V1_201405_FRM_二级模拟考试(二)_题目

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1-23 专业来自百分百的投入金程教育 源自专业·领先·增值4.
In calculating its risk-adjusted return on capital, your bank uses a capital charge of 2.50% for revolving credit facilities with a loan equivalent factor of 0.35 assigned to the undrawn portion. Recently, you have become concerned that the protective covenants embedded in these loans are weak and may not prevent customers from drawing on the facilities during times of stress. As such, you have recommended doubling the loan equivalent factor of 0.70. This recommendation has met with resistance from the loan origination team, and senior management has asked you to quantify the impact of your recommendation. For a typical facility that has an original principal of USD 1 billion and is 30% drawn, how much additional economic capital would have to be allocated if you increase the loan equivalent factor from 0.35 to 0.70? A. USD 3.50 million B. USD 6.13 million C. USD 8.75 million D. USD 13.63 million Several steps are involved in developing the loss distribution approach (LDA), including derivation of frequency and severity distributions, estimation of the tail distribution, modeling correlations, and incorporation of insurance. Which of the following statements about LDA modeling is incorrect? A. To select the appropriate distribution of the frequency of losses (Poisson distribution, binomial distribution, or negative binomial distribution), tests for normality and serial correlations are applied. B. Extrapolation of observed losses, in order to develop a more complete severity distribution (of losses), could result in overestimation of the needed capital charge. C. To build an LDA model that includes adequate representation in the tail, both internal and external data are used. D. The LDA typically allows for the risk reducing effect of insurance by lowering the severity of losses, but not their frequency. Which of these statements regarding risk factor mapping approaches is/are correct? I. Under the cash flow mapping approach, only the risk associated with the average maturity of a fixed-income portfolio is mapped. II. Cash flow mapping is the least precise method of risk mapping for a fixed-income portfolio. III. Under the duration mapping approach, the risk of a bond is mapped to a zero-coupon bond of the same duration. IV. Using more risk factors generally leads to better risk measurement but also requires more time to be devoted to the modeling process and risk computation. A. I and II B. I, III, and IV C. III and IV D. IV only
金程教育
专业·领先·增值
2014 年 05 月 FRM 二级模拟考试（二）
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Suppose an investor has a mortgage-backed security (MBS) with an average life of 12 years and a monthly mortgage yield of 0.6%. If a 12-year Treasury bond has a yield of 5.2%, the nominal spread for this MBS is: A. 0.22%. B. 1.72%. C. 2.11%. D. 2.24%. Your colleague John makes the following statements about the valuation of mortgage-backed securities (MBS): I. A 9.00% mortgage (cash flow) yield translates into a 9.17% bond-equivalent yield (BEY). II. The nominal spread is the difference between the cash flow yield (aka, mortgage yield) and the yield on a Treasury security with the same maturity as the average life of the MBS. III. The z-spread (aka, static spread) is the spread that will make the present value of the cash flows from the MBS equal to the price of the MBS when discounted at the Treasury spot rate plus the spread. IV. Unlike both the nominal and the z-spread, which do not recognize prepayment risk, the option-adjusted spread (OAS) does recognize prepayments on the MBS. Which is true about John’s statements? A. None are correct. B. Only II and III are correct. C. Only I and IV are correct. D. All four statements are correct. It is not always apparent how risk should be quantified for a given bank when there are many different possible risk measures to consider. Prior to defining specific measures, one should be aware of the general characteristics of ideal risk measures. Such measures should be intuitive, stable, easy to understand, coherent, and interpretable in economic terms. In addition, the risk decomposition process must be simple and meaningful for a given risk measure. Standard deviation, value at risk (VaR), expected shortfall (ES), and spectral and distorted risk measures are commonly used measures to calculate economic capital. However, it is not easy to select a risk measure to calculate economic capital, as each measure has its respective pros and cons. Which of the following statements pertaining to the pros and cons of these risk measures is not accurate? A. Standard deviation does not have the property of monotonicity, and therefore, it is not coherent. B. VaR does not have the property of subadditivity, and therefore; it is not coherent. C. ES is not stable regardless of the loss distribution. D. Spectral and distorted risk measures are neither intuitive nor commonly used in practice.
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Each of the following is true about the liquidity risk typology, across these key authors (Jorion,