2025年FRM一级真题解析

2025年FRM一级真题解析考试时间：______分钟总分：______分姓名：______Part11.Theprimarygoalofariskmanagerisgenerallyconsideredtobe:A.Maximizingthefirm'sprofitatanycost.B.Minimizingthefirm'sexposuretoalltypesofrisk.C.Ensuringthefirmachievesitsriskappetitewhilemanagingriskwithinacceptedlimits.D.Completelyeliminatingallrisksfacedbythefirm.2.Whichofthefollowingistypicallyconsideredamarketriskexposureforabank?A.Creditriskarisingfromloandefaults.B.Lossesduetofraudcommittedbyemployees.C.Potentiallossesfromadversemovementsininterestratesaffectingthevalueofitsbondportfolio.D.Liabilitiesthatincreaseunexpectedlyduetoasuddenwithdrawalofdeposits.3.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedreturnonanassetisdeterminedby:A.Theasset'sbeta,therisk-freerate,andthemarketriskpremium.B.Theasset'salpha,therisk-freerate,andthestandarddeviationofmarketreturns.C.Theasset'sduration,theyieldcurveshape,andtheinflationrate.D.Theasset'sdividendyield,itsgrowthrate,andtherequiredrateofreturnbyinvestors.4.Acompanyusesa95%confidencelevelanda5-dayholdingperiodwhencalculatingValueatRisk(VaR).Ifthe5-dayVaRatthe95%confidencelevelis$1million,whatisthemaximumlossthecompanyexpectstoexceedwitha95%probabilityovera5-dayperiod?A.$1million.B.$2million.C.$1.645million.D.$0.822million.5.Whichofthefollowingstatementsbestdescribestherelationshipbetweencorrelationandportfoliorisk?A.Highercorrelationbetweenassetsinaportfolioincreasesportfoliorisk.B.Lowercorrelationbetweenassetsinaportfoliodecreasesportfoliorisk.C.Correlationhasnoimpactontheoverallriskofadiversifiedportfolio.D.Theeffectofcorrelationonportfolioriskdependssolelyontheweightsoftheassets.6.Forwardratesarecommonlyusedfor:A.Calculatingthepresentvalueofabond.B.Determiningtheyieldtomaturityofafixed-incomesecurity.C.Pricingforwardcontractsoncommoditiesorfinancialinstruments.D.Estimatingthefuturevalueofaninvestmentbasedonthecompoundinterestrate.7.The希腊字母'Delta'(Δ)inoptionspricingrefersto:A.Therateofchangeoftheoption'spricewithrespecttothepriceoftheunderlyingasset.B.Theoption'spricesensitivitytochangesintherisk-freeinterestrate.C.Theoption'spricesensitivitytochangesinvolatility.D.Thechangeintheoption'svalueresultingfromaone-unitchangeinthestrikeprice.8.WhichofthefollowingisakeyassumptionoftheBlack-Scholes-MertonmodelforpricingEuropeancalloptions?A.Theunderlyingassetcanbesoldshortatanytime.B.Theoptioncanonlybeexercisedatexpiration.C.Therisk-freeinterestrateisexpectedtodecreaseoverthelifeoftheoption.D.Thevolatilityoftheunderlyingasset'sreturnsisconstant.9.Abankcalculatesitsmarketriskcapitalrequirementbasedonitsexposuretointerestraterisk.Whichofthefollowingmethodsismostlikelyusedforthiscalculation?A.EconomicValueofEquity(EVE)analysis.B.BasicRiskAdjustedPerformance(RAP)calculation.C.StandardizedApproachforoperationalrisk.D.InternalRating-Based(IRB)approachforcreditrisk.10.Theprincipleofdiversificationininvestmentportfoliomanagementisprimarilybasedon:A.Theabilityofdifferentassetstoperfectlypredictmarketmovements.B.Thereductionofportfoliovariancewhenassetsareadded,especiallythosewithlowornegativecorrelations.C.Thebeliefthatassetpricesalwaysmoveinthesamedirection.D.Therequirementbyregulatoryauthoritiestoholdacertainmixofassets.11.Whichtypeofriskarisesfrominadequateorfailedinternalprocesses,systems,orfromexternaleventsaffectingtheoperationsofafinancialinstitution?A.Creditrisk.B.Marketrisk.C.Liquidityrisk.D.Operationalrisk.12.TheBaselIIIframeworkintroducedstrictercapitalrequirementsforbanksprimarilyto:A.Increasecompetitionamongfinancialinstitutions.B.Encouragebankstotakeonmorerisk.C.Enhancetheresilienceofthebankingsectortofinancialstress.D.Reducetheprofitabilityofbanks.13.Aportfoliomanagerexpectstwostocks,StockAandStockB,tohavereturnsof12%and15%respectively,withstandarddeviationsof10%and15%,andacorrelationcoefficientof0.4.Iftheportfolioisinvested60%inStockAand40%inStockB,whatistheapproximatestandarddeviationoftheportfolio?A.12.25%B.13.42%C.11.83%D.10.95%14.WhichofthefollowingisgenerallyconsideredamoreconservativemeasureofriskcomparedtoValueatRisk(VaR)?A.ExpectedShortfall(ES).B.ConditionalValueatRisk(CVaR).C.StandardDeviation.D.Betacoefficient.15.Theprocessofidentifying,assessing,andprioritizingrisksfollowedbycoordinatedapplicationofresourcestominimize,monitor,andcontroltheriskwithintheacceptedriskappetiteoftheorganizationisknownas:A.Riskmitigation.B.Riskmanagement.C.Riskappetitesetting.D.Risktoleranceassessment.16.Inthecontextofcreditriskmodeling,'LossGivenDefault'(LGD)represents:A.Theprobabilityofaborrowerdefaultingonaloan.B.Themaximumpossiblelossthatabankcouldincuronaloan.C.Thelossseverityexpectedafteraborrowerdefaults.D.Theeconomiccapitalrequiredtocoverpotentialcreditlosses.17.Acompanyisevaluatingtwopotentialinvestments.InvestmentXoffersanexpectedreturnof8%withastandarddeviationof10%,whileInvestmentYoffersanexpectedreturnof12%withastandarddeviationof14%.Assumingbothinvestmentsarenormallydistributed,whichinvestmentwouldgenerallybepreferredbyarisk-averseinvestor?A.InvestmentX.B.InvestmentY.C.Bothinvestmentsareequallypreferred.D.Thepreferencecannotbedeterminedwithoutknowingtheinvestor'sutilityfunction.18.Whichofthefollowingregulatoryframeworksprimarilyfocusesonthemanagementofoperationalriskforfinancialinstitutions?A.TheBaselAccordsforCapitalAdequacy.B.TheDodd-FrankWallStreetReformandConsumerProtectionAct.C.TheSarbanes-OxleyAct(SOX).D.TheAlternativeInvestmentManagementCompany(AIMC)rule.19.The'EfficientMarketHypothesis'(EMH)suggeststhat:A.Marketpricesreflectallavailableinformationinstantlyandaccurately.B.Investorscanconsistentlyachievereturnsabovethemarketaveragethroughsuperioranalysis.C.Marketpricesareinfluencedprimarilybyinvestorsentimentandirrationalbehavior.D.Allassetsinthemarketarepricedinefficiently.20.Aswapwhereonepartyagreestopayafloatinginterestrateandtheotherpartyagreestopayafixedinterestrateonanotionalamountisknownasa:A.InterestRateParity(IRP)swap.B.CurrencySwap.C.InterestRateSwap(IRS).D.EquitySwap.21.Whichofthefollowingisakeycomponentofacompany'sEnterpriseRiskManagement(ERM)framework?A.Isolatingeachbusinessunitfromtheoverallriskprofileofthecompany.B.Establishingasingle,centralizedriskmanagementdepartment.C.Definingtheorganization'soverallriskappetiteandoversightstructure.D.Limitingriskmanagementactivitiesonlytothefinancedepartment.22.Theprocessofestimatingthepotentiallossfromariskeventoveraspecifictimehorizonundercertainstressscenariosisknownas:A.ScenarioAnalysis.B.SensitivityAnalysis.C.ValueatRisk(VaR).D.ExpectedShortfall(ES).23.Whichofthefollowingfinancialinstrumentsismostcommonlyusedforhedginginterestraterisk?A.Commonstocks.B.Futurescontracts.C.Optionsonfutures.D.Swaps.24.Inthecontextofderivativepricing,'Gamma'(Γ)represents:A.TherateofchangeofDeltawithrespecttochangesintheunderlyingassetprice.B.Theoption'spricesensitivitytochangesinthevolatilityoftheunderlyingasset.C.Theoption'spricesensitivitytochangesintherisk-freeinterestrate.D.Thechangeintheoption'svalueresultingfromaone-unitchangeinthestrikeprice.25.WhichregulatoryauthorityisprimarilyresponsibleforoverseeingtheactivitiesofbanksandfinancialinstitutionsintheUnitedStates?A.TheSecuritiesandExchangeCommission(SEC).B.TheFederalCommunicationsCommission(FCC).C.TheFederalReserveSystem(Fed).D.TheInternalRevenueService(IRS).Part226.Afinancialinstitutionholdsaportfolioofbondswithatotalmarketvalueof$500million.Theportfolioiscomposedoftwobonds:BondAwithadurationof5yearsandamarketvalueof$200million,andBondBwithadurationof7yearsandamarketvalueof$300million.Ifthemarketinterestrateisexpectedtoincreaseby1%,whatistheapproximatepercentagechangeinthevalueoftheentirebondportfolio?27.AninvestorisconsideringbuyingaEuropeancalloptionwithastrikepriceof$50andamaturityof6months.Theunderlyingstockcurrentlytradesat$55pershare.Theoptionhasamarketpriceof$5.TheinvestorcalculatestheDeltaoftheoptiontobe0.6.Ifthepriceoftheunderlyingstockincreasesto$56pershare,whatistheapproximatenewpriceofthecalloption,assumingallotherfactorsremainconstant?Explainyourcalculationprocess.28.AbankisassessingitsmarketriskexposureusingtheStandardizedApproachunderBaselII.Thebankhasatotalmarketriskcapitalof$100million.Therisk-weightingfactorforthestandardizedapproachis12%.Thebankisalsosubjecttoaminimumcapitalrequirementof8%ofitsrisk-weightedassets(RWA).Ifthebank'stotalRWAis$1billion,isthebankmeetingitsminimumcapitalrequirementformarketrisk?Justifyyouranswer.29.Acompanyisinvolvedinacurrencyswapagreement.Itagreestopayafixedinterestrateof4%inUSDandreceiveafloatinginterestratebasedonthe3-monthLIBORinEURonanotionalamountof€10millionforoneyear.Thecurrentexchangerateis1USD=0.90EUR.Ifafter6months,the3-monthLIBORinEURis2%,andthecompanyreceivesinterestinEUR,whatistheamountofEURinterestreceivedbythecompany?Assumenoexchangeratefluctuationsbetweenthecompany'sUSDinterestpaymentandtheEURinterestreceiptperiod.30.Youaregiventhefollowinginformationaboutaportfolio:*Stock1:Expectedreturn=12%,Standarddeviation=18%,Weight=40%*Stock2:Expectedreturn=15%,Standarddeviation=25%,Weight=60%*CorrelationbetweenStock1andStock2=0.25Calculatetheexpectedreturnandthestandarddeviationoftheportfolio.Showallyourcalculations.31.Ariskmanagerisperformingapressuretestonabank'sportfolio.Theportfolioconsistsof$200millioninvestedinequitiesand$800millioninbonds.Underaseveremarketdownturnscenario,theexpecteddeclineinthevalueofequitiesis30%,andtheexpecteddeclineinthevalueofbondsis10%.Whatisthepotentiallossforthebank'sportfoliounderthisscenario?32.Acompanyisevaluatingtwomutuallyexclusiveinvestmentprojects.ProjectAhasaninitialcostof$100,000andisexpectedtogeneratecashinflowsof$40,000peryearfor4years.ProjectBhasaninitialcostof$120,000andisexpectedtogeneratecashinflowsof$50,000peryearfor4years.Thecompanyusesadiscountrateof10%toevaluateprojects.CalculatetheNetPresentValue(NPV)forbothprojects.WhichprojectshouldthecompanychoosebasedonNPV?33.Explainthedifferencebetween'ValueatRisk'(VaR)and'ExpectedShortfall'(ES).InwhatsituationsmightESbeconsideredamoreinformativemeasureofriskthanVaR?34.Abankhasaportfolioofderivativeswithanotionalvalueof$500million.TheportfoliohasaGammaof0.05.Ifthepriceoftheunderlyingassetforthisportfolioincreasesby2%,whatistheapproximatechangeinthevalueofthederivativesportfolio?AssumetheDeltaoftheportfoliowasinitially0.8.35.Discusstheroleof'correlation'inportfolioriskmanagement.Howdoesdiversificationwork,andwhyisthecorrelationbetweenassetsimportantforachievingdiversificationbenefits?---试卷答案1.C2.C3.A4.A5.B6.C7.A8.B9.A10.B11.D12.C13.C14.B15.B16.C17.A18.A19.A20.C21.C22.A23.D24.A25.C26.Theportfoliodurationistheweightedaverageofthedurationsoftheindividualbonds:PortfolioDuration=($200M*5)+($300M*7)/$500M=(1000+2100)/500=3100/500=6.2years.Theapproximatepercentagechangeintheportfoliovaluefora1%changeininterestratesis-PortfolioDuration*ChangeinRate=-6.2*1%=-6.2%.Thevalueoftheportfolioisexpectedtodecreasebyapproximately6.2%.27.ThechangeintheoptionpriceisapproximatelyDelta*Changeinunderlyingprice=0.6*($56-$55)=0.6*$1=$0.60.Thenewapproximatepriceofthecalloptionistheoriginalpriceplusthechange:$5+$0.60=$5.60.28.Thebank'smarketriskcapitalis$100million.Therisk-weightedcapitalrequiredis8%ofRWA($1billion).RequiredCapital=8%*$1billion=$80million.Sincethebank'sactualcapital($100million)isgreaterthantherequiredcapital($80million),thebankismeetingitsminimumcapitalrequirementformarketrisk.29.Thefloatinginterestratereceivedbythecompanyisbasedonthe3-monthLIBORinEUR,whichis2%.Theinterestreceivediscalculatedas:EURInterest=NotionalAmount*LIBORRate*(TimePeriod/12)=€10,000,000*2%*(6/12)=€10,000,000*0.02*0.5=€100,000.Thecompanyreceives€100,000ininterest.30.ExpectedReturn(E(Rp))=w1*R1+w2*R2=0.4*12%+0.6*15%=4.8%+9%=13.8%.Variance(σp^2)=w1^2*σ1^2+w2^2*σ2^2+2*w1*w2*σ1*σ2*ρ=(0.4^2*0.18^2)+(0.6^2*0.25^2)+(2*0.4*0.6*0.18*0.25*0.25)=(0.16*0.0324)+(0.36*0.0625)+(0.48*0.18*0.0625)=0.005184+0.0225+0.0054=0.033084.StandardDeviation(σp)=sqrt(0.033084)≈0.1819or18.19%.Theexpectedreturnoftheportfoliois13.8%,andthestandarddeviationisapproximately18.19%.31.Lossfromequities=$200M*30%=-$60M.Lossfrombonds=$800M*10%=-$80M.Totalpotentialloss=-$60M-$80M=-$140M.Thepotentiallossforthebank'sportfoliounderthisscenariois$140million.32.NPVofProjectA=-$100,000+$40,000/(1+0.10)^1+$40,000/(1+0.10)^2+$40,000/(1+0.10)^3+$40,000/(1+0.10)^4=-$100,000+$36,363.64+$33,057.85+$30,052.59+$27,320.55=$26,745.63.NPVofProjectB=-$120,000+$50,000/(1+0.10)^1+$50,000/(1+0.10)^2+$50,000/(1+0.10)^3+$50,000/(1+0.10)^4