FRM二级操作及综合风险管理精选习题

全球财经证书培训领导品牌 1 1 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Otil d I tt d Operational and Integrated Risk Management Instructor: Alex Topic Weight: 25% 13. Your bank is considering making a USD 500 million loan that will be fully funded by deposits paying an average annual interest rate of 2%. The loan has an interest rate 7% per year. The expected loss on this Operational and Integrated Risk ManagementOperational and Integrated Risk Management loan is assumed to be 1.5% and the operating costs associated with it are assumed to be equal to 1% of the face value of the loan. Assuming that economic capital is set at 10% of the loan book and that it earns 6% per year, what is the risk-adjusted return on capital for this loan? A. 19% B. 25% C. 29% D. 31% 全球财经证书培训领导品牌 2 2 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： answer: Danswer: D Operational and Integrated Risk ManagementOperational and Integrated Risk Management Operational and Integrated Risk ManagementOperational and Integrated Risk Management +500 7%500 2%500 1.5%500 1%500 10% 6% 31%RAROC= 31% 500 10% RAROC 全球财经证书培训领导品牌 3 3 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： 16. Analysts at a global bank are developing risk reporting systems to comply with the Basel Advanced Measurement Approaches. In setting a threshold for losses to be considered material for data collection Operational and Integrated Risk ManagementOperational and Integrated Risk Management purpose, which of the following is a prudent approach for the bank to use? A. Use statistical evidence to justify that losses below the threshold would have an immaterial impact of capital calculations B. Use cost-benefit analysis to justify a threshold that would minimize the banks operational risk charge C. Select a single loss data threshold for all global subsidiaries which is gg equal to the appropriate threshold for the largest operation D. Select a threshold based on the 99th percentile of the frequency distribution of its operational loss. answer: Aanswer: A Operational and Integrated Risk ManagementOperational and Integrated Risk Management 全球财经证书培训领导品牌 4 4 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Notes-book 3 P258Notes-book 3 P258 Operational and Integrated Risk ManagementOperational and Integrated Risk Management 17. Capital conservation buffers (资本留存缓冲）have been established by the Basel Committee as part of measures designed to ensure that banks have enough capital to handle stress situations. Assuming no regulatory add-ons have been imposed which of the following is correct? Operational and Integrated Risk ManagementOperational and Integrated Risk Management have been imposed, which of the following is correct? A. If the bank has 8% Common Equity Tier 1 (CET1) capital with no Additional Tier 1 or Tier 2 capital, it would have zero conservation buffer and therefore be subject to a 100% constraint on capital distributions. B. If the bank has 8% CET1 with no Additional Tier 1 or Tier 2 capital, it would satisfy the zero conservation buffer and therefore not be subjected to a constraint on capital distributions. C. If the bank has 7% CET1 with no Additional Tier 1 or Tier 2 capital, it would have a 2 5% conservation buffer and therefore not be subjected to ahave a 2.5% conservation buffer and therefore not be subjected to a constraint on capital distributions. D. I the bank has 9.5% CET1 with no Additional Tier 1 or Tier 2 capital, it would have a 2.5% conservation buffer and therefore not be subjected to a constraint on capital distributions. 全球财经证书培训领导品牌 5 5 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： answer: Aanswer: A Operational and Integrated Risk ManagementOperational and Integrated Risk Management Notes-book 3 P218Notes-book 3 P218 Operational and Integrated Risk ManagementOperational and Integrated Risk Management 全球财经证书培训领导品牌 6 6 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Operational and Integrated Risk ManagementOperational and Integrated Risk Management 18. Which of the belowing statements about the process of estimating operational risk is correct? A When operational losses from two or more business units are combined Operational and Integrated Risk ManagementOperational and Integrated Risk Management A. When operational losses from two or more business units are combined, the unit with the heaviest-tailed distribution dominates the tail of the distribution of total losses.（最厚尾分布的单元对整体损失分布影响最大） B. An incidence of an extreme loss at a bank will usually result in changes to the banks internal controls and processes which increase the likelihood of a similar loss event in the future.（可以加强控制防止类似情况发生，所以变少） C. The high excess kurtosis in typical operational loss distributions allows accurate quintile estimates to be made with a relatively small sample （小样accurate quintile estimates to be made with a relatively small sample. （小样 本很难精确量化超额峰度操作损失） D. A bank with 10 years of historical loss data will have sufficient internal loss data to accurately estimate the percentile of its annual operational loss distribution.（数据样本太少） 99.9 th 全球财经证书培训领导品牌 7 7 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： answer: Aanswer: A Operational and Integrated Risk ManagementOperational and Integrated Risk Management 25. The Basel II/III standard approach and the Solvency II （偿付能力II） basic approach to capital requirements take very different approaches to the benefits of diversification across risk classes and Operational and Integrated Risk ManagementOperational and Integrated Risk Management approaches to the benefits of diversification across risk classes and legal entities when calculating required capital. Under their respective Pillar I rules, which of the following statements is correct? A. Solvency II sums the risk factor capital requirements without including any diversification benefit.（有考虑） B. Basel II/III specifies a correlation matrix to use when calculating diversification benefits.（Solvency II使用 a correlation matrix） C Solvency II incorporates diversification at the group level （全局来看C. Solvency II incorporates diversification at the group level.（全局来看 Solvency II 考虑了分散风险） D. Basel II/III penalizes concentration risk.（没有提及） 全球财经证书培训领导品牌 8 8 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： answer: Canswer: C Operational and Integrated Risk ManagementOperational and Integrated Risk Management Notes-book 3 P274Notes-book 3 P274 Operational and Integrated Risk ManagementOperational and Integrated Risk Management 全球财经证书培训领导品牌 9 9 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Operational and Integrated Risk ManagementOperational and Integrated Risk Management 29. During a market crash in a certain country, some chief risk officers conclude that the mandated use of VaR according to national banking regulations could be amplifying the market crash. To justify this conclusion which of the following statements is correct? Operational and Integrated Risk ManagementOperational and Integrated Risk Management conclusion, which of the following statements is correct? A. When the market fails, VaR-driven bank capital requirements tighten, and banks have to sell off their assets, which puts pressure on the prices of these assets and leads to further losses.（市场下滑时，资本要求更多， 用VaR计量会要求出售部分资产，会加速资产价格 下跌，进一步增加损失） B. VaR-driven bank capital requirements are not responsive to market movements, and banks cannot create extra capacity to enter the market and buy distressed assetsmarket and buy distressed assets. C. The use of stressed VaR makes the capital requirements of the banks unstable. D. The use of stressed VaR increases the capital charges for the banks especially during crises. 全球财经证书培训领导品牌 1010 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： answer: Aanswer: A Operational and Integrated Risk ManagementOperational and Integrated Risk Management 38. A large investment bank has just acquired a smaller regional competitor and is extending its best practices in the field of Operational and Integrated Risk ManagementOperational and Integrated Risk Management pgp operational risk to the newly acquired company. As part of this process, management of the new subsidiary is reviewing which responsibilities should be assumed by the board of directors and which should be assumed by senior management. For which of the following should the board of directors be responsible? A. Implementing operational risk management systems across the organizationg B. Developing a clear, effective and robust governance structure C. Assigning responsibilities to , and reporting relationships between, the banks risk managers D. Periodically reviewing and approving the operational risk management framework 全球财经证书培训领导品牌 1111 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： answer: Danswer: D Operational and Integrated Risk ManagementOperational and Integrated Risk Management Notes-book 3 P15Notes-book 3 P15 Operational and Integrated Risk ManagementOperational and Integrated Risk Management 1.A strong risk management culture 2.Developed and fully integrated into the overall risk management processes 3.The board should approve and periodically review the framework 4.The board must identify the types and levels of operational risks the bank is willing to assume as well as approve risk appetite and risk tolerance statements 5.Develop a well-defined governance structure 6Understand the risks and the incentives related to those risks inherent in the banks6.Understand the risks, and the incentives related to those risks, inherent in the banks business lines and processes 7.Approval process for new business/products/systems that assess the potential operational risks 8.A process for monitoring operational risks and material exposures to losses 9.Strong internal controls, risk mitigation, and risk transfer strategies 10.Have plans in place to survive in the event of a major business disruption 11.Make disclosure to outside stakeholders 全球财经证书培训领导品牌 1212 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： 40. A German bank uses the loss distribution approach to estimate its operational risk. Which of the following decisions will most likely cause Operational and Integrated Risk ManagementOperational and Integrated Risk Management the bank to significantly overestimate its operational risk capital? A. Establishing a minimum threshold of EUR 10,000 for internal and external operational loss events to be included in the dataset（阈值取 得小，样本就大，其实是低估了风险） B. Using a Gaussian copula to model dependence between several marginal loss distributions representing different business units at the bank（没有迹象显示有高估的可能） C. Assuming that operational loss events and severity across the banks business units are perfectly dependent（完全相关是增大风险） D. Relying solely upon historical internal loss events and severity collected over the past five years（应该是内部和外部数据都用，只用内 部会低估风险） answer: Canswer: C Operational and Integrated Risk ManagementOperational and Integrated Risk Management 全球财经证书培训领导品牌 1313 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： 44. An analyst in the model validation team is reviewing the firms latest VaR model. Which practice is most likely to introduce model risk into a fi V Rd l? Operational and Integrated Risk ManagementOperational and Integrated Risk Management firms VaR model? A. Using a 99% confidence level instead of a 95% confidence level for a new simulation run （置信水平大小与模型风险无关） B. Assuming a stable correlation between assets in a hedged portfolio across a quarterly forecast period（假定的相关性如不稳定，属于参数设定 错误，就会增加风险，产生模型风险） C. Running a Monte Carlo simulation to estimate the standard deviation f thd lttof the models output D. Backtesting the 95% VaR model whenever the 99% VaR estimate yields more than two exceedances in any monthly period. answer: Banswer: B Operational and Integrated Risk ManagementOperational and Integrated Risk Management 全球财经证书培训领导品牌 1414 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： 46. Based on guidance from the Basel Committee, which of the following best describes a key principle for effective data tid i kti? Operational and Integrated Risk ManagementOperational and Integrated Risk Management aggregation and risk reporting? A. The main goal of aggregating risk data should be to meet recurring and standard risk management reporting requests. B. A bank should use same metrics and systems to report risk factors and aggregate risk data across the organization to ensure consistent reporting results . C. Data and information technology infrastructure should fully t i ktitidllk tditi（符合书上support risk reporting practices under all market conditions.（符合书上 的描述） D. Data should be aggregated on a largely manual basis but must be subject to automated validation to reduce the potential for human error. answer: Canswer: C Operational and Integrated Risk ManagementOperational and Integrated Risk Management 全球财经证书培训领导品牌 1515 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Notes-book 3 P152Notes-book 3 P152 Operational and Integrated Risk ManagementOperational and Integrated Risk Management 54. A bank operates in a country that has mandated full compliance with the Basel III Accord. The banks capital is provided in the table below: Amount (USDAmount (USD Operational and Integrated Risk ManagementOperational and Integrated Risk Management Risk-Weighted AssetsRisk-Weighted Assets AmountAmount (USD(USD millions) Total risk-weighted assets for credit risk millions) Total risk-weighted assets for credit risk1,355 RWA for credit risk-Basel III IRB ApproachRWA for credit risk-Basel III IRB Approach1,137 CVA capital chargeCVA capital charge218 Total capital charge for market riskTotal capital charge for market risk36 Total capital charge for operational riskTotal capital charge for operational risk48 Other Pillar 1 capital requirementsOther Pillar 1 capital requirements0 What level of Risk-Weighted Assets should the bank report according to Basel requirements? A. USD 1,137 million B. USD 1,439 million C. USD 1,853 million D. USD 2,405 million 全球财经证书培训领导品牌 1616 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： answer: Danswer: D Operational and Integrated Risk ManagementOperational and Integrated Risk Management =+=Risk Weighted Assets(3648) 12 5 13552405 Operational and Integrated Risk ManagementOperational and Integrated Risk Management =+=Risk Weighted Assets(3648) 12.5 13552405 全球财经证书培训领导品牌 1717 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： 63. A banks risk analyst has completed an inventory of firm-wide risks and has classified these risks as market, credit, or operational. Which of the following observations from the banks data would be most Operational and Integrated Risk ManagementOperational and Integrated Risk Management of the following observations from the banks data would be most consistent with typical features of industry data? A. The operational risk distribution has a large number of small losses. B. The credit risk distribution is symmetric and has relatively thin tails compared to normal distribution.(信用风险分布非对称） C. The market risk distribution has a large negative skew and very high kurtosis.（描述过于夸张） D The firm-wide risk distribution is very similar to a normal distributionD. The firm wide risk distribution is very similar to a normal distribution. （不会是正态分布） answer: Aanswer: A Operational and Integrated Risk ManagementOperational and Integrated Risk Management 全球财经证书培训领导品牌 1818 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： 76. The Basel Committee suggests that banks should maintain three strong line of defense to help ensure an effective process of til i kditthBl Citt Operational and Integrated Risk ManagementOperational and Integrated Risk Management operational risk governance. according to the Basel Committee, the first line of defense