FRM P1风险管理基础精选习题

Instructor: Brady Topic Weight: 20% Foundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 1. An operational risk manager uses the Poisson distribution to estimate the frequency of losses in excess of USD 2 million during the next year. It is observed that the frequency of losses greater than USD 2 million is three per year on average over the last 10 years. Assuming that this observation is indicative of future occurrences and that the probability of one event occurring is independent of all other events, what is the probability of five losses in excess of USD 2 million occurring during the next two years? A. 10.08% B. 14.04% C. 14.62% D. 16.06% answeranswer: D Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 2. A growing regional bank has added a risk committee to its board. One of the first recommendations of the risk committee is that the bank should develop a risk appetite statement. What best represents a primary function of a risk appetite statement? A. To quantify the level of variability for each risk metric that a firm is willing to accept B. To state specific new business opportunities a firm is willing to pursue C. To assign risk management responsibilities to specific internal staff members D. To state a broad level of acceptable risk to guide the allocation of the firms resources answer: Danswer: D Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 5. You are evaluating the historical performance of four equity funds benchmarked to the BSE SENSEX index, as shown in the table below: Average Annual Return Average Excess Return Standard Deviation of Returns Tracking Error Fund A Average Annual Return Average Excess Return Standard Deviation of Returns Tracking Error Fund A15.45%2.95%15.00%4.20% Fund BFund B14.10%1.60%12.00%1.50% Fund CFund C20.50%8.00%22.00%8.70% Fund DFund D16.75%4.25%18.10%5.10% Which fund has the highest information ratio? A. Fund A B. Fund B C. Fund C D. Fund D answer: Banswer: B Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 6. A risk analyst is analyzing several indicators for a group of countries. If he specifically considers the Gini coefficient in his analysis, in which of the following factors is he most interested? A. Standard of living B. Peacefulness C. Perceived corruption D. Income inequality answer: Danswer: D Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 7. Credit risk analysts at an investment bank are preparing a report on a company. After concluding their research, they estimate a 60% probability that the company will have its credit rating downgraded within one year by a major agency. If including in the report, which of the following would be a violation of the GARP code of Conduct? A. A discussion of a possible trade in the debt of two competing firms that could potentially be acquired by the company B. An analysis of trading in the companys debt by its major bondholders C. A statement that the companys debt is almost certain to be downgraded D. A valuation matrix projecting several potential valuations for the companys debt based on potential credit ratings at the end of one year answer: answer: C Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 17. The chief risk officer of an international bank is instructing his direct reports on best practices for conducting country risk analysis and presenting the findings to senior executives. Which of the following recommendations would be considered the most questionable? A. Risk analysis should be consistent, using rigorous frameworks that allow or valid cross-country comparison. B. Risk reports should be concise, with easy to understand conclusions that have sufficient detail to make them meaningful. C. Risk reports should be informative, providing the end user the rationale behind any assessment without any black boxes that are difficult to understand. D. Risk analysis should be open-ended, presenting several scenarios and taking no particular position on any issue that could bias decision- makers. answer: Danswer: D Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 20. The enterprise risk management process includes several stages. Which of the following procedures would take place during the risk assessment stage? A. Developing the following years budget for the risk management function B. Using simulation analysis to estimate VaR C. Purchasing insurance to mitigate a specific risk factor D. Selecting a risk strategy compatible with the firms risk appetite answer: Banswer: B Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 21. Two portfolios that have the same expected return are benchmarked to the same market index. In comparing these two portfolios, which of the following statements about performance measures is correct? A. The portfolio with the higher beta will have the higher Treynor ratio. B. Jensens alpha is particularly well-suited for comparing portfolios with different levels of risk. C. The portfolio with the higher volatility will have the higher Sharpe ratio but the lower Treynor ratio. D. There is an exact linear relationship between the Treynor ratio and Jensens alpha for each protfolio. answer: Danswer: D Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 23. At large financial institutions, the board of directors plays a key role in the process of creating a culture of risk management. As part of this role, one function that should be fulfilled by the board of directors is to: A. Establish a policy to address individual risk factors by reducing, hedging, or avoiding exposure to each risk. B. Develop risk reports and communicate them to organizational division leaders to conform with best practices. C. Address issues that could potentially represent a conflict of interest by creating committees composed exclusively of executive board members. D. Monitor the effectiveness of the companys governance practices and make any necessary changes to ensure proper compliance. answer: Canswer: C Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 32. A quantitative risk analyst is comparing the computational efficiency of different estimators generated using Monte Carlo simulation. Relevant information is summarized in the following table: Estimator AEstimator BEstimator CEstimator D Standard Deviation0.30 0.40 0.25 0.35 Time for generating one scenario(seconds) 35254030 Scenarios20403050 Total time for generating scenarios(seconds) 7001,0001,2001,500 which of the estimators is most computationally efficient? A. Estimator A B. Estimator B C. Estimator C D. Estimator D answer: Canswer: C Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 35. A manufacturing company has identified several growth opportunities and is seeking to raise capital in order to expand. The company currently has the following metrics: Total debt: USD 100 million total equity: USD 100 million Debt to equity ratio: 1.00 Levered equity beta: 1.75 Current effective tax rate: 25% Management has submitted a proposal to issue additional debt in the amount of USD 100 million to pursue these opportunities. This strategy would also result in the companys effective tax rate decreasing from 25% to 15%. Assuming there are no changes to the companys unlevered asset beta or the market value of the companys equity, the resulting leered equity beta would be within which of or the market value of the companys equity, the resulting levered equity beta would be within which of the following ranges? A. 0.75 and 1.75 B. 1.75 and 2.50 C. 2.50 and 3.25 D. 3.25 and 4.00 answer: Canswer: C Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 37. The following table lists the annual risk-free rate, the return on an equity fund, and the return on the market portfolio for the past three years: YearRisk-Free Rate(%)Equity Fund Return(%)Market Portfolio Return(%)YearRisk-Free Rate(%)Equity Fund Return(%)Market Portfolio Return(%) 11.50 5.50 4.00 22.75 6.50 9.50 34.25 3.50 5.00 Using a linear regression, the beta relating the excess returns of the equity fund to the excess returns of the market portfolio is estimated to be 0.60. What is the best estimate of Jensens alpha of this equity fund over this 3-year period? A. -3.07% B. -1.00% C. 0.33% D. 4.34% answer: Canswer: C Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 45. Studying previous financial disasters provides lessons learned that can help improve processes and controls in order to help prevent future disasters. Which of the following case studies correctly identifies a lesson learned from the given financial disaster? A. The Metallgesellschaft case shows the necessity of procedures that may lead to the detection of fictitious trade entries. B. The Societe Generale case highlights the importance of correctly measuring the correlation between large positions. C. The Barings Bank case demonstrates why firms should restrict the use of leverage in trading Derivatives. D. The Long-Term Capital Management case shows the importance of taking into account that correlations can increase sharply during crises. answer: Danswer: D Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 51. The risk committee of your firm has recently identified the development of a data governance structure as a key strategic objective. A primary goal of operational data governance in an organization is to: A. Encourage the manual processing and aggregation of data. B. Identify data errors quickly in order to minimize their impact. C. Ensure the creation of a data quality scorecard with a single viewpoint used across the organization. D. Centralize the purchasing and administration of information technology systems. answer: Banswer: B Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 54.Socit Gnrale and Kidder Peabody both experienced significant risk management failures. Which of the following statements is correct regarding these events? A. Both occurred when a liquidity event resulted in huge cash losses. B. Both involved trading in fictitious customer accounts. C. Both took place during times of financial market crisis. D. Both involved exploiting weaknesses in trading systems. answer: B answer: B Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 56. You are interested in constructing a portfolio benchmarked to the S&P 500 with a standard deviation of returns less than or equal to 10% per year. Assume the CAPM holds. If the risk-free rate is 2% per year and the expected return on the S&P 500 is 8% per year with a standard deviation of 25% per year, what is the highest expected return you could achieve on your portfolio? A. 4.4% per year B. 5.2% per year C. 6.0% per year D. 6.8% per year answer: Aanswer: A Foundations of Risk ManagementFoundations of Risk Management Foundations of Risk ManagementFoundations of Risk Management 65. A risk manager is reviewing the benefits of diversification with her firms board of directors. She explains that if two securities have a 1-day 95% VaR of X and Y, then the 1-day 95% VaR of the combined portfolio will always be less than or equal to X+Y. Which of the following statements is consistent with the risk managers explanation? A. The risk manager assumed that the values of the two securities are jointly normally distributed random variables. B. The risk manager assumed that the values of the tow securities are uncorrelated. C. The risk manager assumed that the values of the two securities are independent and identically distributed random variables. D. The risk manager made no assumptions because VaR is a coherent risk measure, which supports her statement. answer: Aanswer: A Foundations of Risk ManagementFoundations of Risk Management 75. Assuming a positive market risk premium and holding all other things equal, which of the following statements about the CAPM is correct? A. The expected return on a security decreases when its correlation with the market return decreases. B. For a security with a beta greater than 1.0, an increase in the risk- free rate will increase its expected return. C. A stock with a beta of 2.0 will always have a higher standard deviation than a stock with a beta of 0.5. D. The expected return on a security will increase when the standard deviation of the market return increases. Foundations of Risk ManagementFoundations of Risk Management answer: Aanswer: A Foundations of Risk ManagementFoundations of Risk Management 80. The valuation team at a bank is asked to value a small business that will operate under a 3-year le