13 5 and beta of 0 83 The risk free rate is 3 2 the semi standard deviation of the portfolio is 8 4 and the tracking error of the portfolio to the benchmark index is 2 8 What is the difference between the value of the fund s Sortino ratio computed relative to the risk free rate and its Sharpe ratio a 1 727 b 0 274 c 0 378 d 0 653 7 The risk of the occurrence of a significant difference between the mark to model value of a complex and or illiquid instrument and the price at which the same instrument is revealed to have traded in the market is referred to as a liquidity risk b dynamic risk c model risk d Mark to market risk 8 Jennifer Durrant is evaluating the existing risk management system of Silverman Asset Management She is asked to match the following events to the corresponding type of risk Identify each numbered event as a market risk credit risk operational risk or legal risk event Event 1 Insufficient training leads to misuse of order management system 2 Credit spreads widen following recent bankruptcies 3 Option writer does not have the resources required to honor a contract 4 Credit swap with counterparty cannot be netted because they originated in multiple jurisdictions a 1 legal risk 2 credit risk 3 operational risk 4 credit risk