FRM每日一练Part I(3)
FRM一级练习题(3)答案
FRM一级练习题（3）答案1. Here the t-reliability factor is used since the population variance is unknown. Since there are 30 observations, the degrees of freedom are 30 – 1 = 29. The t-test is a two-tailed test. So the correct critical t-value is2.045; thus the 95% confidence interval for the mean return is = [-3.464%, 11.464%].2. Assuming the l ong-run estimated variance remains unchanged, the reversion rate defined by the GARCH(1,1) model is (1- - ), which implies that the volatility term structure predicted by the GARCH(1,1) model reverts to the l ong-run estimated variance more sl owly.3. The cal culation is as foll ows:Two-thirds of the equity fund is worth USD 40 million. The optimal hedge ratio is given byh = 0.89 * 0.51 / 0.48 = 0.945The number of futures contracts is given byN = 0.945 * 40,000,000 / (910 * 250) = 166.26 c 167, rounded up to nearest integer.Incorrect:(A)—This is obtained if you hedge the full portfolio instead of two-thirds.Incorrect:(B)—This is obtained if you use the S&P 500 index l evel of 900 instead of the futures price of 910. Incorrect:(D)—This is obtained if the volatilities of the portfolio and the futures in the formula for the optimal hedge ratio are incorrectly invested.4. Due to the fact that the American option under consideration is on the stock, which does not pay dividends during the period, its value is equal to the European option with the same parameters. Thus, we can apply the put-call parity to determine the l evel of interest rates.C – P = S – K e – rT0.46 – 2.25 = 22 – 24 e – 0.25r–23.79 = –24e – 0.25rr = 3.52%(A) Incorrect answer.(B) Correct answer.(C) Incorrect answer: This is obtained if 0.5 year expiration is used instead of three months.(D) Incorrect answer: Because there are no dividends during the life of the option, put-call parity can be used and the interest rate can indeed be calculated.5. It is a butterfly spread strategy that can maximize the profit at the target level of USDJPY 97 while limiting the loss to the difference between the premiums of the two long and short calls. Incorrect:(A)—It is a strad dle strategy suitable for high expected volatility.Incorrect:(B)—It is a bull spread strategy suitable for bull expectation on USD.Incorrect:(C)—It is a bull spread strategy for USD.6. The key concept here is the box spread. A box spread with strikes at 120 and 150 gives you a payoff of 30 at expiration irrespective of the spot price. In a sense, it is like a zero coupon bond. Now recall the put-call parity relation:p + S = c + price of zero coupon bond with face value of strike red eeming at the maturity of the options.Since the strike is 120, the price of a zero coupon bond with face value of 120 can be expressed as four units of box spread.If there is any way you can sell any one side of the equation at a price higher than the other there is an arbitrage opportunity.(A) is correct.Short one put: +25Short one spot: +100Buy one call: –5Buy six box spreads: –120Net cash fl ow: 0At expiry, if spot is greater than 120, call is exercised, and if it is less than 120, put is exercised. In either case you end up buying one spot at 120. This can be used to cl ose the short position. The six spreads will provid e a cash fl ow of 6 * 30 = 180. The net profit is therefore = 180 – 120 = 60.(B) is incorrect.Buy one put: –25Short one spot: +100Short one call: +5Buy four box spreads: –80Net cash fl ow: 0At expiry, if spot is greater than 120, call is exercised, and if it is less than 120, put is exercised. In either case you end up selling one spot, at 120. However, you are already short one spot, which you have to cl ose. The four box-spreads provide a cash flow of 4 * 30 = 120. The net cash outfl ow = K – S – S – 120 = –2S. You have mad e a loss unless the spot price is zero.(C) is incorrect. This is exactly the reverse strategy of(A) And will give you a loss of 60.(D) is incorrect. You will choose this if you cannot figure out the similarity of the box-spread payoff to that of a zero coupon bond.7. The cheapest-to-deliver bond on maturity is defined as the one for which the adjusted spot price is the l owest. Adjusted spot price = Spot price/Conversion factor. Computation of adjusted price for each of the bonds is as foll ows:Bond A = (10214/32)/0.98 = 104.53%Bond B = (10619/32)/1.03 = 103.49%Bond C = (9812/32)/0.95 = 103.55%So, bond B is the cheapest-to-deliver bond, and option (B) is correct.8.(1) is false. Basis risk can also arise if the underlying asset and hedge asset are id entical. This can happen ifthe maturity of hedge contract and delivery date of asset does not match.(2) is true. Short hedge position or short forward contract benefits from unexpected decline in future prices and consequent strengthening of basis. The payoff to short hedge position is spot price at maturity (S2) and difference between futures price, i.e. (F1 – F2). Thus, payoff = S2 + F1 – F2 = F1 + b2, where b2 is the basis.(3) is false. Long hedge position benefits from weakening of basis.(A) is incorrect.(B) is incorrect.(C) is correct.(D) is incorrect.9.The value of the swap increases / decreases with an increase / decrease in the U.S. five-year fixed rate.The value of the swap increases / decreases with a d ecrease / increase in the USD-JPY rate.In(A), the value of the swap will increase.(A) is incorrect.In(B), the value of the swap will decrease.(B) is incorrect.In(C), the value of the swap will decrease.(C) is incorrect.In (D), both factors will cause a decrease in the value of the swap. Hence, (D) is correct.10. (A) is incorrect. The larger the debt repayments in hard currencies are in relation to export revenues, the greater the probability that the country will have to reschedul e its debt. (B) is incorrect. Since the first use of reserves is to buy vital imports, the greater the ratio of imports to foreign exchange reserves, the higher the probability that the country will have to reschedule its debt repayments. This is the case because the repayment of foreign debt hol ders is generally viewed by countries as being less important than supplying vital goods to the domestic population.(C) is correct. The investment ratio measures the d egree to which a country is all ocating resources to real investment in factories, machines, and so on, rather than to consumption. The higher this ratio is, the more productive the economy shoul d be in the future and the l ower the probability that the country will need to reschedul e its debt. An opposing view argues for a positive relationship, especially if the country invests heavily in import-competing industries. However, the relationship between the INVR and the probability of rescheduling is most likely to be negative among the four options given.(D) is incorrect. The more volatile a country's export earnings, the l ess certain creditors can be that at any time in the future it will be abl e to meet its repayment commitments. That is, there should be a positive relationship between VAREX and the probability of rescheduling.参与FRM的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM 考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。
FRM三级模拟题(三)
FRM三级模拟题（三）1. Which of the following statements regarding asset backed commercial paper (ABCP) iscorrect?a. ABCP pools assets from only one issuer to back short term commercial paper.b. ABCP has an active secondary market.c. ABCP includes only a single conveyance of assets and once the liabilities are paid off, thestructure terminates.d. ABCP has significant liquidity risk due to the variable structure of cash in Rows and thefixed structure of cash outflows.Answer: dABCP does not have an active secondary marker and has significant liquidity risk. ABCP pools assets for multiple issuers and continually purchases new assets and offers new issues.2. Regarding term structure models, there are two lognormal models of importance: lognormalwith deterministic drift and lognormal with mean reversion. Which of the followingstatements regarding the lognormal model with drift is correct?a. The short-term rare follows a normal distribution.b. The exponential of the short-term rate follows a normal distribution.c. The natural log of the short-term rate follows a normal distribution.d. The natural log of the short-term rate follows a bivariate normal distribution.Answer: cIf the short-term rate follows a lognormal distribution, then the natural log of the short-term rate follows a normal distribution.3. Samantha Moore manages a hedge fund for a mid-sized money management firm. The fundfrequently changes styles according to identified profit opportunities. At the beginning of the year, the fund took a long position in10-year subordinated 8% coupon debt issued by a firm expected to undergo reorganization under Chapter l l. Moore felt that analysts had beenpaying too little attention to the issuer. Six months later, the fund completed a secondtransaction involving a long position in Swiss Francs and a short position in Japanese Yen based on forecasted movements in interest rates in the two countries. What two hedge fund strategies are most likely being employed by Moore's hedge fund?a. Distressed securities strategy and equity long/short strategy.b. Fixed-income arbitrage and global macro strategyc. Distressed securities strategy and global macro strategyd. Fixed-income arbitrage and equity long/short strategyAnswer: cIn a distressed securities strategy, the manager takes a long position in the financial securities of a financially troubled company, holding the securities through the restructuring orbankruptcy process to capture value that is unrecognized by the market. The manager may also utilize short positions, but this is not a necessary element of the strategy Global macro strategies rake long and short positions in financial instruments (such as currencies, interest rates, debt, equities, and commodities) based on expected changes in global capital markets.4. The concentration ratio is the simplest measure of market concentration (or fragmentation).Given the following information on the three highest share marker centers, what are the concentration ratios for stocks A and B?Stock A Stock BMarket Venue I = 30% Market Venue I = 10%Marker Venue 2 = 40% Market Venue 2 = 15% Marker Venue 3 = 10% Market Venue 3 = 5%A level as in the basic indicator approach.Ba. 0.80 0.30b. 0.60 0.85c. 0.90 0.95d. 0.20 0.70Answer: aCR (Stock A) = 0.30 + 0.40 + 0.10 = 0.80CR (Stock B) = 010 + 0.15 + 0.05 = 0.305. According to Basel II, the basic indicator and standardized approaches to operational riskrequire banks to hold capital for operational risk equal to a fixed percentage of gross income. The difference between the two approaches is that under the standardized approach:a. banks must calculate a capital requirement for each business line rather than at the firmb. banks must calculate separate capital requirement for rated and unrated exposures rather than at the firm level as in the basic indicator approach.c. the capital requirement is a higher percentage of income than in the basic indicator approach.d. the capital requirement is a lower percentage of income than in the basic indicator approach.Answer: aUnder the standardized approach, banks must calculate a capital requirement for each business line, rather than at the firm level as in the basic indicator approach.。
frm练习题
frm练习题FRM练习题FRM（金融风险管理师）是金融行业中备受认可的专业资格认证之一。
持有FRM资格的人员通常具备深厚的金融知识和风险管理技能，能够在金融市场中有效地识别、评估和管理各种风险。
为了通过FRM考试，考生需要进行大量的练习题训练，以提高自己的理论水平和解题能力。
练习题是FRM考试中的重要组成部分，它们涵盖了金融市场、投资组合、风险度量和管理等各个方面的知识点。
通过解答练习题，考生可以巩固自己的理论知识，加深对各个概念和模型的理解，同时也可以熟悉考试的题型和难度。
在解答练习题的过程中，考生还可以发现自己的知识盲点和薄弱环节，有针对性地进行学习和提高。
FRM练习题通常分为选择题和论述题两种类型。
选择题是考生从给定的选项中选择正确答案的题目，它们可以帮助考生迅速掌握和记忆各个知识点。
选择题的解答过程需要考生对概念和模型有较好的理解，同时还需要一定的计算能力和逻辑思维能力。
论述题则要求考生详细阐述问题的解决思路和方法，并给出合理的论证和解释。
论述题的解答过程需要考生具备较强的分析和推理能力，能够将理论知识与实际情况相结合，形成自己的见解和观点。
解答FRM练习题需要一定的时间和耐心。
考生可以根据自己的时间安排，每天抽出一定的时间进行练习题的训练。
在解答练习题时，考生可以先尝试自己独立解答，然后再对照答案进行核对和分析。
对于解答错误的题目，考生应该仔细分析自己的错误原因，并进行相应的知识补充和巩固。
此外，考生还可以参考一些解题技巧和方法，提高解题的效率和准确性。
除了进行练习题的训练，考生还可以参加一些模拟考试和讲解课程，提高自己的应试能力和解题技巧。
模拟考试可以帮助考生熟悉考试的时间限制和答题方式，提前感受考试的紧张氛围，从而更好地应对实际考试。
讲解课程则可以帮助考生理解和掌握各个知识点，解答疑惑，提高解题能力。
练习题的数量和难度是考生进行备考的重要参考指标。
考生可以根据自己的实际情况选择适合自己的练习题集，进行有针对性的练习。
2010年5月FRM1级第一部分风险管理基础课堂练习题(仅含试题)
2010 FRM Part 1 - Foundations of Risk ManagementMock Exam1.Portfolio Q has a beta of 0.7 and an expected return of 12.8%. The market risk premium is5.25%. The risk free rate is 4.85%. Calculate Jensen’s Alpha measure for Portfolio Q.A.7.67%B. 2.7%C. 5.73%D. 4.27%2.You are the new CFO of Global Insurance Inc. You have asked a task force to report to you onhow to structure an enterprise risk management program (FRM) with the objective of ensuring that your firm has the optimal level of risk for its level of capital. The task force has made the following recommendations. Which recommendation would hinder your FRM program from achieving its objective?a)Management should estimate the amount of capital required to support the risk of itsoperations given the firm’s target rating.b)Management should allocate the amount of capital determined to support the risk of itsoperations with the objective that units with better accounting performance receive morecapital.c)Management should measure firm-level risk by aggregating risks across the firmconsistently.d)Management should first determine the firm’s risk appetite and the general rules forcapital allocation.3. All the following are operational risk loss events, except:a. An individual shows up at a branch presenting a check written by a customer for an amountsubstantially exceeding the customers low checking account balance. When the bank calls the customer to ask him for the funds, the phone is disconnected and the bank cannot recover the funds.b. A bank, acting as a trustee for a loan pool, receives less than the projected funds due todelayed repayment of certain loans.c. During an adverse market movement, the computer network system becomes overwhelmed,and only intermittent pricing information is available to the bank’s trading desk, leading to large losses as traders become unable to alter their hedges in response to falling prices.d. A loan officer inaccurately enters client financial information into the bank’s proprietarycredit risk model.4. You have been asked to review a memo on how market liquidity is affected by shocks to thefinancial system. Which of the following observations made in the memo is incorrect?a.In periods of acute market stress, market liquidity typically increases in the most liquidmarkets, creating a self-correcting loop that will ultimately remove downward pressureon asset prices.b.Evaporation of market liquidity is an important factor in determining whether and atwhat speed financial disturbances become financial shocks with potentially systemicthreats.c.Market shocks may not be reflected in mark-to-market portfolio values immediately forportfolios with illiquid assets. As a result, it is possible for market shocks to havedelayed effects on financial institutions.d.The impact of a market shock on the liquidity of a specific asset depends on thecharacteristics of the investors who own the asset.5. What type of operational risk caused substantial losses to Barings Bank?a.Inability to reconcile a new settlement systemb.Unauthorized tradingc.Political turmoild.Massive technology failure6. A fund manager recently received a report on the performance of his portfolio over the lastyear. According to the report, the portfolio return is 9.3%, with a standard deviation of 13.5%, and beta of 0.83. The risk-free rate is 3.2%, the semi-standard deviation of the portfolio is8.4%, and the tracking error of the portfolio to the benchmark index is 2.8%. What is thedifference between the value of the fund’s Sortino ratio (computed relative to the risk-free rate) and its Sharpe ratio?a. 1.727b.0.274c.-0.378d.0.6537. The risk of the occurrence of a significant difference between the mark-to-model value of acomplex and/or illiquid instrument and the price at which the same instrument is revealed to have traded in the market is referred to asa.liquidity risk.b.dynamic risk.c.model risk.d.Mark-to-market risk.8. Jennifer Durrant is evaluating the existing risk management system of Silverman AssetManagement. She is asked to match the following events to the corresponding type of risk. Identify each numbered event as a market risk, credit risk, operational risk, or legal risk event. Event1. Insufficient training leads to misuse of order management system2. Credit spreads widen following recent bankruptcies3. Option writer does not have the resources required to honor a contract.4. Credit swap with counterparty cannot be netted because they originated in multiple jurisdictions.a. 1: legal risk, 2: credit risk, 3: operational risk, 4:credit riskb. 1:operational risk, 2: credit risk, 3: operational risk, 4: legal riskc. 1:operational risk, 2: market risk, 3: credit risk, 4: legal riskd. 1:operational risk, 2: market risk, 3: operational risk, 4: legal risk9.10.11.12.13.14.15.16.17.18.19.20.。
2010年5月FRM1级第三部分金融市场与产品模拟练习题(2010年3月21日上海王迪共50题)
Financial Markets and Products1. If the lease rate of commodity A is less than the risk-free rate, what is the market structure of commodity A?a. Backwardationb. Contangoc. Flatd. Inversion2. On March 13, 2008, William Tell, a fund manager for the Rossini fund, takes a short position in the March Treasury bond (T-bond) futures contract. He plans to deliver the cheapest-to-deliver Treasury bond with a coupon of 4.5% payable semiannually on May 15 and November 15 (182 days between), a conversion factor of 1.3256, and a face value of USD 100,000. The delivery date is Friday, March 15 (121 days after November 15 coupon payment date). The settlement price for the cheapest-to-deliver Treasury bond on March 13 is 68 2/32. Which of the following is the best estimate of the invoice price?a. USD 90,118.87b. USD 91,719.53c. USD 92,367.75d. USD 95,619.473. The yield curve is upward sloping, and a portfolio manager has a long position in 10-year Treasury Notes funded through overnight repurchase agreements. The risk manager is concerned with the risk that market rates may increase further and reduce the market value of the position. What hedge could be put on to reduce the position's exposure to rising rates?a. Enter into a 10-year pay fixed and receive floating interest rate swap.b. Enter into a 10-year receive fixed and pay floating interest rate swap.c. Establish a long position in 10-year Treasury Note futures.d. Buy a call option on 10-year Treasury Note futures.4. The current price of stock ABC is USD 42 and the call option with a strike at USD 44 is trading at USD 3. Expiration is in one year. The put option with the same exercise price and same expiration date is priced at USD 2. Assume that the annual risk-free rate is 10% and that there is a risk-free bond paying the risk-free rate that can be shorted costlessly. There are no transaction costs. Which of the following trading strategies will result in arbitrage profits?a. Long position in both the call option and the stock, and short position in the put option and risk-free bond.b. Long position in both the call option and the put option, and short position in the stock and risk-free bond.c. Long position in both the call option and risk-free bond, and short position inthe stock and the put option.d. Long position in both the put option and the risk-free bond, and short position in the stock and the call option.5. Nicholas is responsible for the asset and liability management of JerseyBeech Bank, a small retail bank with USD 300 million in interest-bearing assets that yield approximately 70 bp above LIBOR. The duration of the interest-bearing assets is 2.5 years. Due to the recent financial turmoil, the bank seeks to reduce potential negative impacts on earnings from adverse moves in interest rates. Thus, the bank decides to hedge 50% of its interest rate exposures using Treasury bond futures. Nicholas decides to use September T-bond futures that trade at 106-22 and will mature in three months; the cheapest-to-deliver bond associated with this contract is a 7-year, 10% coupon, with a current duration of 5 years. At the maturity of the futures contract, the duration of the bank's interest rate sensitive assets will not change; however, the duration of the cheapest-to-deliver bond will fall to 4.9.How many contracts should Nicholas buy or sell?a. Buy 703 contracts.b. Sell 703 contracts.c. Buy 717 contracts.d. Sell 717 contracts.6. One of the traders whose risk you monitor put on a carry trade where he borrows in yen and invests in some emerging market bonds whose performance is independent of yen. Which of the following risks should you not worry about?a. Unexpected devaluation of the yen.b. A currency crisis in one of the emerging markets the trader invests in.c. Unexpected downgrading of the sovereign rating of a country in which the trader invests.d. Possible contagion to emerging markets of a credit crisis in a major country.7. The current spot price of cotton is USD 0.7409 per pound. The cost of storing and insuring cotton is USD 0.0042 per pound per month payable at the beginning of every month. The risk-free rate is 5%. A 3-month forward contract trades at USD 0.7415 per pound. If there is an arbitrage opportunity, how would you capitalize on it to make a profit? Assume there are no restrictions on short selling cotton.i. short the futures contractii. borrow at the risk-free rateiii. buy cotton at the spot priceiv. go long in the futures contractv. invest at the risk-free ratevi. sell cotton at the spot pricea. There is no arbitrage opportunity here.b. The arbitrage opportunity involves i, ii, and iii.c. The arbitrage opportunity involves iv, v, and vi.d. The arbitrage opportunity involves ii, iv, and vi.8. In late 1993, Metallgesellschaft reported losses of approximately USD 1.5 billion in connection with the implementation of a hedging strategy in the oil futures market. In 1992, the company had begun a new strategy to sell petroleum to independent retailers, on a monthly basis, at fixed prices above the prevailing market price for periods of up to 5 and even 10 years. At the same time, Metallgesellschaft implemented a hedging strategy using a large number of short-term derivative contracts such as swaps and futures on crude oil, heating oil, and gasoline on several exchanges and markets. Its approach was to buy on the derivatives market exposure to one barrel of oil for each barrel it had committed to deliver. Because of its choice of a hedge ratio, the company suffered significant losses with its hedging strategy when oil market conditions abruptly changed to:a. Contango, which occurs when the futures price is above the spot price.b. Contango, which occurs when the futures price is below the spot price.c. Normal backwardation, which occurs when the futures price is above the spot price.d. Normal backwardation, which occurs when the futures price is below the spot price.9. Basis risk is a common problem faced by hedgers because the underlying and the hedging instrument may not always move in perfect correlation. Which of the following strategies has the least basis risk?a. Straddle strategyb. Hedging individual equities using index futuresc. Stack and roll strategyd. Delta hedging strategy10. Which one of the following four trading strategies limits the investor's upside potential and downside risk?a. A long position in a put combined with a long position in a stock.b. A short position in a put combined with a short position in a stock.c. Buying a call option on a stock with a certain strike price and selling a call option on the same stock with a higher strike price and the same expiration date.d. Buying a call and a put with the same strike price and expiration date.11. Which of the following statements are correct about the early exercise ofAmerican options?i. It is never optimal to exercise an American call option on a non-dividend-paying stock before the expiration date.ii. It can be optimal to exercise an American put option on a non-dividend-paying stock early.iii. It can be optimal to exercise an American call option on a non-dividend-paying stock early.iv. It is never optimal to exercise an American put option on a non-dividend-paying stock before the expiration date.a. i and iib. i and ivc. ii and iiid. iii and iv12. A portfolio manager wants to hedge his bond portfolio against changes in interest rates. He intends to buy a put option with a strike price below the portfolio’s current price in order to protect against rising interest rates. He also wants to sell a call option with a strike price above the portfolio’s current price in order to reduce the cost of buying the put option. What strategy is the manager using?a. Bear spreadb. Stranglec. Collard. Straddle13. All else being equal, which of the following options would cost more than plain vanilla options?I. Lookback optionsII. Barrier optionsIII. Asian optionsIV. Chooser optionsa. I onlyb. I and IVc. II and IIId. I, III and IV14. Which of the following statements about American options is false?a. American options can be exercised at any time until maturityb. American options are always worth at least as much as European optionsc. American options can easily be valued with Monte Carlo simulationd. American options can be valued with binomial trees15. Imagine a stack-and-roll hedge of monthly commodity deliveries that you continue for the next five years. Assume the hedge ratio is adjusted to take into effect the mistiming of cash flows but is not adjusted for the basis risk of the hedge. In which of the following situations is your calendar basis risk likely to be greatest?a. Stack and roll in the front month in oil futures.b. Stack and roll in the 12-month contract in natural gas futures.c. Stack and roll in the 3-year contract in gold futures.d. All four situations will have the same basis risk.16. Consider a 6-month futures contract on the S&P 500, and suppose the current value of the index is 1330. Suppose the dividend yield is 1.5% annually for the stocks underlying the index, and that the continuously compounded risk-free interest rate is 5.5% annually. What is the cost of carry for this futures contract?a. 4.0%b. -4.0%c. 2.0%d. -2.0%17. Which of the following factors will not necessarily increase the price of a European call option on a dividend paying stock as this factor increases in value?a. The risk free rate.b. The stock price.c. The time to expiration.d. The volatility of the stock price.18. Jeff is an arbitrage trader, and he wants to calculate the implied dividend yield on a stock while looking at the over-the-counter price of a 5-year put and call (both European-style) on that same stock. He has the following data:• Initial stock price = USD 85• Strike price = USD 90• Continuous risk-free rate = 5%• Underlying stock volatility = unknown• Call price = USD 10• Put price = USD 15What is the continuous implied dividend yield of that stock?a. 2.48%b. 4.69%c. 5.34%d. 7.71%19. You have entered into a currency swap in which you receive 4% per annum in yen and pay 6% per annum in dollars once a year. The principals in the two currencies are 100 million yen and 10 million dollar. The swap will last for another two years, and the current exchange rate is 115 yen for 1 dollar. Suppose that the annualized spot rates (with continuous compounding) are given as in the table below, what is the value of the swap to you in million dollars?1 Year2 YearJapan 2.00% 2.50%United States 4.50% 4.75%a. -1.270b. -0.447c. 0.447d. 1.27020. The Thai default in 1997 was unusual compared to past sovereign defaults because:a. The country repudiated its debt, whereas most defaults are reschedulingsb. The country had a low inflation level, whereas most previous defaults had high inflation, largely as the result of fiscal deficitsc. The country had a strong banking system, whereas most previous defaults arose from weakness in the financial intermediation arena.d. The country was a strong exporter prior to the crisis, whereas most defaulting countries were net importers.21. Gamma Industries, Inc. issues an inverse floater with a face value of USD 50,000,000 that pays a semiannual coupon of 11.50% minus LIBOR. Gamma Industries intends to execute an arbitrage strategy and earn a profit by selling the notes, using the proceeds to purchase a bond with a fixed semiannual coupon rate of 6.75% a year, and hedging the risk by entering into an appropriate swap. Gamma Indus-tries receives a quote from a swap dealer with a fixed rate of 5.75% and a floating rate of LIBOR. What would be the most appropriate type of swap Gamma Industries, Inc. should enter into to hedge their risk?a. Pay-fixed, receive-fixedb. Pay-floating, receive-fixed swapc. Pay-fix, receive-floatingd. The risk cannot be hedged with a swap22. An American investor holds a portfolio of French stocks. The market value of the portfolio is €10 million, with a beta of 1.35 relative to the CAC index. In November , the spot value of the CAC index is 4,750. The exchange rate is USD 1.25/€. The dividend yield, euro interest rates, and dollar interest rates are all equal to 4%. Which of the following option strategies would be most appropriate to protect the portfolio against a decline of the euro that week? March Euro options (all prices in US dollars per €)Strike Call euro Put euro1.25 0.018 0.022a. Buy calls with a premium of USD 180,000b. Buy puts with a premium of USD 220,000c. Sell calls with a premium of USD 180,000d. Sell puts with a premium of USD 220,00023. Which type of option produces discontinuous payoff profiles, meaning that the payoff does not increase or decrease continuously with the underlying asset value?a. Chooser options.b. Barrier options.c. Binary options.d. Lookback options.24. You are given the following information about an interest rate swap:• 2-year Term• Semi-annual payment• Fixed Rate = 6 %• Floating Rate = LIBOR + 50 basis points.• Notional principal USD10 million.Calculate the net coupon exchange for the first period if LIBOR is 5% at the beginning of the period and 5.5% at the end of the period.a. Fixed rate payer pays USD 0.b. Fixed rate payer pays USD 25,000.c. Fixed rate payer pays USD 50,000.d. Fixed rate payer receives USD 25,00025. A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. What is the closest value for its modified duration?a. 9b. 10c. 100d. Insufficient Information26. A portfolio manager wants to hedge his bond portfolio against changes in interest rates. He intends to buy a put option with a strike price below the portfolio's current price in order to protect against rising interest rare. He also wants to sell a call option with a strike price above the portfolio’s current price in order to reduce the cost of buying the put option. What strategy is the manager using?a. Bear spreadb. Stranglec. Collard. Straddle27. Which of the following best describes what we would normally expect to see in a seasonal agricultural market like wheat? Assume "the harvest" is normal and not unusually big or unusually small. Now consider the following statements about the market.I. Prices fall at the harvest and rise after the harvest.II. Prices are constant on average across the year regardless of seasonality. III. Prices rise at the harvest and fall afterwards.IV. The market is in contango when the harvest comes in.V. The market is in backwardation when the harvest comes in.VI. If the market goes into contango, it is most likely to do so right before a new harvest.VII. If the market goes into backwardation, it is most likely to do so right before a new harvest.Now choose the letter that best describes which of the above statements is true.a. I and IV are the only true statements.b. I, IV, and VI are the only true statements.c. Ill, V, and VII are the only true statements.d. I, IV, and VII are the only true statements.28. Assume that Akshaya Bank has a loan with a principal amount of USD 100 million outstanding to Brazil, due six months from now, and the loan has a present value of USD 100.51 million. Brazil declares its inability to meet its payment schedule and Akshaya Bank immediately negotiates a multi-year restructuring agreement with the following terms:Principal Repayment; Bullet to 2 years.Loan Rate: 6% fixed, annual pay.Upfront fee: 50 basis point.Akshaya Banks discount rate: 8%.Guarantees and Options: None.Based on the given information, Akshaya Bank's concessionality is close to:a. USD 96.93 million.b. USD 4.08 million.c. USD 96.43 million.d. USD 3.58 million.29. A fund manager has a USD 100 million portfolio with a beta of 0.75. The manager has bullish expectations for the next couple of months and plans to use futures contracts on the S&P500 to increase the portfolio's beta to 1.8. Given the following information, which strategy should the fund manager follow. • The current level of the S&P index is 1250.• Each S&P futures contract delivers USD 250 times the index.• The risk-free interest rate is 6% per annum.a. Enter into a long position of 323 S&P futures contracts.b. Enter into a long position of 336 S&P futures contract.c. Enter into a long position of 480 S&P futures contracts.d. Enter into a short position of 240 S&P futures contracts.30. Which of the following statements is correct when comparing the differences between an interest rate swap and a currency swap?a. At maturity, there is no exchange of principal between the counterparties in interest rate swaps and there is an exchange of principle in currency swap transactions.b. At maturity, there is no exchange of principal between the counterparties in currency swaps and there is an exchange of principle in interest rate swap transactions.c. The counterparties in an interest rate swap need to consider fluctuations in exchange rates, while currency swap counterparties are only exposed to fluctuations in interest rates.d. Currency swap counterparties are exposed to less counterparty credit risk due to the offsetting effect of currency risk and interest rate risk embedded within the transaction.31. The payoff to a swap where the investor receives fixed and pays floating can be replicated by all of the following except:a. A short position in a portfolio of FRAs.b. A long position in a fixed rate bond and a short position in a floating rate bond.c. A short position in an interest rate cap and a long position in an interest rate floor.d. A long position in a floating rate notes and a short position in an interest rate floor.32. Assuming the stock price and all other variables remain the same what will be the impact of an increase in the risk-free interest rate on the price of an American put option?a. No Impactb. Negativec. Positive.d. Cannot be determined.33. If a European call option is written on a dividend paying stock, an increase in which of the following will not automatically result in an increased option price?a. The stock price.b. The risk-free rate.c. The time to expiration.d. The volatility of the stock price.34. A currency options trader enters into the following transactions:• Buys a European-styled EUR call/YEN put option with a strike price of 132.05 maturing in 2 months.• Sells a European-styled EUR call/YEN put option with a strike price of 132.75 maturing in 1 month.By doing so, the trader effectively created a:a. Bear spread on EUR/YEN.b. Bull spread on EUR/YEN.c. Diagonal spread on EUR/YEN.d. Reverse calendar spread on EUR/YEN.35. Given the following:• The two-year risk-free rate in the United Kingdom is 8% per annum, continuously compounded.• The two-year risk-free rate in France is 5% per annum, continuously compounded.• The current French Franc to the GBP currency exchange rate is that one unit of GBP currency costs 0.75 units of French Franc’s.What is the two-year forward price of one unit of the GBP in terms of the French Franc so that no arbitrage opportunity exists?a. 0.578.b. 0.706.c. 0.796.d. 0.973.36. Company X owns a property with a book value of €80,000. There is a buyer willing to pay €200,000 for the property. However, Company X must also provide the buyer with a put option to sell the property back to Company X for €200,000 at the end of 2 years. Moreover, Company X agrees to pay the buyer €40,000 for a call option to repurchase the property for €200,000 at the end of 2 years. In effect, with this transaction Company X "borrows" money from the buyer. What is the annually compounded interest rate per year on this implied loan?a. 11.80%.b. 25.00%.c. 41.40%.d. Cannot be determined.37. Which of the following is not a standard practice used in the derivatives market to reduce credit risk among counterparties?a. Adopting a master netting agreement.b. Agreeing to material adverse change covenants.c. Using initial and variation margin agreements.d. Including rating downgrade triggers in credit agreements.38. A bronze producer will sell 1,000 mt (metric tons) of bronze in three months at the prevailing market price at that time. The standard deviation of the price of bronze over a 3-month period is 2.6%. The company decides to use 3-month futures on copper to hedge the exposure. The copper futures contract is for 25 mt of copper. The standard deviation of the futures price is 3.2%. The correlation between 3-month changes in the futures price and the price of bronze is 0.77. To hedge its price exposure, how many futures contracts should the company buy/sell?a. Sell 38 futures.b. Buy 25 futures.c. Buy 63 futures.d. Sell 25 futures.39. Consider an equity portfolio with market value of USD 100M and a beta of 1.5 with respect to the S&P 500 Index. The current S&P 500 index level is 1000 and each futures contract is for delivery of USD 250 times the index level. Which of the following strategy will reduce the beta of the equity portfolio to 0.8?a. Long 600 S&P 500 futures contracts.b. Short 600 S&P 500 futures contracts.c. Long 280 S&P 500 futures contracts.d. Short 280 S&P 500 futures contracts.40. If the current USD/AUD rate is 0.6650 (1 AUD=0.6650USD) and the risk-free rates for the USD and AUD are 1.0% and 4.5% respectively, what is the lower bound of a 5-month European put option on the AUD with a strike price of 0.6880?a. 0.0135.b. 0.0245.c. 0.0325.d. 0.0455.41. Which of the following regarding option strategies is/are NOT correct?I. A long strangle involves buying a call and a put with equal strike prices.II. A short bull spread involves selling a call at lower strike price and buying another call at higher strike price.III. Vertical spreads are formed by options with different maturities.IV. A long butterfly spread is formed by buying two options at two different strike prices and selling another two options at the same strike price.a. I only.b. I and III only.c. I and II only.d. Ill and IV only.42. Given the following:• Current spot CHF/USD rate: 1.3680 (1.3680CHF=1USD)• 3-month USD interest rates: 1.05%• 3-month Swiss interest rates: 0.35%• Assume continuous coupoundingA currency trader notices that the 3-month forward price is USD0.7350. In order to arbitrage, the trade should:a. Borrow CHF, buy USD spot, go long Swiss franc forward.b. Borrow CHF, sell Swiss franc spot, go short Swiss franc forward.c. Borrow USD, buy Swiss franc spot, go short Swiss franc forward.b. Borrow USD, sell USD spot, go long Swiss franc forward.43. From the point of view of a company that use derivatives to hedge foreign exchange risk, the main advantage of futures contracts over forward contracts is that:a. Futures are typically available for longer maturities.b. Futures are less standardized.c. Futures have less credit risk due to “marking to market.”d. Futures usually have smaller notional amount.44. A commodity forward contract for delivery in four months is written with a forward price of $38. The underlying asset's spot price is $40. The continuously compounded interest rate is 5 percent. In present value terms, how much is the potential arbitrage profit assuming there are no transaction or storage costs and the commodity pays no dividends?a. $0 (the forward price is fair).b. $1.67.c. $2.63.d. $2.88.45. Consider a forward contract on a stock market index. Identify the FALSE statement: Everything else being constant:a. the forward price depends directly upon the level of the stock market index.b. the forward price will fall if underlying stocks increase the level of dividend payments over the life of the contract.c. the forward price will rise if time to maturity is increased.d. the forward price will fall if the interest rate is raised.46. Consider the following 3-year currency swap, which involves exchanging annual interest of 2.75 percent on 10 million US dollars for 3.75 percent on 15 million Canadian dollars. The CAD/USD spot rate is 1.52. The term structure is flat in both countries. Calculate the value of the swap in USD if interest rates in Canada are 5 percent and in the United States are 4 percent. Assume continuous compounding. Round to the nearest dollar.a. $152,000.b. $145,693.c. $131,967.d. $127,818.47. Consider the following plain vanilla swap. Party A pays a fixed rate 8.29 percent per annum on a semiannual basis (180/360), and receives from Party B LIBOR+30 basis point. The current 6-month LIBOR rate is 7.35 percent per annum. The notional principal is $25M. What is the net swap payment of Party A?a. $20,000.b. $40,000.c. $80,000.d. $110,000.48. The price of a non-dividend paying stock is $20. A 6-month European call option with a strike price of $18 sells for $4. A European put option on the same stock, with the same strike price and maturity, sells for $1.47- The continuously compounded risk-free interest rate is 6 percent per annum. Are these three securities (the stock and the two options) consistently priced?a. No, there is an arbitrage opportunity worth $2.00.b. No, there is an arbitrage opportunity worth $2.53.c. No, there is an arbitrage opportunity worth $ 14.00.d. Yes.49. Given strictly positive interest rates, the best way to close out a long American call option early (option written on a stock that pays no dividends) would be to:a. exercise the callb. sell the callc. deliver the calld. None of the above.50. Identify the FALSE statement:a. The difference in American call prices of same maturity cannot exceed the difference in their exercise prices.b. The price difference between two European puts of same maturity can exceed the difference in their exercise prices.c. Before expiration, an American put must be worth at least the exercise price less the stock price.d. The longer until expiration, the more valuable an American put.51. A newly issued 8 percent bond that pays semiannual coupons has a principal value of $1,000, a bond life of one year, and a yield of 6 percent per year. The Macaulay duration of the bond is 0.9809 and the convexity is 1.3780. If the yield changes from 6 percent to 6.5 percent, then the statement that best describes the actual bond price change is:a. Bond's actual price change is -4.83 and predicted price change according toa formula that adjusts for both convexity and duration is -4.73.b. Bond's actual price change is —5.052996 and predicted price change according to a formula that adjusts for both convexity and duration is -4.85.c. Bond's actual price change is -4.75 and predicted price change according to a formula that adjusts for both convexity and duration is -4.78.d. Bond's actual price change is -4.83 and predicted price change according to a formula that adjusts for both convexity and duration is —4.83.。
frm考试题及答案
frm考试题及答案FRM（Financial Risk Manager）考试是由全球风险管理专业人士协会（GARP）提供的金融风险管理领域的专业认证考试。
以下是一份模拟的FRM考试题目及其答案：FRM考试模拟题一、单项选择题1. 在现代投资组合理论中，哪一项是投资组合风险的主要来源？A. 系统性风险B. 非系统性风险C. 利率变动D. 汇率波动答案：A2. 以下哪个不是信用评级机构？A. 标准普尔B. 穆迪C. 惠誉D. 花旗银行答案：D3. 风险价值（VaR）是一种衡量投资组合在一定置信水平下，一定时间内可能遭受的最大损失的方法。
它属于哪种风险管理技术？A. 敏感性分析B. 压力测试C. 极值理论D. 统计风险管理答案：D二、多项选择题4. 以下哪些因素会影响期权的时间价值？A. 期权的执行价格B. 期权到期前的时间长度C. 标的资产的波动性D. 无风险利率答案：B, C, D5. 在进行市场风险管理时，以下哪些措施是有效的？A. 多元化投资B. 风险对冲C. 增加杠杆D. 风险转移答案：A, B, D三、简答题6. 描述一下什么是流动性风险，并给出一个金融机构可能面临的流动性风险的例子。
答案：流动性风险是指金融机构在需要时无法以合理成本迅速出售资产或获得资金的风险。
一个例子是银行在金融危机期间面临大量客户同时提取存款，导致银行流动性枯竭。
四、计算题7. 假设一个投资组合由两种资产组成，资产A和资产B。
资产A的预期收益率为10%，标准差为15%，资产B的预期收益率为8%，标准差为10%。
如果投资组合由60%的资产A和40%的资产B组成，且两种资产的相关系数为0.5，请计算投资组合的预期收益率和标准差。
答案：预期收益率 = 0.6 * 10% + 0.4 * 8% = 9.2%标准差= √(0.6^2 * 15%^2 + 0.4^2 * 10%^2 + 2 * 0.6 * 0.4 * 0.5 * 15% * 10%) = √(10.125% + 4% + 6%) = √20.125% ≈ 14.17%结束语：以上题目仅供参考，实际FRM考试内容和难度可能会有所不同。
FRM一级每日一练
FRM一级每日一练1、Consid er a convertible bond that is trading at a conversion premium of 20 percent. If the value of the underlying stock rises by 25 percent, the value of the bond will:A.Rise by less than 25%.B.Rise by 25%.C.Rise by more than 25%.D.Remain unchanged.Correct answer: A解析：The convertible bond implicitly gives bondhol d ers a call option on the und erlying stock. The delta of this option will vary between 0 (when the option is extremely out of t e money) and 1 (when the option is extremely in the money). In this case, the bond is trading at a conversion premium of 20% so the delta must be somewhere between zero and one, and hence the price of the convertible bond will rise by less than the price of the und erlying stock.2、If a cash fl ow of $10,000 in two years’ time has a PV of $8,455, the annual percentage rate, assuming continuous compounding is CLOSEST to:A. 8.13%.B. 8.39%.C. 8.75%.D. 8.95%.Correct answer: B解析：Continuously compounded rate = In (FV/PV)/N = In (10000/8455)/ 2 =8.39%.3、The current values of a firm's assets and liabilities are 200 million and 160 million respectively. If the asset values are expected to grow by 40 million and liability values by 30 million within a year and if the annual standard deviation of these values is 50 million, the distance from default in the KMV model woul d be closest to:A. 0.8 standard deviations.B. 1.0 standard deviations.C. 1.2 standard deviations.D. Cannot not be determined.Correct answer: B解析：Distance from d efault = (Expected value of assets - Expected value of liabilities) / Standard deviation = (240 ~ 90)/ 50 = 1.0.4、What is the semiannual-pay bond equivalent yield on an annual-pay bond with a yiel d to maturity of 12.51 percent?A. 12.00%.B. 11.49%.C. 12.51%.D. 12.14%.Correct answer: D解析：The semiannual-pay bond equival ent yield of an annual-pay bond = 2 * [(1 + yield to maturity on the annual-pay bond) 0.5 - 1] = 12.14%.5、You want to test at the 0.05 l evel of significance that the mean price of luxury cars is greater than $80,000. A rand om sampl e of 50 cars has a mean price of $88,000. The population standard deviation is $15,000. What is the alternative hypothesis?A. The population mean is greater than or equal to $80,000.B. The population mean is l ess than $80,000.C. The population mean is not equal to $80,000.D. The population mean is greater than is $80,000.Correct answer: D解析：The alternate hypothesis is the statement which will be accepted if the null hypothesis is proven wrong. Therefore, we make whatever we are trying to test as the alternate hypothesis - in this case that the mean price of luxury cars is greater than $80,000, and the null hypothesis as the opposite ( the mean price of luxury cars is less than or equal to $80, 000). This probl em is a common example of how statisticians establish hypotheses by proving that the opposite (i.e. the null hypothesis) is false.6、Suppose that Gene owns a perpetuity, issued by an insurance company that pays $1,250 at the end of each year. The insurance company now wishes to replace it with a decreasing perpetuity of $1,500 decreasing at 1% p.a. without any change in the payment dates. At what rate of interest (assuming a flat yiel d curve) woul d Genebe indifferent between the choices?A. 4%.B. 5%.C. 6%.D. 9%.Correct answer: B解析：1,250 / r = 1,500 / (r + 1%) or, 1,250 x (r + 1 %) = 1,500 x r or, r = 12.5 / (1, 500 - 1,250) = 5%.7、Which of the foll owing is considered to be the responsibility of the legal risk manager?I. Inad equate d ocumentation of OTC d erivatives transactions.II. The enforceability of netting agreements in bankruptcy.III. Default on interest and principal payments.A.I only.B.II only.C.I and II only.D.I,II, and IIICorrect answer: D解析：Legal risk management is concerned with adequate documentation, public filings, compliance with regulatory entities, and some borrower impositions. The l egal manager is also involved in deciding if default has occurred and, of so, assisting with the enforcement of netting agreements.8、An analyst has constructed the foll owing t-test for a portfolio of financial securities whose returns are normally distributed:Number of securities = 40.HO: Mean return >=18 percent.Significance level = 0.1.What is the rejection point for this test?A. 1.304B. 1.684C. 2.021D. 2.023Correct answer: A解析：This is a one-tailed test with 39 degrees of freed om and significance l evel of 0.1. Looking up the Student's - distribution for DF = 39 and p = 0.1, we get the critical value or 1.304.9、Consid er an A-rated institution that funds itself in the wholesale market at LIBOR + 90bps. Which of the foll owing is the most attractive instrument for this firm to take exposure to an AAA – corporate issuer?A. Credit swap.B. Floating rate note.C. Credit-linked note.D. Fixed coupon bond.Correct answer: A解析：This firm has a fairly high funding cost. Funding itself at 90 bps over LIBOR and leading to AAA names at around LIBOR is a l oss making strategy, which rul es out the notes and the bond, The only way this firm can make money is by selling credit protection via a credit swap that does not require it to make a physical investment,10、Which of the foll owing statements about the Treynor ratio is correct?A. the Teynor ratio consid ers both systematic and unsystematic risk of a portfolio.B. the Teynor ratio is equal to the excess return of a portfolio over the risk - free rate divided by the total risk of the portfolio.C. the Teynor ratio can be used to appraise the performance of well - diversified portfolio.D. the Teynor ratio is derived from portfolio theory since it assesses a portfolio’s excess return relative to its risk.Correct answer: CA is incorrect - Treynor ratio consid ers only systematic risk of a well - diversified portfolio.B is incorrect - Treynor ratio denominator is beta of the portfolio.C is correct - this statement is correctD is correct - Treynor ratio is derived from CAPM and not portfolio theory.参与FRM的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM 考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。
2023frm百题
2023frm百题英文回答：1. Define Financial Risk Management (FRM) and explain its importance in the financial industry.FRM is the process of identifying, assessing, and mitigating financial risks. It is a critical function in the financial industry, as it helps firms to protect themselves from losses and to improve their financial performance.Financial risks can arise from a variety of sources, including:Credit risk: The risk that a borrower will default on a loan.Market risk: The risk that the value of a financial asset will decline.Operational risk: The risk of losses due to operational errors or failures.FRM professionals use a variety of tools and techniques to identify, assess, and mitigate financial risks. These tools and techniques include:Financial modeling: FRM professionals use financial models to simulate different scenarios and to assess the potential impact of different risks.Stress testing: FRM professionals use stress testing to identify and assess the impact of extreme events on a firm's financial performance.Risk management policies and procedures: FRM professionals develop and implement risk managementpolicies and procedures to help firms to identify, assess, and mitigate financial risks.FRM is an important function in the financial industry,as it helps firms to protect themselves from losses and to improve their financial performance. FRM professionals use a variety of tools and techniques to identify, assess, and mitigate financial risks.2. Describe the different types of financial risk and provide examples of each.There are a variety of different types of financial risk, including:Credit risk: The risk that a borrower will default on a loan.Market risk: The risk that the value of a financial asset will decline.Operational risk: The risk of losses due to operational errors or failures.Liquidity risk: The risk that a firm will not be able to meet its financial obligations as they come due.Legal risk: The risk that a firm will be held liable for legal claims.Reputational risk: The risk that a firm's reputation will be damaged.Here are some examples of each type of financial risk:Credit risk: A bank lending money to a customer who has a history of bad credit.Market risk: An investor buying stocks in a company that is facing financial difficulties.Operational risk: A company experiencing a computer outage that disrupts its operations.Liquidity risk: A company that has a large amount of debt coming due but does not have sufficient cash to repay the debt.Legal risk: A company that is sued by a customer for damages.Reputational risk: A company that is accused of engaging in unethical business practices.Financial risks can have a significant impact on afirm's financial performance. It is important for firms to be aware of the different types of financial risks and to take steps to mitigate these risks.3. Explain the role of financial regulators in the financial industry.Financial regulators play a critical role in the financial industry. They are responsible for ensuring that the financial industry is safe and sound and that consumers are protected from financial fraud and abuse.Financial regulators use a variety of tools to achieve their objectives, including:Regulation: Financial regulators develop and implement regulations that govern the financial industry. These regulations are designed to protect consumers and to ensure the stability of the financial system.Supervision: Financial regulators supervise financial institutions to ensure that they are complying with regulations and that they are operating in a safe and sound manner.Enforcement: Financial regulators enforce regulations and take action against financial institutions that violate regulations.Financial regulators play a critical role in protecting consumers and ensuring the stability of the financial system. They use a variety of tools to achieve their objectives, including regulation, supervision, and enforcement.中文回答：1. 定义金融风险管理 (FRM)，并解释其在金融行业中的重要性。
2023年frm百题
2023年frm百题FRM（Financial Risk Manager）考试是国际上公认的金融风险管理领域的专业资格认证考试。
每年一度的FRM考试属于金融行业从业人员发展的主要途径之一，对于金融专业人士来说具有重要的意义。
本文将回顾和分析2023年FRM考试百题，为考生提供实用的参考和备考建议。
第一部分：市场风险市场风险是金融风险管理的核心之一，涉及到金融市场中各种风险的识别和管理。
以下是2023年FRM考试百题中与市场风险相关的几道典型题目：题目一：请解释VaR（Value at Risk）的概念并说明其在市场风险管理中的作用。
题目二：推断下列是哪个市场指标最不适合用于对冲整个美国股票市场的风险。
题目三：假设市场风险模型中的资产收益率服从正态分布，当期均值为0.05，标准差为0.02。
计算收益率在[-2, 2]之间的概率。
学员们可以通过解答这些问题来加深对市场风险的理解，对VaR概念的把握以及对资产收益率分布的模拟和计算能力进行提升。
建议考生在复习过程中注重理论知识的学习和实际操作的综合应用。
第二部分：信用风险信用风险是金融风险管理中另一个重要的领域，涉及到信用违约和债务违约的风险管理。
以下是2023年FRM考试百题中与信用风险相关的几道典型题目：题目一：请解释违约概率、违约率和违约相关性的含义，并分析它们在信用风险管理中的作用。
题目二：利用Merton模型计算下列违约债券的违约率和违约债券价值。
题目三：请解释信用默认互换（CDS）的原理和作用，并说明其对信用风险管理的重要性。
通过解答这些问题，考生可以深入了解信用风险管理中的关键概念和计算方法，提升对违约相关性和信用风险传导机制的理解。
建议考生在复习过程中注重实际案例的学习，加强对实际信用风险管理工具的掌握。
第三部分：操作风险操作风险是金融风险管理中的又一重要领域，涉及到金融机构的内部流程和操作对风险产生的影响。
以下是2023年FRM考试百题中与操作风险相关的几道典型题目：题目一：请解释操作风险事件发生频率和发生严重程度的概念，并说明它们在操作风险管理中的作用。
frm一级题库 2023
frm一级题库2023
摘要：
1.2023 年frm 一级题库概述
2.frm 一级题库的主要内容
3.备考frm 一级题库的建议
正文：
1.2023 年frm 一级题库概述
frm 一级题库是金融风险管理师（Financial Risk Manager）考试中的一部分，主要用于测试考生在金融风险管理领域的基础知识和技能。
2023 年frm 一级题库涵盖了与金融风险管理相关的各个方面，包括市场风险、信用风险、操作风险和风险管理基础等。
2.frm 一级题库的主要内容
（1）市场风险：市场风险部分主要涉及市场价格波动对金融机构造成的潜在损失，如汇率风险、利率风险和股票价格风险等。
（2）信用风险：信用风险部分主要关注债务人违约对金融机构造成的潜在损失，包括信用风险评估、信用衍生品和信用风险管理策略等。
（3）操作风险：操作风险部分主要涉及金融机构内部管理不善、人为失误或系统故障等原因导致的潜在损失，包括操作风险评估、操作风险控制和操作风险管理策略等。
（4）风险管理基础：风险管理基础部分主要介绍风险管理的基本概念、方法和工具，如风险管理框架、风险管理过程和风险管理技术等。
3.备考frm 一级题库的建议
（1）系统学习：建议考生参加专业的frm 培训课程，系统学习金融风险管理的相关知识，掌握考试所需的技能。
（2）多做题：通过大量的练习题和模拟试题，熟悉考试题型，提高答题速度和准确率。
（3）总结经验：在备考过程中，考生应不断总结学习经验和答题技巧，以便在考试中取得优异成绩。
（4）关注时事：金融风险管理是一个与时俱进的领域，考生应关注国际和国内的金融风险管理动态，以便更好地应对考试。
注册金融分析师一级-3
注册金融分析师一级（下午）-3( 总分：120.00 ，做题时间：90 分钟)一、{{B}}Afternoon Session{{/B}}( 总题数：120，分数：120.00)1. Michael Jackson, CFA, works for a Privately Offered Fund Company as a portfolio manager. The firm purchases investment research about IT industry from a third-party independent research institution which the firm determines has a sound research basis and continuous reliability. Jackson communicates information from the third-party research to his retail and institutional clients but does not disclose the source. Jackson has most likely violated the Standards of Professional Conduct relating to:A. the Standards regarding disclosure of conflicts.B. the Standards regarding misrepresentation.C. the Standards regarding diligence and reasonable basis.(分数： 1.00 )A.B. √C.解析：[解析] 该CFA会员使用该第三方研究机构的投资研究成果是经过了公司的尽职调查，认为是有合理证据的并且持续可靠，所以该行为并没有违反勤勉尽责和合理证据(diligence and reasonable basis) 的标准，但是他没有向会员指明所使用研究信息的出处，这一点违反了虚假陈述(misrepresentation) 的规定，至于利益冲突的披露(disclosure of conflicts) 在试题中并没有涉及。
frm练习题
frm练习题FRM（金融风险管理师）是全球金融业公认的最重要的金融风险管理专业证书之一，受到全球金融从业人员的广泛认可和追捧。
FRM考试分为两个级别，包括基础级别（FRM Part I）和高级级别（FRM Part II）。
FRM考试是世界金融行业最具专业性和信誉的考试之一，通过考试能够全面了解和掌握金融风险管理的核心理论和实践方法。
本文将为读者提供一些frm练习题，帮助大家更好地掌握相关知识，并为备考frm考试提供参考。
请读者在认真阅读题目后，尝试给出自己的答案，然后再继续阅读文章获取答案解析。
题目一：VaR（Value at Risk）是金融风险管理中常用的一种风险度量方法，请简要解释VaR的定义，并描述其计算步骤。
题目二：推断统计学中的假设检验是一种常用的统计推断方法，请简要解释假设检验的基本思想，并描述常见的假设检验步骤。
题目三：在金融风险管理中，对冲是一种常用的风险管理方法，请简要解释对冲的基本原理，并描述常见的对冲策略。
答案解析：题目一：VaR（Value at Risk）是金融风险管理中常用的一种风险度量方法，用于衡量投资组合或资产的最大可能损失。
VaR的定义是指在给定的置信水平下，预计在特定时间段内的最大可能损失。
计算VaR的步骤通常可以分为以下几个步骤：1. 选择时间段和置信水平：首先需要确定计算VaR的时间段，一般常用的时间段有一天、一周、一个月等；同时还需选择置信水平，一般常用的置信水平有95%、99%等。
2. 收集数据：收集相关的金融数据，例如资产价格、波动率等。
3. 计算投资组合或资产的收益率：根据收集的数据计算投资组合或资产的收益率。
4. 选择VaR计算方法：根据情况选择合适的VaR计算方法，常用的VaR计算方法有历史模拟法、参数法和蒙特卡洛模拟法等。
5. 计算VaR：根据选择的VaR计算方法，计算出投资组合或资产在给定时间段内的VaR值。
题目二：假设检验是推断统计学中的一种常用方法，用于评估统计样本所依赖的假设的有效性。
frm考试科目一答案
frm考试科目一答案1. 以下哪项是frm考试科目一的核心内容？A. 风险管理基础B. 投资组合管理C. 金融衍生品定价D. 公司财务分析答案：A2. 风险管理的定义是什么？A. 风险管理是识别、评估和优先处理风险，以及采取经济可行的措施以最小化、规避或转移风险的过程。
B. 风险管理是仅针对金融市场的一种管理实践。
C. 风险管理是企业内部控制的一部分，与外部风险无关。
D. 风险管理是预测未来市场走势的一种方法。
答案：A3. 在frm考试科目一中，以下哪个不是风险管理的主要步骤？A. 风险识别B. 风险评估C. 风险监控D. 风险消除答案：D4. 信用风险主要涉及以下哪个方面？A. 市场风险B. 操作风险C. 法律风险D. 交易对手的信用状况答案：D5. 市场风险通常与哪些因素相关？A. 利率变化B. 汇率波动C. 股票价格波动D. 所有上述因素答案：D6. 操作风险是指由于内部流程、人员、系统或外部事件的失败而导致的损失风险，以下哪项不是操作风险的来源？A. 人员错误B. 系统故障C. 市场波动D. 欺诈行为答案：C7. 以下哪项是frm考试科目一中对流动性风险的描述？A. 流动性风险是指资产在不显著影响其价格的情况下迅速买卖的能力。
B. 流动性风险是指由于市场流动性不足导致的交易成本增加的风险。
C. 流动性风险是指企业无法满足短期债务的风险。
D. 流动性风险是指由于市场参与者数量有限导致的交易困难。
答案：B8. 在frm考试科目一中，风险价值（VaR）是一种衡量什么风险的方法？A. 信用风险B. 市场风险C. 操作风险D. 法律风险答案：B9. 以下哪项不是frm考试科目一中对压力测试的描述？A. 压力测试是一种评估极端市场情况下潜在损失的方法。
B. 压力测试通常使用历史数据来模拟市场条件。
C. 压力测试可以帮助识别潜在的风险点。
D. 压力测试是一种前瞻性的风险管理工具。
答案：B10. 以下哪项是frm考试科目一中对经济资本的描述？A. 经济资本是企业为了覆盖潜在损失而持有的资本。
2023frm百题
2023frm百题
2023 FRM百题
FRM（金融风险管理）是国际金融工程师（Financial Risk Manager）的缩写，是由国际金融风险管理师协会（Global Association of Risk Professionals）颁发的职业资格证书。
FRM考试是全球金融行业最具权
威性和知名度的考试之一，其考试内容涵盖了金融风险管理领域的各
个方面。
本文将针对2023年FRM考试的百道题目进行解析和讲解，
帮助考生更好地备战该考试。
第一题：XXXXX
解析：XXXXX
第二题：XXXXX
解析：XXXXX
...
第一百题：XXXXX
解析：XXXXX
通过以上100道题目的解析与讲解，我们可以看出，2023年FRM
考试可能涉及的知识点非常广泛。
从金融市场的基础知识到金融风险
管理的前沿理论，考生需要具备扎实的金融理论基础和实操能力。
同时，做好考试准备工作也是至关重要的，包括系统地学习相关教材、
参加模拟考试、分析历年考试试题等等。
总结起来，2023年FRM考试对考生的要求非常高，需要将理论知识与实际应用相结合，培养出一定的风险意识和应对能力。
希望通过本文的讲解与解析，能够对考生们有所帮助，顺利通过2023年的FRM 考试。
祝愿大家取得优异的成绩！。
frm百题
frm百题FRM，全名Financial Risk Manager，是一种专业资格认证，是针对金融风险管理领域的一项证书。
该证书在金融行业非常受欢迎，因为金融风险管理领域越来越重要。
在取得FRM资格认证之前，需要参加FRM考试。
FRM考试非常重要，需要重视备考，这时候FRM百题是非常好的学习资料。
第一步：FRM百题For Part 1FRM百题For Part 1是FRM考试必备的学习资料之一。
这部分主要涵盖整个FRM Part 1考试，目的是为了帮助考生熟悉整个考试过程以及一些核心概念。
FRM百题For Part 1包含了100道FRM考试的核心问题和答案。
这部分学习资料是考生们非常值得推荐的，因为它针对FRM Part 1考试所有的高频难度试题进行了详细的解答和讲解，可以帮助考生迅速了解FRM Part 1考试的难点和难题，并且在考试中得到高分。
第二步：FRM百题For Part 2FRM百题For Part 2主要是针对FRM Part 2考试而编写的。
它是通过答题的形式帮助考生深入理解FRM Part 2考试中的高难度知识点。
FRM百题For Part 2共包含100道高难度试题，涵盖了金融市场、产品、投资组合、风险测量和管理等核心领域。
这部分学习资料也是考生们非常推荐的，因为它帮助考生更快、更全面地掌握FRM Part 2考试的知识点，迅速提高考试成绩，从而更好地实现自己的职业发展目标。
第三步：FRM百题For Part 1&Part 2FRM百题For Part 1&Part 2是一套综合的FRM学习资料。
它整合了FRM Part 1&2考试的核心内容，包括了200道高难度试题。
这部分学习资料对于考生来说是非常具有挑战性的，既需要考生对FRM Part1&2考试的内容有充分了解，又需要考生能够熟练掌握各种题型的解题方法，还需要考生在有限的时间内迅速完成答题过程。
frm一级2020年考试答案
frm一级2020年考试答案1. 根据FRM一级2020年的考试内容，以下哪项不是风险管理的核心原则？A. 识别风险B. 评估风险C. 接受风险D. 转移风险答案：C2. 在FRM一级考试中，关于市场风险的描述，以下哪项是错误的？A. 市场风险包括股票和债券价格的波动B. 市场风险可以通过分散化投资来降低C. 市场风险是不可避免的D. 市场风险仅包括利率风险答案：D3. 在FRM一级考试中，关于信用风险的以下说法，哪项是正确的？A. 信用风险仅与企业债券相关B. 信用风险可以通过信用衍生品来对冲C. 信用风险与个人信用无关D. 信用风险是银行面临的最大风险答案：B4. 在FRM一级考试中，关于操作风险的以下说法，哪项是错误的？A. 操作风险包括欺诈行为B. 操作风险可以通过内部控制来降低C. 操作风险与市场风险无关D. 操作风险可以通过购买保险来转移答案：C5. 在FRM一级考试中，关于流动性风险的以下说法，哪项是正确的？A. 流动性风险仅与银行有关B. 流动性风险是指资产无法在不显著影响其价格的情况下迅速出售的风险C. 流动性风险可以通过持有大量现金来消除D. 流动性风险与市场流动性无关答案：B6. 在FRM一级考试中，关于风险价值（VaR）的以下说法，哪项是错误的？A. VaR是一种风险度量工具B. VaR可以预测极端市场条件下的潜在损失C. VaR通常用于市场风险的度量D. VaR不能用于信用风险的度量答案：D7. 在FRM一级考试中，关于压力测试的以下说法，哪项是正确的？A. 压力测试是一种定性风险评估方法B. 压力测试用于评估极端市场条件下的风险暴露C. 压力测试不能提供风险的量化度量D. 压力测试与情景分析无关答案：B8. 在FRM一级考试中，关于资本充足性的以下说法，哪项是错误的？A. 资本充足性是指银行持有足够的资本以吸收潜在损失B. 资本充足性可以通过提高资本比率来增强C. 资本充足性与银行的信用评级无关D. 资本充足性是银行稳健经营的重要指标答案：C结束语：以上是FRM一级2020年考试的部分答案，希望对准备考试的同学有所帮助。
frm复习题目
frm复习题目FRM复习题目FRM（金融风险管理师）是国际上公认的金融行业最高级别的专业资格认证之一。
通过FRM考试，考生可以展示自己在金融风险管理领域的专业知识和能力。
为了帮助考生更好地备考FRM考试，本文将从不同的角度出发，介绍一些常见的FRM复习题目。
一、市场风险市场风险是金融风险管理中最为重要的一个方面。
市场风险主要包括股票、债券、商品和外汇等市场的波动风险。
考生在备考市场风险时，可以针对以下几个方面的题目进行复习：1. 什么是VaR（Value at Risk）？它在市场风险管理中的作用是什么？2. 如何计算VaR？请列举一些常见的VaR计算方法。
3. 什么是历史模拟法？请说明其优缺点。
4. 什么是蒙特卡洛模拟法？请说明其优缺点。
5. 什么是条件VaR（CVaR）？它与VaR有何区别？二、信用风险信用风险是金融风险管理中另一个重要的方面。
信用风险主要指的是债券、贷款等金融产品的违约风险。
考生在备考信用风险时，可以关注以下几个方面的题目：1. 什么是信用评级？请介绍一些常见的信用评级机构。
2. 什么是违约概率？如何计算违约概率？3. 什么是违约相关性？它在信用风险管理中的作用是什么？4. 什么是信用衍生品？请列举一些常见的信用衍生品。
5. 什么是信用风险转移？请说明其原理和方法。
三、操作风险操作风险是金融风险管理中容易被忽视的一个方面。
操作风险主要指的是人为失误、系统故障、欺诈等因素导致的风险。
考生在备考操作风险时，可以关注以下几个方面的题目：1. 什么是操作风险事件？请列举一些常见的操作风险事件。
2. 什么是操作风险控制框架？请说明其主要组成部分。
3. 什么是内部控制？它在操作风险管理中的作用是什么？4. 什么是业务连续性管理？请说明其原理和方法。
5. 什么是欺诈风险？如何预防和应对欺诈风险？通过对上述题目的复习，考生可以更全面地了解FRM考试中的不同知识点和考点。
同时，考生还可以通过解题训练，提高自己的解题能力和应试技巧。
frm期末复习题
frm期末复习题一、选择题1. 金融市场风险管理中，FRM（Financial Risk Manager）主要关注的风险类型是：A. 信用风险B. 市场风险C. 操作风险D. 所有上述风险2. 在巴塞尔协议中，规定银行必须持有的最低资本充足率是：A. 4%B. 6%C. 8%D. 10%3. 下列哪个不是风险管理的三大支柱？A. 风险识别B. 风险评估C. 风险监控D. 风险转移4. 风险价值（Value at Risk, VaR）是用来衡量：A. 预期损失B. 最大损失C. 潜在损失D. 历史损失5. 信用违约掉期（Credit Default Swap, CDS）是一种：A. 债券B. 期权C. 保险合约D. 股票二、简答题1. 简述市场风险管理的主要内容和方法。
2. 解释什么是资本充足率，并说明其在银行风险管理中的重要性。
3. 描述风险管理的三大支柱，并解释它们在风险管理过程中的作用。
4. 阐述风险价值（VaR）的概念及其在金融风险管理中的应用。
5. 信用违约掉期（CDS）在金融危机中扮演了什么角色？三、计算题1. 假设某银行持有一笔价值1000万美元的债券，该债券的波动率为5%，无风险利率为3%。
请计算该债券的95%置信水平下一天的VaR。
2. 某公司发行的债券有5%的违约概率，债券的面值为100万美元，回收率为40%。
计算该公司债券的预期损失（Expected Loss, EL）。
四、案例分析题1. 某银行在2008年金融危机期间遭受了重大损失，原因是其持有的大量次级抵押贷款支持的证券（MBS）价值暴跌。
请分析该银行在风险管理中可能存在的不足，并提出改进措施。
2. 某跨国公司在全球多个国家有业务，面临汇率风险。
请分析该公司如何通过衍生品进行汇率风险管理，并提出可能的策略。
五、论述题1. 论述金融危机对风险管理实践的影响，并探讨后金融危机时代风险管理的新趋势。
2. 讨论在当前金融环境下，如何平衡风险管理与金融创新之间的关系。
frm2009试题
frm2009试题FRM2009试题解析FRM（金融风险管理师）是国际上公认的金融行业从业者的专业证书之一。
FRM考试涵盖了金融风险管理的各个方面，包括市场风险、信用风险、操作风险、投资风险等。
本文将围绕FRM2009试题展开解析，旨在帮助考生更好地理解和应对考试。
第一题：请问下列哪个是市场风险最常用的测量方法？A.历史模拟法B.常态分布法C.风险价值法D.方差—协方差法解析：正确答案为D.方差—协方差法。
方差—协方差法是市场风险最常用的测量方法之一。
它通过计算证券投资组合的方差和协方差来衡量市场风险。
其他选项中，历史模拟法是通过使用历史数据进行模拟来测量风险，常态分布法是基于正态分布的假设，风险价值法是通过计算在给定置信水平下的预期损失来衡量风险。
第二题：下列哪个不是信用风险的主要影响因素？A.利率风险B.违约风险C.流动性风险D.操作风险解析：正确答案为D.操作风险。
操作风险是金融机构或公司在运营过程中由于内部操作失误、系统故障、欺诈行为等而引起的风险。
信用风险的主要影响因素包括利率风险（利率上升导致借款人偿还能力降低）、违约风险（借款人无法按时偿还债务）和流动性风险（借款人无法及时获得足够的资金来偿还债务）。
第三题：对于期权的风险中立策略来说，下列哪个是不正确的？A.在风险中立策略中，期权的价格不受标的资产价格的变动影响B.风险中立策略适用于对冲市场风险C.风险中立策略的盈利和损失是对称的D.风险中立策略的期望收益率为零解析：正确答案为A.在风险中立策略中，期权的价格受标的资产价格的变动影响。
风险中立策略是通过同时买入或卖出期权和标的资产来对冲市场风险。
期权的价格取决于标的资产价格的变动，因此期权的价格在风险中立策略中是会受到影响的。
其他选项中，B、C、D都是风险中立策略的特点，即适用于对冲市场风险、盈利和损失是对称的，期望收益率为零。
第四题：在金融风险管理中，VaR（Value at Risk）被广泛应用，以下哪个是VaR的定义？A.在给定的置信水平下，某个资产组合在未来一段时间内的最大可能损失B.在给定的置信水平下，某个资产组合在未来一段时间内的平均预期损失C.在给定的置信水平下，某个资产组合在未来一段时间内的最小可能收益D.在给定的置信水平下，某个资产组合在未来一段时间内的最大可能收益解析：正确答案为A.在金融风险管理中，VaR是衡量风险的一种常用指标。