金融风险管理 期末复习201207试题
《金融风险管理》复习习题全集包含答案
《金融风险管理》期末复习资料整理考试题型：单项选择题（每题1分，共10分）多项选择题（每题2分，共10分）判断题（每题1分，共5分）计算题（每题15分，共30分）（考试有计算题，一定要带计算器）简答题（每题10分，共30分）论述题（每题15分，共15分）（一定要展开论述）复习资料整理：样题参考、期末复习重点、习题辅导、学习指导、蓝本、（考试可带计算器）金融风险管理样题参考（一）单项选择题（每题1分，共10分）狭义的信用风险是指银行信用风险，也就是由于__________主观违约或客观上还款出现困难，而给放款银行带来本息损失的风险。
（ B ）A. 放款人B. 借款人C. 银行D. 经纪人（二）多项选择题（每题2分，共10分）在下列“贷款风险五级分类”中，哪几种贷款属于“不良贷款”：（ACE ）A. 可疑B. 关注C. 次级D. 正常E. 损失（三）判断题（每题1分，共5分）贷款人期权的平衡点为“市场价格= 履约价格- 权利金”。
（X ）（五）简答题（每题10分，共30分）商业银行会面临哪些外部和内部风险？答：（1）商业银行面临的外部风险包括：①信用风险。
是指合同的一方不履行义务的可能性。
②市场风险。
是指因市场波动而导致商业银行某一头寸或组合遭受损失的可能性。
③法律风险，是指因交易一方不能执行合约或因超越法定权限的行为而给另一方导致损失的风险。
（2）商业银行面临的内部风险包括：①财务风险，主要表现在资本金严重不足和经营利润虚盈实亏两个方面。
②流动性风险，是指银行流动资金不足，不能满足支付需要，使银行丧失清偿能力的风险。
③内部管理风险，即银行内部的制度建设及落实情况不力而形成的风险。
（六）论述题（每题15分，共15分）你认为应该从哪些方面构筑我国金融风险防范体系？答：可以借鉴“金融部门评估计划”的系统经验，健全我国金融风险防范体系。
（1）建立金融风险评估体系金融风险管理主要有四个环节，即识别风险，衡量风险，防范风险和化解风险，这些都依赖于风险评估，而风险评估是防范金融风险的前提和基础。
《金融风险管理》期末复习试题和答案解析
15.上世纪50年代，马柯维茨的_____________理论和莫迪里亚尼-米勒的MM定理为现代金融理论的定量化发展指明了方向。直到现在，金融工程的理论基础仍是这两大理论。(C)
A.德尔菲法B.CART结构分析C.资产组合选择D.资本资产定价
16.中国股票市场中______是一种买进权利，持有人有权于约定期间（美式）或到期日（欧式），以约定价格买进约定数量的资产。(B)
扩散性：因为银行之间的相互拆借。
加速性：因为客户的口口相传导致“挤兑”现象。
可控性：通过分析资产负债表可以提前发现问题，预先采取措施。
4．金融风险是如何分类的？
答：对金融风险可以从形态和特征分类。
（1）按金融风险的形态划分
信用风险:信用风险又称违约风险，是指债务人无法还款或不愿还款而给债权人造成损失的可能性。
8.一种金融资产的预期收益率的方差小，说明其收益的平均变动幅度小，则投资的风险也越小（√）
三、简答题
1．如何从微观和宏观两个方面理解金融风险？
答：金融风险，按涉及的范围划分，可分为微观金融风险和宏观金融风险。
微观金融风险，是指微观金融机构在从事金融经营活动和管理过程中，发生资产或收益损失的可能性。
宏观金融风险，是指整个金融体系面临的市场风险，当这种金融风险变为现实时，将
A.存款B.放款C.借款D.存放同业资金E.结算中占用资金
16.商业银行的资产主要包括四种资产，分别是：_______________。(BCDE)
A.吸收的存款B.现金资产C.证券投资D.贷款E.固定资产
17,外汇的敞口头寸包括：_____等几种情况。(ABCD)
A.外汇买入数额大于或小于卖出数额
《金融风险管理(本科必修)》期末试题及答案
《金融风险管理(本科必修)》期末试题及答案.一、单项选择题【每题1分，共10分）1．单一贷款比例是指银行对同一借款客户贷款的期末余额除以( )之后所获得的数值。
A.资本净额 B．资产净额C．负债净额 D．负债期末余额2. 20世纪80年代以来，金融自由化的热潮一浪高过一浪，其最突出的表现就是( )的自由化。
A．汇率 B．利率C．税率 D．资本流动3．( )是指在结算过程中发生不可预料的情况，即当一方已经支付了合同资金但另一方发生违约的可能性。
A．结算风险 B．流动性风险C．利率风险 D．财务风险4．( )，又称为会计风险，是指在对财务报表进行会计处理，将功能货币转换为记账货币时，因汇率变动而蒙受账面损失的可能性。
A．交易风险 B．折算风险C．汇率风险 D．经济风险5．证券承销的信用风险主要表现为，在证券承销完成之后，证券的( )不按时向证券公司支付承销费用，给证券公司带来相应的损失。
A．管理人 B．受托人C．代理人 D．发行人6．证券公司如果在( )中赚钱了，所有的收入都归证券公司自己所有；反之，如果出现了亏损，也要由证券公司自己来承担。
A．经纪业务 B．货币互换C．自营业务 D．投资银行业务7．( )，也称信托型基金，是根据一定的信托契约原理，由基金发起人和基金管理人、基金托管人订立基金契约而组建的投资基金。
A.开放式基金 B．封闭式基金C．成长型基金 D．契约型基金8．( )是最简单的金融衍生工具之一，是指买卖双方约定在未来某一时期按确定的价格购买或出售某种资产的协议。
A.期权 B．期货C．远期 D．互换9．巴塞尔委员会把网络银行风险管理分为三个步骤，即评估风险、管理和控制风险以及( )。
A．消除风险 B．防止风险扩散C．化解风险 D．监控风险10.基金业务的投资风险主要来源于证券的市场风险和证券发行人的( )。
A．信用风险 B．声誉风险C．法律风险 D．交易风险二、多项选择题（每题2分，共10分）1．商业银行的资产主要包括四种资产，分别是：( )。
《金融风险管理》期末复习试题及答案
【金融风险管理】期末复习资料 小抄版 全部考试题型包括六种题型：单选题（每题1分，共10分）多选题（每题2分，共10分）判断题（每题1分，共5分）计算题（每题15分，共30分）简答题（每题10分，共30分）论述题（每题15分，共15分） 一．单选题 1、金融风险管理的第二阶段是（B ） A 、识别阶段B 、衡量与评估阶段 C 、处理阶段D 、实施阶段 1.“流动性比率是流动性资产与_______之间的商。
（B ） A.流动性资本B.流动性负债 C.流动性权益D.流动性存款”2.资本乘数等于_____除以总资本后所获得的数值(D) A.总负债B.总权益 C.总存款D.总资产”3.狭义的信用风险是指银行信用风险，也就是由于______主观违约或客观上还款出现困难，而给放款银行带来本息损失的风险。
(B) A.放款人B.借款人 C.银行D.经纪人”4._______理论认为，银行不仅可以通过增加资产和改善资产结构来降低流动性风险，而且可以通过向外借钱提供流动性，只要银行的借款市场广大，它的流动性就有一定保证。
(C) A.负债管理B.资产管理 C.资产负债管理D.商业性贷款”5.“所谓的“存贷款比例”是指___________。
(A) A.贷款/存款B.存款/贷款C.存款/（存款+贷款）D.贷款/（存款+贷款） 6.当银行的利率敏感性资产大于利率敏感性负债时，市场利率的上升会_______银行利润；反之，则会减少银行利润。
(A) A.增加B.减少C.不变D.先增后减” 7.“银行的持续期缺口公式是____________。
(A) A. 8.为了解决一笔贷款从贷前调查到贷后检查完全由一个信贷员负责而导致的决策失误或以权谋私问题，我国银行都开始实行了________制度，以降低信贷风险。
(D) A.五级分类B.理事会C.公司治理D.审贷分离” 9.“融资租赁一般包括租赁和_____两个合同。
(D) A.出租B.谈判C.转租D.购货 10.证券承销的信用风险主要表现为，在证券承销完成之后，证券的____不按时向证券公司支付承销费用，给证券公司带来相应的损失。
金融风险管理》期末考试考试复习题
金融风险管理》期末考试考试复习题1、金融风险可根据性质分为系统性风险和非系统性风险。
2、信用风险是指借款人由于各种原因未能按时偿还债务，导致银行遭受损失的可能性。
3、代理业务中的操作风险不包括代客理财产品因市场利率波动而造成的损失。
4、法律风险是指金融机构或其他经济主体在金融活动中由于未遵守法律条款或法律条款不完善、不严密而引发的风险。
5、XXX系统地提出了现代证券组合理论，为证券投资风险管理奠定了理论基础。
6、转移策略是指在风险发生之前，通过各种交易活动，将可能发生的危险转移给其他人承担。
7、风险分散是降低非系统性风险最直接、有效的风险管理策略。
8、数据仓库存储前台交易记录信息、各种风险头寸和金融工具信息以及交易对手信息等。
9、流动性比率是流动性资产与流动性负债之间的商。
10、资本乘数等于总资产除以总权益后所获得的数值。
11、现金资产被视为银行一线准备金。
12、基本特征为“肯定损失”的贷款属于损失类贷款。
13、根据《巴塞尔资本协议》规定，商业银行的总资本充足率不能低于8%。
14、贴现发行债券的到期收益率与当期债券价格呈反向相关。
15、狭义的信用风险是指银行在放款过程中，由于借款人主观违约或客观上还款出现困难，而给银行带来本息损失的风险。
(答案选B)16、信用风险的核心内容是信贷风险。
(答案选A)17、德尔菲法是20世纪50年代初研究使用的一种调查征求意见的方法，现在已经被广泛应用到经济、社会预测和决策之中。
(答案选A)18、1968年的Z评分模型中，对风险值的影响最大的指标是销售收入/总资产。
(答案选C)19、负债管理理论认为，银行不仅可以通过增加资产和改善资产结构来降低流动性风险，而且可以通过向外借钱提供流动性，只要银行的借款市场广大，它的流动性就有一定保证。
(答案选A)20、所谓的“存贷款比例”是指贷款/存款。
(答案选A)21、金融机构的流动性需求具有刚性特征。
(答案选A)22、资产负债管理理论产生于20世纪70年代末、80年代初。
金融风险管理期末复习(已排版)
1. 假定一笔贷款违约的概率d为20%，如果无风险债券的利率r为2%，则该笔风险贷款的价格（利率）r*应该为多少？解：该笔风险贷款的价格（利率）为：2.某商业银行表内加权风险资产为7400万美元，表外加权风险资产为6000万美元，一级资本额为600万美元，二级资本额为500万美元。
试计算：（1）风险调整资产是多少？（2）一级资本充足率是多少？（3）总资本充足率是多少？解：（1）风险调整资产=表内加权风险资产+表外加权风险资产=7400+6000=13400万美元 （2）一级资本充足率=一级资本总额/风险调整资产总额=600/13400=4.48%（3）总资本充足率=（一级资本总额+二级资本总额）/风险调整资产总额=（600+500）/13400=8.2%3. 假设2011年末，中央银行规定的商业银行存款准备金率为20%。
某银行此时的库存现金为20亿元，在中央银行的存款为1000亿元，存款总额为4000亿元。
（1）该银行是否存在超额储备？金额是多少？（2）超额储备比例是多少？（3）请问用超额储备比例判断银行流动性的局限性有哪些？解：（1）该银行存在超额储备，超额储备=20+1000- 4000*20% =220亿元（2）超额储备比例=220/4000=5.5%（3）超额储备比例是指储备对存款总额的比例，超额储备是商业银行在中央银行的存款和现金减去法定准备金，超额准备比例越高，银行流动性越强，但比指标局限性十分明显，她只是在一种狭窄的意义上体现金融机构的流动性状况，很容易导致低估流动性。
4. 某银行2011年7-12月定期存款增长额（单位：万元）如下表所示：月份7 8 9 10 11 12定期存款增加228 217 230 237 203 206额（1）用算术平均法预测2012年1月份该行的定期存款增长额X1。
（2）假设7-12月的权重分别是1，2，3，4，5，6；用加权平均法预测2012年1月份该行的定期存款增长额X2。
金融风险管理期末考试复习题及参考答案-专科
《金融风险管理》复习题一、选择题1、下列哪种情况属于金融机构面临的市场风险（）。
A.美元汇率走低导致金融机构资产负债价值发生波动B.流动性资产准备不足导致的金融机构出现挤兑现象C.央行上调存款准备金率导致商业银行可用准备金减少D.商业银行业务系统存在漏洞导致客户信息泄露2、下列关于系统性风险与非系统性风险的叙述正确的是（）。
A.系统性风险和非系统风险的区别在于影响的程度不同B.非系统性风险可以通过投资组合分散，系统性风险则不可以C.非系统性风险是可以避免的，系统性风险是不可以避免的D.系统性风险和非系统性风险的划分的依据是风险产生的根源3、下列对于度量流动性风险的财务比率表述正确的是（）。
A.现金比率指银行存款与现金资产的比率B.流动比率指流动负债与流动资产之比C.存贷款比率指商业银行贷款与存款的比率D.不良贷款比率指不良贷款与总资产之比4、RAROC衡量的是（）。
A.资本回报的大小B.收益与风险的比值C.资金回报率D.扣除预期损失后的收益5、（）在资产定价中，投资者通过提高名义利率即可将购买力风险转嫁给筹资者A.规避策略B.转嫁策略C.保值策略D.补偿策略6、以下说法错误的是（）A.专家评定方法的缺点是主观性太强B.Z评分模型算出的分值越大，违约概率就越大C.无论是Z评分模型还是ZETA模型都无法计量企业表外的信用风险D.无论是Z评分模型还是ZETA模型都忽视了各项资本市场指标7、由于有问题的内部程序、人员及系统或外部事件所造成损失，属于（）A.市场风险B.操作风险C.流动性风险D.国家风险8、利率期限结构变化风险也称为( )风险。
A.收益率曲线风险B.内含期权性风险C.基准风险D.重新定价风险9、资产流动性强的特征是（）。
A.变现能力强，所付成本低B.变现能力强，所付成本高C.变现能力低，所付成本低D.变现能力低，所付成本高10、（）是指商业银行在一定的置信水平下，为了应对未来一定期限内资产的非预期损失而应持有的资本金。
电大金融风险管理期末复习考试试题及答案资料终极完美版期末复习专用重点
电大【金融风险管理】期末复习考试小抄版计算题（每题15分，共30分）简答题（每题10分，共30分）论述题15分 一．单选题1、金融风险管理的第二阶段是（B ）A 、识别阶段B 、衡量与评估阶段C 、处理阶段D 、实施阶段 1.“流动性比率是流动性资产与_____（B ）__之间的商。
（B ） A.流动性资本B.流动性负债C.流动性权益D.流动性存款” 2.资本乘数等于___(D)__除以总资本后所获得的数值(D) A.总负债B.总权益C.总存款D.总资产”3.狭义的信用风险是指银行信用风险，也就是由于__(B)____主观违约或客观上还款出现困难，而给放款银行带来本息损失的风险。
(B)A.放款人B.借款人C.银行D.经纪人”4.____(C)___理论认为，银行不仅可以通过增加资产和改善资产结构来降低流动性风险，而且可以通过向外借钱提供流动性，只要银行的借款市场广大，它的流动性就有一定保证。
(C)A.负债管理B.资产管理C.资产负债管理D.商业性贷款”5.“所谓的“存贷款比例”是指_______(A)____。
(A)A.贷款/存款B.存款/贷款C.存款/（存款+贷款）D.贷款/（存款+贷款）6.当银行的利率敏感性资产大于利率敏感性负债时，市场利率的上升会_______银行利润；反之，则会减少银行利润。
(A)A.增加B.减少C.不变D.先增后减”7.“银行的持续期缺口公式是____________。
(A)A.8.为了解决一笔贷款从贷前调查到贷后检查完全由一个信贷员负责而导致的决策失误或以权谋私问题，我国银行都开始实行了__(D)______制度，以降低信贷风险。
(D)A.五级分类B.理事会C.公司治理D.审贷分离” 9.“融资租赁一般包括租赁和_。
(D)__两个合同。
(D)A.出租B.谈判C.转租D.购货 10.证券承销的信用风险主要表现为，在证券承销完成之后，证券的____不按时向证券公司支付承销费用，给证券公司带来相应的损失。
《金融风险管理》期末考试试卷附答案
《金融风险管理》期末考试试卷附答案一、单选题（本大题共20小题，每小题3分，共60分）1、促使或引起风险事件发生或风险事件发生时，致使损失增加、扩大的原因或条件是（）A、风险因素B、风险事件C、风险成本D、风险损失2、由于个人的不诚实、不正直或不良企图导致风险事故的发生的因素是（）A、心理风险因素B、有形风险因素C、道德风险因素D、实质风险因素3、在损失发生前，运用各种控制手段，力求消除各种隐患，减少风险诱因，降低损失的策略属于（）A、风险融资B、风险控制C、风险转移D、风险补偿4、在金融风险管理活动中，明确风险的业务类别这项工作属于（）A、金融风险的度量B、金融风险的监测C、风险报告D、金融风险的识别5、VaR方法最早用于度量（）A、信用风险B、市场风险C、流动性风险D、操作风险6、通过多样化的投资来分散和降低风险的方法是（）A、金融风险的分散B、金融风险的损失控制C、金融风险的转移D、金融风险的对冲7、经济主体根据一定原则，采取一定措施避开金融风险，以减少或避免由于风险引起的损失是（）A、金融风险的规避B、金融风险的损失控制C、金融风险的预防D、金融风险的转移8、在信用风险分析常用的财务指标中，流动负债/有形净值属于（）A、经营业绩指标B、偿债保障程度指标C、财务杠杆指标D、流动性指标9、下列方法中，属于现代信用风险度量方法的是（）A、专家制度B、评级方法C、信用评分方法D、信用风险量化模型10、在现代信用风险度量方法中，以VaR为基础的是（）A、信用风险量化模型B、信用监控模型C、信用风险计量模型D、信用风险组合模型11、在现代信用风险度量方法中，广泛使用信用等级转移分析和贷款集中度限制的是（）A、信用风险计量模型B、信用风险量化模型C、信用监控模型D、信用风险组合模型12、在银行账户信用风险暴露分类中，个人住房抵押贷款属于（）A、公司风险暴露B、股权风险暴露C、主权风险暴露D、零售风险暴露13、（）指商业银行运用合格的抵质押品、净额结算、保证和信用衍生工具等方式转移或降低风险。
《金融风险管理》期末复习资料
《金融风险管理》复习资料一、单选题１．（D）是指管理者通过承担各种性质不同的风险，利用它们之间的相关程度来取得最优风险组合，使加总后的总体风险水平最低。
D. 分散策略2.流动性比率是流动性资产与（Ｂ）之间的商B.流动性负债3.资本乘数等于（Ｄ）除以总资本后所获得的数值D. 总资产4.狭义的信用风险是指银行信用风险，也就是由于（Ｂ）主观违约或客观上还款出现困难，而给放款银行带来本息损失的风险。
B. 借款人５．（Ｃ）理论认为，银行不仅可以通过增加资产和改善资产结构来降低流动性风险，而且可以通过向外借钱提供流动性，只要银行的借款市场广大，它的流动性就有一定保证。
C. 资产负债管理６．所谓的“存贷款比例”是指_（A）。
A. 贷款/存款 ７．当银行的利率敏感性资产大于利率敏感性负债时，市场利率的上升会（A）银行利润；反之，则会减少银行利润。
A. 增加银行的８“（Ｂ）”，又称为会计风险，是指对财务报表会计处理，将功能货币转为记账货币时，因汇率变动而蒙受账面损失的可能性。
B. 折算风险9.为了解决一笔贷款从贷前调查到贷后检查完全由一个信贷员负责而导致的决策失误或以权谋私问题，我国银行都开始实行了（D）制度，以降低信贷风险。
D. 审贷分离10证券承销的信用风险主要表现为，在证券承销完成之后，证券的（D）不按时向证券公司支付承销费用，给证券公司带来相应的损失。
D.发行人11.（C）是以追求长期资本利得为主要目标的互助基金。
为了达到这个目的，它主要投资于未来具有潜在高速增长前景公司的股票。
C. 成长型基金12.融资租赁一般包括租赁和（D）两个合同。
D.购货13“（A）”是在交易所内集中交易的、标准化的远期合约。
由于合约的履行由交易所保证，所以不存在违约的问题。
Ａ期货合约14.目前，互换类（Swap）金融衍生工具一般分为（B）和利率互换两大类。
B. 货币互换15.上世纪50年代，马柯维茨的_（C）理论和莫迪里亚尼-M勒的MM定理为现代金融理论的定量化发展指明了方向。
《金融风险管理》期末复习试题及答案
D.养老牵头人E.）C 、评价______等E.清算” D.零售价 D.通C.居民金________D.逆向、E.(BCDE) D.贷等几种情和D.信用A.20.般分为A.商品互换1.“2.“3.“（Career）（Capital）、4.“5.6.7.8.1．2（1）短91011．20世纪竞争。
1979后，特别是12.R C 13（1）.（2）.项指标：（1）（2/（3额/（4商业借款+（5）投资+（6额/（7（8额22..答：23.答：风险权数+24.入-入-息资产-?主,使得,从购,一般,尽,会导致,,,而,给或肥尾，35.VaR 什么？计算最后，36（1（2）（3）（4）（5）（6）37.(1).c 是统一公是面值，）中的公杰克·特CAPM ），d ，（1-d ），如果无风 γ，d1时，（1（2（3）（4）•••••••（1（25%（3 7%+5000（4）值的时候，2.“为4•即，4 3.“后需要借入万元。
如果5.5%相对于5.5%5.5%×4.“某银行?(3)雇用合同以及工作状况带来的风险事件(4)客户、产品以及商业行为引起的风险事件(5)有形资产的损失(6)经营中断和系统出错(7)涉及执行、交割以及交易过程管理的风险结合中国国情再进行论述。
8.试述证券经纪业务的风险管理措施”9.试述基金管理公司内部控制制度的主要内容10.在构筑我国金融风险防范体系过程中，如何建立良好的公司治理结构？我国证券公司传统的三大业务及其含义?答：①投资银行业务。
就是协助政府或工商企业销售新发行证券，为企业提供财务顾问、帮助企业进行资产重组等。
②经纪业务。
就是替客户买卖已发行的证券，即经纪业务是一般投资者委托证券公司买卖证券的行为③自营业务。
就是证券公司通过在自己的账户上买卖证券，以获取投资收益的行为。
基金管理公司如何控制投资风险？答：①做好投资前的研究工作。
基金经理在投资前应当做好细致的研究工作，包括宏观经济形势、政策、行情变化及其发展前景、证券发行人的财务状况、产品的生命周期、上市公司经理人员的市场开拓能力及管理才能、企业文化等。
金融风险期末考试题及答案
金融风险期末考试题及答案一、选择题（每题2分，共20分）1. 金融风险的主要类型包括以下哪项？A. 信用风险B. 市场风险C. 流动性风险D. 所有以上选项2. 以下哪项不是市场风险的来源？A. 利率变动B. 股票价格波动C. 公司内部管理不善D. 汇率变动3. 信用风险通常与以下哪项有关？A. 贷款违约B. 投资回报率C. 股票市场表现D. 利率水平4. 流动性风险是指：A. 资产价值的不确定性B. 资产无法以合理价格迅速变现C. 投资回报率的波动性D. 市场利率的变动5. 风险管理的目的是：A. 增加利润B. 减少损失C. 增加市场份额D. 降低运营成本6. 风险度量中，Value at Risk（VaR）是用来：A. 评估信用风险B. 评估市场风险C. 评估流动性风险D. 评估操作风险7. 以下哪项不是风险管理策略？A. 风险规避B. 风险转移C. 风险接受D. 风险增加8. 风险分散化是指：A. 将风险集中在一个投资上B. 将风险分散到多个投资上C. 通过保险转移风险D. 通过衍生品对冲风险9. 衍生品市场的主要功能是：A. 提供投资机会B. 提供风险管理工具C. 提供贷款服务D. 提供储蓄产品10. 以下哪项不是风险管理的基本原则？A. 识别风险B. 评估风险C. 接受风险D. 忽视风险二、判断题（每题1分，共10分）1. 信用风险是指债务人违约的风险。
（对）2. 市场风险与利率、股票价格、汇率无关。
（错）3. 流动性风险是金融机构独有的风险。
（错）4. 风险管理的目的是降低风险。
（对）5. VaR是评估市场风险的一种工具。
（对）6. 风险分散化可以完全消除风险。
（错）7. 风险管理策略包括风险增加。
（错）8. 衍生品市场仅提供投资机会。
（错）9. 风险管理的基本原则不包括识别风险。
（错）10. 风险管理策略中，风险接受意味着不采取任何措施。
（错）三、简答题（每题10分，共20分）1. 简述信用风险管理的主要策略。
金融风险管理师(FRM)2012考试真题.doc
Question bankMonte Carlo MethodsLet N be an n x 1 vector of independent draws from a standard normal distribution, and let V be a covariance matrix of market time-series data. Then, if L is a diagonal matrix of the eigenvalues of V, E is a matrix of the eigenvectors of V, and CC is the Cholesky factorization of V, which of the following would generate a normally distributed random vector with mean zero and covariance matrix V to be used in a Monte Carlo simulation?NC'CNNCE LECannot be determined from data givenConsider a stock that pays no dividends, has a volatility of 25% pa and an expected return of 13% pa. The current stock price is S0 = $30. This implies the model S t+1 = S t(1 + 0.13 At + 0.25yAt e), where e is a standard normal random variable. To implement this simulation, you generate a path of the stock price by starting at t = 0, generating a sample for e, updating the stock price according to the model, incrementing t by 1 and repeating this process until the end of the horizon is reached. Which of the following strategies for generating a sample for e will implement this simulation properly?Generate a sample for e by using the inverse of the standard normal cumulative distribution of a sample value drawn from a uniform distribution between 0 and 1.Generate a sample for e by sampling from a normal distribution with mean 0.13 and standard deviation 0.25.Generate a sample for e by using the inverse of the standard normal cumulative distribution of a sample value drawn from a uniform distribution between 0 and 1. Use Cholesky decomposition to correlate this sample with the sample from the previous time interval. Generate a sample for e by sampling from a normal distribution with mean 0.13 and standard deviation 0.25. Use Cholesky decomposition to correlate this sample with the sample from the previous time interval.Continuing with the previous question, you have implemented the simulation process discussed above using a time interval At = 0.001, and you are analyzing the following stockGiven this sample, which of the following simulation steps most likely contains an error. Calculation to update the stock priceGeneration of random sample value for eCalculation of the change in stock price during each periodNone of the aboveIn the geometric Brownian motion process for a variable S,I. S is normally distributed.II. d ln(S) is normally distributed.III. dS/S is normally distributed.IV. S is lognormally distributed.a. I onlyb. II, III, and IVc. IV onlyd. III and IVConsider that a stock price S that follows a geometric Brownian motiondS = aSdt + bSdz, with b strictly positive. Which of the following statements is false?a. If the drift a is positive, the price one year from now will be above today’s price.b. The instantaneous rate of return on the stock follows a normal distribution.c. The stock price S follows a lognormal distribution.d. This model does not impose mean reversion.The Vasicek model defines a risk-neutral process for r which is dr =a(b−r )dt + σdz, where a, b, and σ are constant, and r represents the rate of interest. From this equation we can conclude that the model is aa. Monte Carlo-type modelb. Single-factor term-structure modelc. Two-factor term-structure modeld. Decision tree modelThe term a(b−r ) in the previous question represents which term?a. Gammab. Stochasticc. Reversiond. VegaWhich group of term-structure models do the Ho-Lee, Hull-White, and Heath, Jarrow, and Morton models belong to?a. No-arbitrage modelsb. Two-factor modelsc. Lognormal modelsd. Deterministic modelsA plausible stochastic process for the short-term rate is often considered to be one where the rate is pulled back to some long-run average level. Which one of the following term-structure models does not include this characteristic?a. The Vasicek modelb. The Ho-Lee modelc. The Hull-White modeld. The Cox-Ingersoll-Ross modelWhich of the following statements about Monte Carlo simulation is false?a. Monte Carlo simulation can be used with a lognormal distribution.b. Monte Carlo simulation can generate distributions for portfolios that contain only linear positions.c. One drawback of Monte Carlo simulation is that it is computationally very intensive.d. Assuming the underlying process is normal, the standard error resulting from Monte Carlo simulation is inversely related to the square root of the number of trials.A risk manager has been requested to provide some indication of accuracy of a Monte Carlo simulation. Using 1,000 replications of a normally distributed variable S, the relative error in the one-day 99% VAR is 5%. Under these conditions,a. Using 1,000 replications of a long option position on S should create a larger relative error.b. Using 10,000 replications should create a larger relative error.c. Using another set of 1,000 replications will create an exact measure of 5.0% for relative error.d. Using 1,000 replications of a short option position on S should create a larger relative error. The measurement error in VAR, due to sampling variation, should be greater witha. More observations and a high confidence level (e.g., 99%)b. Fewer observations and a high confidence levelc. More observations and a low confidence level (e.g., 95%)d. Fewer observations and a low confidence levellet the pdf f(x) be positive at x=-1,0,1 and zero else where.1. if f(0) = 0.25 , find E(x2)2. if f(0) = 0.25 and if E(X) =0.25 , determine f(-1) and f(1)One card is drawn from a standard 52 card deck. In describing theoccurrence of two possible events, an Ace and a King, these twoevents are said to be:(a) independent(b) mutually exclusive(c) random variables(d) randomly independent.Which of the following is NOT a possible probability?a. 25/100b. 1.25c. 1d. 0Among twenty-five articles, nine are defective, six having only minordefects and three having major defects. Determine the probabilitythat an article selected at random has major defects given that ithas defects.a. 1/3b. .25c. .24d. .08Among twenty-five articles eight are defective, six having onlyminor defects and two having major defects. Determine the pro-bability that an article selected at random has major defectsgiven that it has defects.(a) .08 (c) 1/3(b) .25 (d) .24A dormitory on campus houses 200 students. 120 are male, 50 areupper division students, and 40 are upper division male students.A student is selected at random.The probability of selecting a lower division student, given thestudent is a female, is:(a) 7/8 (d) 7/20(b) 7/15 (e) 1/4(c) 2/5Which of the following statements regarding linear regression is false?A.Heteroskedasticity occurs when the variance of residuals is not the same across allobservations in the sample.B.Unconditional heteroskedasticity leads to inefficient estimates, whereas conditionalheteroskedasticity can lead to problems with both inference and estimation.C.Serial correlation occurs when the residual terms are correlated with each other.D.Multicollinearity occurs when a high correlation exists between or among two ormore of the independent variables in a multiple regression.Consider two stocks, A and B. Assume their annual returns are jointly normally distributed, the marginal distribution of each stock has mean 2% andstandard deviation 10%, and the correlation is 0.9. What is the expectedannual return of stock A if the annual return of stock B is 3%?A.2%B. 2.9%C. 4.7%D.1.1%Consider the following linear regression model: Y = a +b X+ e. Supposea = 0.05,b = 1.2, SD(Y) = 0.26, SD(e) = 0.1, what is the correlation betweenX and Y?A.0.923B.0.852C.0.701D.0.462Under what circumstances could the explanatory power of regression analysis be overstated? The explanatory variables are not correlated with one another.The variance of the error term decreases as the value of the dependent variable increases. The error term is normally distributed.An important explanatory variable is omitted that influences the explanatory variables included, and the dependent variable.What does a hypothesis test at the 5% significance level mean?P(not reject H0 | H0 is true) = 0.05P(not reject H0 | H0 is false) = 0.05P(reject H0 | H0 is true) = 0.05P(reject H0 | H0 is false) = 0.05Assume we calculate a one-week VAR for a natural gas position by rescal- ing the daily VAR using the square-root rule. Let us now assume that we determine the true gas price process to be mean-reverting and recalculate the VAR.Which of the following statements is true?The recalculated VAR will be less than the original VAR.The recalculated VAR will be equal to the original VAR.The recalculated VAR will be greater than the original VAR.There is no necessary relation between the recalculated VAR and the original VAR.On a multiple-choice exam with four choices for each of six questions, what is the probability that a student gets fewer than two questions correct simply by guessing?0.46%23.73%35.60%53.39%1. The current yield on a bond is equal to ________.A) annual interest divided by the current market priceB) the yield to maturityC) annual interest divided by the par valueD) the internal rate of returnAnswer: A Difficulty: EasyRationale: A is current yield and is quoted as such in the financial press.2. If a 7% coupon bond is trading for $975.00, it has a current yield of____________ percent.A) 7.00B) 7.24C) 8.53D) 7.18Answer: D Difficulty: EasyRationale: 70/975 = 7.18.3. If a 6% coupon bond is trading for $950.00, it has a current yield of____________ percent.A) 6.5B) 6.3C) 6.1D) 6.0Answer: B Difficulty: EasyRationale: 60/950 = 6.3.4. If an 8% coupon bond is trading for $1025.00, it has a current yield of____________ percent.A) 7.8B) 8.7C) 7.6D) 7.9Answer: A Difficulty: EasyRationale: 80/1025 = 7.8.5. If a 7.5% coupon bond is trading for $1050.00, it has a current yield of____________ percent.A) 7.0B) 7.4C) 7.1D) 6.9Answer: C Difficulty: EasyRationale: 75/1050 = 7.1.6. A coupon bond pays annual interest, has a par value of $1,000, matures in 4 years, has a coupon rate of 10%, and has a yield to maturity of 12%. The current yield on this bond is ___________.A) 10.65%B) 10.45%C) 10.95%D) 10.52%Answer: A Difficulty: ModerateRationale: FV = 1000, n = 4, PMT = 100, i = 12, PV= 939.25; $100 / $939.25 = 10.65%.7. A coupon bond pays annual interest, has a par value of $1,000, matures in 12 years, has a coupon rate of 11%, and has a yield to maturity of 12%. The current yield on this bond is ___________.A) 10.39%B) 10.43%C) 10.58%D) 10.66%Answer: D Difficulty: ModerateRationale: FV = 1000, n = 12, PMT = 110, i = 12, PV= 938.06; $100 / $938.06 = 10.66%.8. Of the following four investments, ________ is considered the safest.A) corporate bondsB) U. S. Agency issuesC) Treasury bondsD) Treasury billsAnswer: D Difficulty: EasyRationale: Only Treasury issues are insured by the U. S. government; the shorter-term the instrument, the safer the instrument.9. To earn a high rating from the bond rating agencies, a firm should haveA) a low times interest earned ratioB) a low debt to equity ratioC) a high quick ratioD) B and CAnswer: D Difficulty: EasyRationale: High values for the times interest and quick ratios and a low debt to equity ratio are desirable indicators of safety.10. At issue, coupon bonds typically sell ________.A) above par valueB) below parC) at or near par valueD) at a value unrelated to parAnswer: C Difficulty: EasyRationale: If the investment banker has appraised the market and the quality of the bond correctly, the bond will sell at or near par (unless interest rates have changed very dramatically and very quickly around the time of issuance).11. Accrued interestA) is quoted in the bond price in the financial press.B) must be paid by the buyer of the bond and remitted to the seller of the bond.C) must be paid to the broker for the inconvenience of selling bonds between maturity dates.D) A and B.Answer: B Difficulty: ModerateRationale: Accrued interest must be paid by the buyer, but is not included in the quotations page price.12. The invoice price of a bond that a buyer would pay is equal toA) the asked price plus accrued interest.B) the asked price less accrued interest.C) the bid price plus accrued interest.D) the bid price less accrued interest.Answer: A Difficulty: EasyRationale: The buyer of a bond will buy at the asked price and will also be invoiced for any accrued interest due to the seller.1. Which of the following statements regarding risk-averse investors is true?A) They only care about the rate of return.B) They accept investments that are fair games.C) They only accept risky investments that offer risk premiums over the risk-free rate.D) They are willing to accept lower returns and high risk.Answer: C Difficulty: Moderate2. Which of the following statements is (are) true?Risk-averse investors reject investments that are fair games.Risk-neutral investors judge risky investments only by the expected returns.Risk-averse investors judge investments only by their riskiness.Risk-loving investors will not engage in fair games.A) I onlyB) II onlyC) I and II onlyD) II and III onlyAnswer: C Difficulty: ModerateRationale: Risk-averse investors consider a risky investment only if the investment offers a risk premium. Risk-neutral investors look only at expected returns when making an investment decision.3. In the mean-standard deviation graph an indifference curve has a ________ slope.A) negativeB) zeroC) positiveD) northeastAnswer: C Difficulty: EasyRationale: The risk-return trade-off is one in which greater risk is taken if greater returns can be expected, resulting in a positive slope.4. In the mean-standard deviation graph, which one of the following statements is true regarding the indifference curve of a risk-averse investor?A) It is the locus of portfolios that have the same expected rates of return and different standard deviations.B) It is the locus of portfolios that have the same standard deviations and different rates of return.C) It is the locus of portfolios that offer the same utility according to returns and standard deviations.D) It connects portfolios that offer increasing utilities according to returns and standard deviations.Answer: C Difficulty: ModerateRationale: Indifference curves plot trade-off alternatives that provide equal utility to the individual (in this case, the trade-offs are the risk-return characteristics of the portfolios).5. In a return-standard deviation space, which of the following statements is (are) true for risk-averse investors? (The vertical and horizontal lines are referred to as the expected return-axis and the standard deviation-axis, respectively.)An investor's own indifference curves might intersect.Indifference curves have negative slopes.In a set of indifference curves, the highest offers the greatest utility.Indifference curves of two investors might intersect.A) I and II onlyB) II and III onlyC) I and IV onlyD) III and IV onlyE) none of the aboveAnswer: D Difficulty: ModerateRationale: An investor's indifference curves are parallel, and thus cannot intersect and have positive slopes. The highest indifference curve (the one in the most northwestern position) offers the greatest utility. Indifference curves of investors with similar risk-return trade-offs might intersect.6. Elias is a risk-averse investor. David is a less risk-averse investor than Elias. Therefore,A) for the same risk, David requires a higher rate of return than Elias.B) for the same return, Elias tolerates higher risk than David.C) for the same risk, Elias requires a lower rate of return than David.D) for the same return, David tolerates higher risk than Elias.Answer: D Difficulty: ModerateRationale: The more risk averse the investor, the less risk that is tolerated, given a rate of return.7. When an investment advisor attempts to determine an investor's risk tolerance, which factor would they be least likely to assess?A) the investor's prior investing experienceB) the investor's degree of financial securityC) the investor's tendency to make risky or conservative choicesD) the level of return the investor prefersE) the investor's feeling about lossAnswer: D Difficulty: ModerateUse the following to answer questions 8-9:Assume an investor with the following utility function: U = E(r) - 3/2(s2).8. To maximize her expected utility, she would choose the asset with an expected rate of return of _______ and a standard deviation of ________, respectively.A) 12%; 20%B) 10%; 15%C) 10%; 10%D) 8%; 10%E) none of the aboveAnswer: C Difficulty: ModerateRationale: U = 0.10 - 3/2(0.10)2 = 8.5%; highest utility of choices.9. To maximize her expected utility, which one of the following investment alternatives would she choose?A) A portfolio that pays 10 percent with a 60 percent probability or 5 percent with40 percent probability.B) A portfolio that pays 10 percent with 40 percent probability or 5 percent with a60 percent probability.C) A portfolio that pays 12 percent with 60 percent probability or 5 percent with40 percent probability.D) A portfolio that pays 12 percent with 40 percent probability or 5 percent with60 percent probability.Answer: C Difficulty: DifficultRationale: U(c) = 9.02%; highest utility of possibilities.10. A portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15. The risk-free rate is 6 percent. An investor has the following utility function: U = E(r)- (A/2)s2. Which value of A makes this investor indifferent between the risky portfolio and the risk-free asset?A) 5B) 6C) 7D) 8Answer: D Difficulty: DifficultRationale: 0.06 = 0.15 - A/2(0.15)2; 0.06 - 0.15 = -A/2(0.0225); -0.09 = -0.01125A; A = 8; U = 0.15 - 8/2(0.15)2 = 6%; U(R f) = 6%.11. According to the mean-variance criterion, which one of the following investments dominates all others?A) E(r) = 0.15; Variance = 0.20B) E(r) = 0.10; Variance = 0.20C) E(r) = 0.10; Variance = 0.25D) E(r) = 0.15; Variance = 0.25Answer: A Difficulty: DifficultRationale: A gives the highest return with the least risk; return per unit of risk is .75, which dominates the reward-risk ratio for the other choices.12. Consider a risky portfolio, A, with an expected rate of return of 0.15 and a standard deviation of 0.15, that lies on a given indifference curve. Which one of the following portfolios might lie on the same indifference curve?A) E(r) = 0.15; Standard deviation = 0.20B) E(r) = 0.15; Standard deviation = 0.10C) E(r) = 0.10; Standard deviation = 0.10D) E(r) = 0.20; Standard deviation = 0.15Answer: C Difficulty: DifficultRationale: Portfolio A has a reward to risk ratio of 1.0; portfolio C is the only choice with the same risk-return tradeoff.Use the following to answer questions 13-15:13. Based on the utility function above, which investment would you select?A) 1B) 2C) 3D) 4Answer: C Difficulty: DifficultRationale: U(c) = 0.21 - 4/2(0.16)2 = 15.88 (highest utility of choices).14. Which investment would you select if you were risk neutral?A) 1B) 2C) 3D) 4Answer: D Difficulty: DifficultRationale: If you are risk neutral, your only concern is with return, not risk.15. The variable (A) in the utility function represents the:A) investor's return requirement.B) investor's aversion to risk.C) certainty-equivalent rate of the portfolio.D) minimum required utility of the portfolio.Answer: B Difficulty: ModerateRationale: A is an arbitrary scale factor used to measure investor risk tolerance. The higher the value of A, the more risk averse the investor.16. The exact indifference curves of different investorsA) cannot be known with perfect certainty.B) can be calculated precisely with the use of advanced calculus.C) although not known with perfect certainty, do allow the advisor to create more suitable portfolios for the client.D) A and C.Answer: D Difficulty: EasyRationale: Indifference curves cannot be calculated precisely, but the theory does allow for the creation of more suitable portfolios for investors of differing levels of risk tolerance.17. The riskiness of individual assetsA) should be considered for the asset in isolation.B) should be considered in the context of the effect on overall portfolio volatility.C) combined with the riskiness of other individual assets (in the proportions these assets constitute of the entire portfolio) should be the relevant risk measure.D) B and C.E) none of the above.Answer: D Difficulty: EasyRationale: The relevant risk is portfolio risk; thus, the riskiness of an individual security should be considered in the context of the portfolio as a whole.18. A fair gameA) will not be undertaken by a risk-averse investor.B) is a risky investment with a zero risk premium.C) is a riskless investment.D) Both A and B are true.E) Both A and C are true.Answer: D Difficulty: ModerateRationale: A fair game is a risky investment with a payoff exactly equal to its expected value. Since it offers no risk premium, it will not be acceptable to a risk-averse investor.19. The presence of risk means thatA) investors will lose money.B) more than one outcome is possible.C) the standard deviation of the payoff is larger than its expected value.D) final wealth will be greater than initial wealth.E) terminal wealth will be less than initial wealth.Answer: B Difficulty: EasyRationale: The presence of risk means that more than one outcome is possible.20. The utility score an investor assigns to a particular portfolio, other things equal,A) will decrease as the rate of return increases.B) will decrease as the standard deviation increases.C) will decrease as the variance increases.D) will increase as the variance increases.E) will increase as the rate of return increases.Answer: E Difficulty: EasyRationale: Utility is enhanced by higher expected returns and diminished by higher risk.21. The certainty equivalent rate of a portfolio isA) the rate that a risk-free investment would need to offer with certainty to be considered equally attractive as the risky portfolio.B) the rate that the investor must earn for certain to give up the use of his money.C) the minimum rate guaranteed by institutions such as banks.D) the rate that equates “A” in the utility function with the average risk aversion coefficient for all risk-averse investors.E) represented by the scaling factor “-.005” in the utility function.Answer: A Difficulty: Moderate22. According to the mean-variance criterion, which of the statements below is correct?A) Investment B dominates Investment A.B) Investment B dominates Investment C.C) Investment D dominates all of the other investments.D) Investment D dominates only Investment B.E) Investment C dominates investment A.Answer: B Difficulty: ModerateRationale: This question tests the student's understanding of how to apply the mean-variance criterion.23. Steve is more risk-averse than Edie. On a graph that shows Steve and Edie's indifference curves, which of the following is true? Assume that the graph shows expected return on the vertical axis and standard deviation on the horizontal axis.Steve and Edie's indifference curves might intersect.Steve's indifference curves will have flatter slopes than Edie's.Steve's indifference curves will have steeper slopes than Edie's.Steve and Edie's indifference curves will not intersect.Steve's indifference curves will be downward sloping and Edie's will be upward sloping.A) I and VB) I and IIIC) III and IVD) I and IIE) II and IVAnswer: B Difficulty: ModerateRationale: This question tests whether the student understands the graphical properties of indifference curves and how they relate to the degree of risk tolerance.24. The Capital Allocation Line can be described as theA) investment opportunity set formed with a risky asset and a risk-free asset.B) investment opportunity set formed with two risky assets.C) line on which lie all portfolios that offer the same utility to a particular investor.D) line on which lie all portfolios with the same expected rate of return and different standard deviations.E) none of the above.Answer: A Difficulty: ModerateRationale: The CAL has an intercept equal to the risk-free rate. It is a straight line through the point representing the risk-free asset and the risky portfolio, in expected-return/standard deviation space.25. Which of the following statements regarding the Capital Allocation Line (CAL) is false?A) The CAL shows risk-return combinations.B) The slope of the CAL equals the increase in the expected return of a risky portfolio per unit of additional standard deviation.C) The slope of the CAL is also called the reward-to-variability ratio.D) The CAL is also called the efficient frontier of risky assets in the absence of a risk-free asset.E) Both A and D are true.Answer: D Difficulty: ModerateRationale: The CAL consists of combinations of a risky asset and a risk-free asset whose slope is the reward-to-variability ratio; thus, all statements except d are true.26. Given the capital allocation line, an investor's optimal portfolio is the portfolio thatA) maximizes her expected profit.B) maximizes her risk.C) minimizes both her risk and return.D) maximizes her expected utility.E) none of the above.Answer: D Difficulty: ModerateRationale: By maximizing expected utility, the investor is obtaining the best risk-return relationships possible and acceptable for her.27. An investor invests 30 percent of his wealth in a risky asset with an expected rate of return of 0.15 and a variance of 0.04 and 70 percent in a T-bill that pays 6 percent. His portfolio's expected return and standard deviation are __________ and __________, respectively.A) 0.114; 0.12B) 0.087;0.06C) 0.295; 0.12D) 0.087; 0.12E) none of the aboveAnswer: B Difficulty: ModerateRationale: E(r P) = 0.3(15%) + 0.7(6%) = 8.7%; s P = 0.3(0.04)1/2 = 6%.Use the following to answer questions 28-31:You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05.28. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.09?A) 85% and 15%B) 75% and 25%C) 67% and 33%D) 57% and 43%E) cannot be determinedAnswer: D Difficulty: ModerateRationale: 9% = w1(12%) + (1 - w1)(5%); 9% = 12%w1 + 5% - 5%w1; 4% = 7%w1; w1 = 0.57; 1 - w1 = 0.43; 0.57(12%) + 0.43(5%) = 8.99%.29. What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.06?A) 30% and 70%B) 50% and 50%C) 60% and 40%D) 40% and 60%E) cannot be determinedAnswer: C Difficulty: ModerateRationale: 0.06 = x(0.15); x = 40% in risky asset.。
《金融风险管理》期末复习试题及答案
【金融风险管理】期末复习资料 小抄版 全部考试题型包括六种题型:单选题(每题1分，共10分）多选题（每题2分，共10分）判断题（每题1分，共5分)计算题（每题15分,共30分）简答题（每题10分,共30分）论述题（每题15分,共15分） 一．单选题 1、金融风险管理的第二阶段是（B ） A 、识别阶段B 、衡量与评估阶段 C 、处理阶段D 、实施阶段 1。
“流动性比率是流动性资产与_______之间的商。
（B ） A.流动性资本B 。
流动性负债 C 。
流动性权益D.流动性存款” 2.资本乘数等于_____除以总资本后所获得的数值（D) A 。
总负债B 。
总权益 C 。
总存款D 。
总资产” 3。
狭义的信用风险是指银行信用风险，也就是由于______主观违约或客观上还款出现困难，而给放款银行带来本息损失的风险。
(B) A 。
放款人B 。
借款人 C 。
银行D.经纪人” 4。
_______理论认为,银行不仅可以通过增加资产和改善资产结构来降低流动性风险，而且可以通过向外借钱提供流动性，只要银行的借款市场广大,它的流动性就有一定保证。
(C) A.负债管理B 。
资产管理 C.资产负债管理D 。
商业性贷款” 5.“所谓的“存贷款比例”是指___________。
(A ） A.贷款/存款B.存款/贷款 C.存款/(存款+贷款）D 。
贷款/(存款+贷款) 6。
当银行的利率敏感性资产大于利率敏感性负债时,市场利率的上升会_______银行利润;反之，则会减少银行利润。
（A ） A 。
增加B 。
减少C 。
不变D.先增后减" 7。
“银行的持续期缺口公式是____________。
（A ） A 。
8。
为了解决一笔贷款从贷前调查到贷后检查完全由一个信贷员负责而导致的决策失误或以权谋私问题，我国银行都开始实行了________制度，以降低信贷风险.（D ）A 。
五级分类B 。
理事会C.公司治理D 。
审贷分离”9.“融资租赁一般包括租赁和_____两个合同。
《金融风险管理》复习习题包含答案
金融风险管理样题参考（一）单项选择题（每题1分,共10分）狭义的信用风险是指银行信用风险，也就是由于__________主观违约或客观上还款出现困难，而给放款银行带来本息损失的风险。
( B ）A. 放款人B. 借款人C. 银行D。
经纪人（二）多项选择题（每题2分，共10分）在下列“贷款风险五级分类”中,哪几种贷款属于“不良贷款”：（ACE ）A. 可疑B. 关注C。
次级D。
正常 E. 损失（三)判断题（每题1分,共5分）贷款人期权的平衡点为“市场价格= 履约价格—权利金"。
（X ）（五)简答题（每题10分，共30分)商业银行会面临哪些外部和内部风险?答：（1)商业银行面临的外部风险包括：①信用风险。
是指合同的一方不履行义务的可能性。
②市场风险。
是指因市场波动而导致商业银行某一头寸或组合遭受损失的可能性。
③法律风险，是指因交易一方不能执行合约或因超越法定权限的行为而给另一方导致损失的风险.（2）商业银行面临的内部风险包括：①财务风险，主要表现在资本金严重不足和经营利润虚盈实亏两个方面。
②流动性风险，是指银行流动资金不足，不能满足支付需要，使银行丧失清偿能力的风险。
③内部管理风险，即银行内部的制度建设及落实情况不力而形成的风险。
（六)论述题(每题15分,共15分）你认为应该从哪些方面构筑我国金融风险防范体系？答:可以借鉴“金融部门评估计划"的系统经验，健全我国金融风险防范体系。
（1）建立金融风险评估体系金融风险管理主要有四个环节，即识别风险,衡量风险，防范风险和化解风险，这些都依赖于风险评估，而风险评估是防范金融风险的前提和基础.目前我国金融市场上有一些风险评级机构和风险评级指标体系，但是还不够完善，还需要做好以下工作:①健全科学的金融预警指标体系。
②开发金融风险评测模型。
（2)建立预警信息系统完善的信息系统是有效监管的前提条件。
我国目前尽管已形成较为完善的市场统计指标体系，但对风险监测和预警的支持作用还有限，与巴塞尔委员会《有效银行监管的核心原则》要求还有差距。
《金融风险管理》期末复习资料.doc
《金融风险管理》复习资料一、单选题１．（D）是指管理者通过承担各种性质不同的风险，利用它们之间的相关程度来取得最优风险组合，使加总后的总体风险水平最低。
D. 分散策略2.流动性比率是流动性资产与（Ｂ）之间的商B.流动性负债3.资本乘数等于（Ｄ）除以总资本后所获得的数值D. 总资产4.狭义的信用风险是指银行信用风险，也就是由于（Ｂ）主观违约或客观上还款出现困难，而给放款银行带来本息损失的风险。
B. 借款人５．（Ｃ）理论认为，银行不仅可以通过增加资产和改善资产结构来降低流动性风险，而且可以通过向外借钱提供流动性，只要银行的借款市场广大，它的流动性就有一定保证。
C. 资产负债管理６．所谓的“存贷款比例”是指_（A）。
A. 贷款/存款７．当银行的利率敏感性资产大于利率敏感性负债时，市场利率的上升会（A）银行利润；反之，则会减少银行利润。
A. 增加银行的８“（Ｂ）”，又称为会计风险，是指对财务报表会计处理，将功能货币转为记账货币时，因汇率变动而蒙受账面损失的可能性。
B. 折算风险9.为了解决一笔贷款从贷前调查到贷后检查完全由一个信贷员负责而导致的决策失误或以权谋私问题，我国银行都开始实行了（D）制度，以降低信贷风险。
D. 审贷分离10证券承销的信用风险主要表现为，在证券承销完成之后，证券的（D）不按时向证券公司支付承销费用，给证券公司带来相应的损失。
D.发行人11.（C）是以追求长期资本利得为主要目标的互助基金。
为了达到这个目的，它主要投资于未来具有潜在高速增长前景公司的股票。
C. 成长型基金12.融资租赁一般包括租赁和（D）两个合同。
D.购货13“（A）”是在交易所内集中交易的、标准化的远期合约。
由于合约的履行由交易所保证，所以不存在违约的问题。
Ａ期货合约14.目前，互换类（Swap）金融衍生工具一般分为（B）和利率互换两大类。
B. 货币互换15.上世纪50年代，马柯维茨的_（C）理论和莫迪里亚尼-米勒的MM定理为现代金融理论的定量化发展指明了方向。