FRM一级_风险管理基础&定量分析答案(★★)

Ans来自百度文库er: D 2. The risk of sustaining significant losses due to the inability to take or exit a position at a fair price is most likely: A. market risk B. liquidity risk C. operational risk D. credit event risk
Answer: B Financial distress will take up management time and energy and possibly lead to stricter terms from suppliers and loss of customers. Therefore, reducing the probability of financial distress can increase firm value. 4. Which of the following strategies may increase firm value by decreasing the costs of bankruptcy and financial distress? I. Reducing the potential costs of financial distress and bankruptcy. II. Reducing the weighted average cost of capital. III. Improving management incentives. IV. Reducing information asymmetries. A. B. C. D. Ⅰ only Ⅰ and Ⅲ only Ⅰ,Ⅱand Ⅳ only Ⅰ and Ⅱ only
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firm only takes the necessary amount of risk) 6. Jim Sheehan manages a diversified portfolio containing forty stocks. The portfolio beta is 1.05. Jim is considering adding the stock of ABC Inc. to the portfolio, and would fund the purchase with cash already in the portfolio. ABC Inc. has a beta of 1.20, and is currently not part of the portfolio. Which statement about the resulting portfolio is TRUE? A. Systematic risk would increase, but the unsystematic risk would be unchanged. B. Systematic risk would decrease, but the unsystematic risk would be unchanged. C. Both systematic risk and unsystematic risk would be unchanged. D. Both systematic risk and unsystematic risk would both incease.
Answer: A The role of risk management involves performing the following tasks: (1) Assess all risks faced by the firm. (2)Communicate these risks to risk-taking decision makers. And (3) Monitor and manage these risks(make sure that the
Correct answer: C Solution Systematic (market-related) risk cannot be eliminated by diversification. Unsystematic (unique, company-specific) risk can be reduced by diversification, Diversification benefits will occur any time security returns have less than perfect positive correlations. 9. All of the following are assumptions of the Capital Asset Pricing Model EXCEPT A. Each investor seeks to maximize the expected utility of wealth at the end of that investor’s horizon. B. Investors can borrow and lend at the same risk-free rate. C. Investors have the same expectations concerning returns. D. The time horizons of investors are normally distributed.
Answer: B Liquidity risk is the risk of sustaining significant losses due to the inability to take or exit a position at a fair price. 3. Risk management to reduce the probability of financial distress: A. always increases firm value B. can increase firm value because financial distress has measurable costs C. is easily replicated by individual shareholders D. cannot reduce the weighted average cost of capital
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1.1
FOUNDATION OF RISK MANAGEMENT
1. A. B. C. D.
Financial risk management: seeks to eliminate all financial risks. only focuses on managing market-related financial risks. is the process of reacting to financial losses in order to minimize losses. Is the process of detecting, assessing, and managing financial risks.
Answer: D The CAPM assumes that investors all have the same horizon (as well as expectations). This means that the distribution of the horizons is not normal because normality implies a bell-shaped curve distribution, which would have a positive variance and, hence, dispersion. 10. Markowitz Portfolio Theory is not accurately described as including an assumption that: A. risk is measured by the range of expected returns B. for a given risk level, investor prefer higher returns to lower returns C. investors base all their decisions on expected return and risk D. investors focus on utility maximization
Answer: D StrategiesⅠandⅡboth suggest risk management to reduce the cost of bankruptcy and financial distress may be value enhancing. 5. The role of risk management does NOT involve performing which of the following tasks? A. Make sure that the firm takes greater than the necessary amount of risk. B. Assess all risks faced by the firm. C. Communicate these risks to risk-taking decision makers. D. Monitor and manage these risks.
Answer: A Since the portfolio is well diversified, the assumed level of unsystematic risk is zero. The addition of ABC Inc. will increase the portfolio beta, and, hence, the level of systematic risk. 1.2 7. Capital Asset Pricing Model (CAPM) In the context of the capital asset pricing model (CAPM), systematic risk is best described as the part of total risk: A. that is uncorrelated with the market B. that can be reduced through diversification C. for which investors can expect to be compensated D. for which investors cannot expect to be compensated
Correct answer: C Solution In the context of the CAPM, systematic risk is correlated with market, can not reduce through diversification and the investor can expect to be compensated. 8. Which of the following statements about portfolio risk and diversification is least accurate? A. Not all risk is diversifiable. B. Unsystematic risk can be substantially reduced by diversification. C. Systematic risk can be eliminated by holding securities in a well-diversified international stock portfolio. D. None of above.