FRM二级风险管理和投资管理精选习题

全球财经证书培训领导品牌 1 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Ri k Mt d Risk Management and Investment Management Instructor: Brady Topic Weight: 15% Risk Management and Investment ManagementRisk Management and Investment Management 7. You are asked to evaluate the VaR of a portfolio of two stocks, A and B, estimated at the 95% confidence level and gather the information in the following table:gather the information in the following table: What is the difference between the undiversified VaR and diversified VaR of this portfolio? A USD 314 487 263177444110707287undiversified VaRIndividual VaR=+= StockCurrent Position (USD)Individual VaR (USD)Marginal VaRBeta A StockCurrent Position (USD)Individual VaR (USD)Marginal VaRBeta A2,000,000263,1770.0681.3 B B3,000,000444,1100.080.9 TotalTotal5,000,000 A. USD 314,487 B. USD 331,287 C. USD 353,550 D. USD 376,000 20.06830.08376000 AABB diversified VaRVMVaRVMVaRMM=+=+= 707287376000331287The difference = 全球财经证书培训领导品牌 2 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Answer: B Answer: B Risk Management and Investment ManagementRisk Management and Investment Management Risk Management and Investment ManagementRisk Management and Investment Management 23. A risk manager is researching the risk profile of a hedge fund by conducting the following regression of the funds returns on the positive and negative returns of S Enhance alphas by concentrating the portfolio in thhi hl htkthe high-alpha stocks. Weakness: 分散性弱 Stratification (分层选取法)Stratification (分层选取法) Weakness: It does not consider slightly over-weighting one category and underweighting another. Linear Programming (线性规划)Linear Programming (线性规划) Strength: The linear program takes all the information about alpha into account and controls risk by keeping thealpha into account and controls risk by keeping the characteristics of the portfolio close to the characteristics of the benchmark. Quadratic Programming (二次规划)Quadratic Programming (二次规划) The quadratic program explicitly considers each of the three elements: alpha, risk, and transactions costs. Risk Management and Investment ManagementRisk Management and Investment Management 72. A portfolio manager plans to add a new position of USD 100,000 to current portfolio of USD 10 million. The following information is included in his decision process: Given a risk-free rate of 5%, which asset should the portfolio manager choose and why? A Asset A since it has a lower Sharpe ratio PortfolioAsset AAsset B Mean return PortfolioAsset AAsset B Mean return0.20.250.25 Correlation with portfolioCorrelation with portfolio10.950.4 VolatilityVolatility0.350.250.3 Tracking errorTracking error0.150.120.14 A. Asset A, since it has a lower Sharpe ratio. B. Asset A, since it has a higher correlation. C. Asset B, since it has a higher beta. D. Asset B, since it has a higher Treynor ratio. 全球财经证书培训领导品牌 15 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Answer: DAnswer: D Risk Management and Investment ManagementRisk Management and Investment Management AfBf RRRR = AB MVARMVAR p ii VAR MVAR P = 25%30% 0.950.68,0.40.34 35%35% AB AB pp = MVARMVAR ABAB MVARMVAR Risk Management and Investment ManagementRisk Management and Investment Management 80. Hedge funds may fail for many reasons so picking a fund requires extensive research. As an investor, when performing due diligence on a fund, which of the following findings would be of least concern? A. Use of high leverage B. Use of multiple prime brokers C. High concentration of investmentsg D. Exposure to tail events 全球财经证书培训领导品牌 16 FRM学员服务部咨询：400-600-8011