12年FRM一级百题班讲义
2012年经济师考试-商业实务-习题班讲义-全(中级)
声明：本资料由大家论坛经济师考试专区/forum-186-1.html收集整理，转载请注明出自更多经济师考试信息，考试真题，模拟题：/forum-186-1.html大家论坛，全免费公益性经济师考试论坛，等待您的光临！2012年经济师考试-商业实务-习题班讲义-全（中级）第一章商品流通理论第一章商品流通理论，考试题型主要为单选题、多选题，平均分值7分左右（2011年）。
第一节商品流通概述2011年考点分值共3 分【例题1·单选题】以货币为媒介的商品交换过程被称为（）。
A.商品价值运动B.商品实体运动C.商品增值运动D.商品流通过程[答疑编号3674010101]『正确答案』D『答案解析』一般而言，商品流通，是以货币为媒介的商品交换过程。
【例题2·2007年单选题】商品流通能调节社会资源合理流动，实现社会资源合理配置。
这体现了商品流通的（）。
A.实现功能B.中介功能C.调节功能D.加工功能[答疑编号3674010102]『正确答案』C『答案解析』商品流通能调节社会资源合理流动，实现社会资源合理配置。
这体现了商品流通的调节功能。
【例题3·2008年单选题】商品流通使生产过程和消费过程得以衔接，也使社会再生产过程的连续性得以保证。
这体现了商品流通的（）功能。
A.实现B.配置C.调节D.中介[答疑编号3674010103]『正确答案』D『答案解析』商品流通使生产过程和消费过程得以衔接，也使社会再生产过程的连续性得以保证。
这体现了商品流通的中介功能。
【例题4·2011年多选题】关于商流过程的说法，正确的有（）。
A.商流是商品价值形态的转化过程B.商流是商品使用价值形态的转化过程C.商流主要完成供需关系的实现D.商流过程主要完成买卖活动E.商流活动可以克服生产与消费的时空差异[答疑编号3674010104]『正确答案』ACD『答案解析』商流过程是商品价值形态的转化过程，也即商品价值的实现过程。
frm一级二级资料
frm一级二级资料frm一级资料：金融市场frm二级资料：金融市场的分类、金融市场的功能、金融市场的参与者、金融市场的监管金融市场是指进行金融交易的场所或平台，是金融系统的重要组成部分。
金融市场的分类主要分为货币市场和资本市场两大类。
货币市场是指短期债务证券的交易市场，其特点是交易期限短、流动性高、风险较低。
货币市场的主要功能是提供短期的融资工具，如商业票据、银行承兑汇票等。
货币市场的参与者主要是金融机构，如商业银行、中央银行等。
货币市场的监管主要由中央银行和金融监管机构负责。
资本市场是指长期债务和股权证券的交易市场，其特点是交易期限长、风险较高。
资本市场的主要功能是为企业提供长期融资渠道，如股票、债券等。
资本市场的参与者包括企业、投资者、证券公司等。
资本市场的监管主要由证券监管机构负责，如证券监督管理委员会。
金融市场的功能主要包括资金融通、风险管理和价格发现。
首先，金融市场通过将资金从闲置的资金供给者转移到资金需求者，实现了资金的融通。
其次，金融市场提供了多样化的金融工具，帮助投资者进行风险管理。
例如，投资者可以通过购买期权、期货等衍生品来规避风险。
最后，金融市场通过交易活动，使得资产的价格得以形成，实现了价格的发现。
金融市场的参与者包括金融机构、企业和个人投资者。
金融机构是金融市场的重要参与者，包括商业银行、证券公司、保险公司等。
企业可以通过金融市场融资，满足其资金需求。
个人投资者可以通过金融市场进行投资，实现财富增值。
金融市场的监管是保障金融市场稳定运行的重要环节。
监管机构负责规范金融市场的交易行为，维护市场秩序。
监管机构通过制定相关法律法规，监督金融机构的经营活动，防范金融风险。
金融市场是进行金融交易的场所，主要包括货币市场和资本市场。
金融市场的功能包括资金融通、风险管理和价格发现。
金融市场的参与者包括金融机构、企业和个人投资者。
金融市场的监管由相关监管机构负责，以维护市场稳定运行。
2012年一级真题
FRM一级真题（二）1 .You have been asked to estimate the VaR of an investment in Big Pharma Inc. The company's stock is tradingat USD 23 and the stock has a daily volatility of l.5Yo. Using the delta-normal method.theVaR at the 95% confidence level of a long position in an at-the-money put on this stock with a delta of -0.5 0ver a l-day holding period is closest to which of the following choices?a. USD 0.28b. USD 0.40c. USD 0.57d. USD 2.842 .Alan bought a futures contract on a commodity on the New York Commodity Exchange on June l. The futures price was USD 500 per unit and the contract siZe was 100 units per contract. Alan set up a margin account with initial margin of USD 2.000 per contract and maintenance margin of USD l.000 per contract. The futures price of the commodity varied as shown below. What was the balance in Alan's margin account at end of June 5?┏━━━━┳━━━━━━━━━━━┓┃Day ┃ Futures Price (USD) ┃┣━━━━╋━━━━━━━━━━━┫┃June 1 ┃ 497.30 ┃┃June 2 ┃ 492.70 ┃┃June 3 ┃ 484.20 ┃┃June 4 ┃ 471.70 ┃┃June 5 ┃ 468.80 ┃┗━━━━┻━━━━━━━━━━━┛a. USD -1,120b. USD OC. USD 880d USD l.7103 .Gregory is analyzing the historical performance of two commodity funds tracking the Reuters/_letferies-CRBo Index (CRB) as benchmark. He collatadtha data on the monthly returns and decidad to use the informationratio (IR) to assess which fund achieved higher returns more efficiently and presented his findings.What is the information ratio for each fund and what conclusion can be drawn?4 .A trading portfolio consists of two bonds, A and B. Both have modified duration of three years and face valueof USD 1000, but A }s a zero -coupon bond and its current price is USD 900, and bond B pays annual coupons and is priced at par. What do you expect will happen to the market prices of A and B if the risk-free yield curve moves up by l basis point?a. Both bond priceswill move up by roughly the same amount.b. Both bond priceswill move up. but bond B will gain more than bond A.c. Both bond priceswill move down by roughly equal amounts.d. Both bond priceswill move down, but bond B will lose more than bond A5 .You have a portfolio of USD 50 million and you have to hedge it using index futures. The correlation coefficient between the portfolio and index futures being used is 0.65. The standard deviation of the portfolio is 7% and that of the hedging instrument is 6%. The price of the index futures is USD 150 and one contract size is 100 futures. Among the following positions.which position reduces the risk the most?a. Long 3364 futures contractsb. Short 3364 futures contractsc . Long 2527 futures contractsd . Short 2527 futures contracts。
FRM一级考试通过经验及各科目重点详细介绍!
FRM一级考试通过经验及各科目重点详细介绍！因为自己就读金融工程, 所以较初接触FRM一级的时候, 翻看高顿的复习资料, 可以说内心中还是充满了欣喜与放松。
因为FRM知识点中很多的内容都是那么熟悉, 比如量化分析技巧, 概率论与数理统计, 期货期权的内容以及资本市场的相关知识。
我曾经在那么一瞬间觉得这门考试似乎就能轻松应对, 甚至萌发了在考前两周再“加班”的想法。
真正想要征服FRM, 就要按照FRM的规则出牌, 不能想当然。
我相信很多金融或者财务领域出身的人, 甚至已经通过CFA考试的人会与我有过同样的经历:自诩“科班出身”, 想当然的藐视一切, 殊不知金融行业虽然本质相近, 但是行为各异, 甚至很多名词的叫法也都不一样。
分析科目侧重点在运用高顿的内容来学习的过程中, 可以发现老师们将FRM考试的备考主要分为四大部分:风险管理基础, 量化分析, 金融市场和金融产品, 估值与风险模型。
在这当中, 风险管理基础和量化分析两个部分占比较少, 而金融市场和金融产品与估值风险模型两个部分占比较大。
其实这也为我们提供了一个很好的学习备考侧重点。
相信有一定数理基础的同学, 能够很快学习掌握量化分析部分, 对于概率论和数理统计的内容, 其实只要掌握了技法, 就可以应对任何类似的问题。
因为这个部分不管数字怎么变, 考法其实很单调。
无非就是“用古典概率分布计算概率”, “用几何概型估算概率”, “用关键值判断假设是否成立”等等。
第YI阶段我们可以自己总结规律:对于均值, 它是一阶的特征, 因此在进行均值的假设检验的时候, 就要采用一阶的分布进行检验, 也就是t分布或者正态分布。
其中正态分布是近似于“万金油”的分布, 根据大数定律来看, 当样本量足够的时候, 分布都会或多或少趋近于正态。
对于方差, 是二阶的特征, 因此在进行方差的假设检验的时候, 要采用二阶的分布进行检验, 也就是卡方分布。
其他的特征检验以此类推, 这样有助于记忆。
frm 最后的轻语 讲义
frm 最后的轻语讲义（实用版）目录1.介绍 frm 考试和最后的轻语讲义2.最后的轻语讲义的主要内容3.最后的轻语讲义的价值和适用对象4.如何有效利用最后的轻语讲义备考 frm正文frm（Financial Risk Manager）是全球金融风险管理领域最具权威的专业资格认证，而最后的轻语讲义则是针对 frm 考试的一本高质量的备考资料。
本文将对最后的轻语讲义进行详细的介绍和分析，帮助考生更好地利用这本讲义备考 frm。
最后的轻语讲义主要包括 frm 考试的两个级别：一级和二级。
其中，一级讲义涵盖了风险管理基础、数量分析、金融市场与产品、估值与风险建模等四个模块；二级讲义则包括市场风险管理、信用风险管理、操作风险管理、风险管理与投资管理等四个模块。
这本讲义对每个模块的知识点进行了系统、全面的梳理，并附有丰富的例题和习题，旨在帮助考生全面掌握 frm 考试所需的知识和技能。
最后的轻语讲义的价值在于，它为考生提供了一个清晰、有序的学习框架，使考生能够迅速了解 frm 考试的重点和难点，从而有针对性地进行复习。
此外，讲义中的例题和习题涵盖了 frm 考试的常见题型，考生通过练习可以有效提高解题能力和应试技巧。
最后，这本讲义适用于所有准备参加 frm 考试的考生，无论你是零基础还是已经有一定金融风险管理知识，都可以从这本讲义中受益。
要想有效利用最后的轻语讲义备考 frm，首先要对讲义进行全面、系统的阅读，理解其中的知识点和概念。
在此基础上，可以通过做习题和模拟试题来巩固所学知识，并及时发现自己的薄弱环节。
同时，建议与其他考生进行交流和讨论，分享彼此的学习心得和经验，以便更好地理解和掌握 frm 考试的知识。
总之，最后的轻语讲义是一本非常实用的 frm 备考资料，考生可以通过这本讲义全面了解 frm 考试的知识体系，并提高自己的应试能力。
FRM考试范围分析及解析
专注国际财经教育FRM考试范围分析及解析FRM（PART 1）侧重基本的金融工具理论知识，金融市场基础知识和它们的详细定义，以及计量风险的方法。
此部分考试的目标是确保FRM考生更好的理解作为一个成功的金融风险管理者需要了解的基本金融工具的知识。
考试更侧重于概念的理解而非实用性。
FRM（PART 2）强调金融风险管理应用的相关概念，更侧重于在FRM第一部分的基础上测试考生应用金融工具的能力。
并将风险计量方法延伸到风险价值方法之外。
和第一部分考试相比，第二部分考试更多的是有关案例分析和并更以实践为导向。
FRM一级：LEVELⅠ（共100题）1．Foundations of Risk Management风险管理基础（20%）2．Quantitative Analysis数量分析（20%）3．Financial Markets and Products金融市场与金融产品（30%）4．Valuation and Risk Models估值与风险建模（30%）FRM二级：LEVELⅡ（共80题）1．Market Risk Measurement and Management市场风险管理与测量（25%）2．Credit Risk Measurement and Management信用风险管理与测量（25%）3．Operational and Integrated Risk Management操作及综合风险管理（25%）4．Risk Management and Investment Management投资风险管理（15%）5．Current Issues in Financial Markets金融市场前沿话题（10%）。
frm一级中文教材
frm一级中文教材
frm一级中文教材
frm一级中文教材
FRM一级中文教材是一本介绍金融风险管理的教材。
本书包括五个主题，分别是风险管理，投资组合管理，市场风险测量和管理，信用风险测量和管理，操作风险测量和管理。
每个主题都包括多个章节，讲述了该主题的概念、理论、实践和案例。
本书内容深入、全面，适合从事金融风险管理的人员、金融从业人员、投资者、学生等阅读。
同时，本书还包括了大量的例题、练习题和模拟考试题，帮助读者巩固所学知识和检测自己的掌握情况。
- 1 -。
20110122FRM一级金融市场与产品_程黄维
1313-138
Examples
EXAMPLE 3: FRM EXAM 2006—QUESTION 75 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. 9 B. 10 C. 99 D. 100 EXAMPLE 4: FRM EXAM 2007—QUESTION 115 A portfolio manager has a bond position worth USD 100 million. The position has a modified duration of eight years and a convexity of 150 years. Assume that the term structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points? A. USD −2,046,875 B. USD −2,187,500 C. USD −1,953,125 D. USD −1,906,250
8-138
Price-Yield Relationship
Ct P =∑ t t=1 (1 + y)
where: Ct = the cash flow (coupon or principal) in period t t = the number of periods (e.g., half-years) to each payment T = the number of periods to final maturity y = the discounting rate per period
frm一级备考资料
frm一级备考资料备考FRM一级，哎呀，说起来就感觉脑袋都要爆炸了。
说真的，备考这个东西，谁都想轻松点，可是现实一巴掌把你打醒。
你看，FRM一级嘛，虽然有点难，但也没那么让人望而生畏，关键是怎么抓住重点，把那些看起来像“天书”的知识点搞定。
你别看书上都是那些密密麻麻的公式和理论，实际上只要你不慌不忙，一点一点咀嚼，慢慢消化，也就能顺利过关。
可能你现在觉得很头大，尤其是看到那些个“金融市场与产品”什么的，瞬间觉得自己是不是选错了路。
不过没关系，大家都从零开始。
反正考前那段时间，谁不是“东张西望，心情焦虑”呢？首先呢，你得知道FRM一级的考试其实分得挺清楚的，大家最怕的就是抓不住重点，总觉得每个章节都很重要，每个内容都得刷一遍，但这明显不现实嘛！你看看那些考试大纲，就像是一本“闹剧手册”，里头啥都有，真是有点让人头大。
不过你知道吗，其实其中有一些内容真的是重点中的重点，基本上能占到大部分分数。
比如说风险管理基础，市场风险、信用风险、操作风险啥的，虽然它们的名字看起来像是金融界的“老大哥”，但实际上也没那么难。
你把这些基本的概念弄明白了，考试的时候就能省不少事。
再说说那些看似枯燥的公式和计算题。
哎呀，别以为自己能避开它们，那简直是不可能的任务。
不过你也不用被它们吓到。
你只要理解了背后的原理，做题的时候顺手就能写出来。
比如那什么VaR（价值atrisk），一开始看到这几个字，我也脑袋一片空白，甚至以为自己是不是脑袋坏了。
但是慢慢地，你发现，其实这就是一种“前瞻性”的风险控制方法，简单说就是预测一个时间段内，市场可能给你带来多大的亏损。
搞明白这些，你做题的时候就能游刃有余。
再加上多做几道题，手感一熟，你就知道这些公式的套路了。
别忘了，每当你觉得做不下去，或者手中的笔开始不听使唤，别担心，这也是备考的必经之路。
其实备考的过程，真是一个“自我挑战”的过程。
你不断去超越自己，总是觉得有点力不从心，结果做完一套题之后，突然发现自己进步了。
frm一级资料
frm一级资料（实用版）目录1.介绍 FRM 一级考试的背景和重要性2.FRM 一级考试的主要内容和考试形式3.FRM 一级考试的备考策略和建议4.总结 FRM 一级考试的价值和意义正文FRM（Financial Risk Manager）一级考试是金融风险管理领域一项重要的资格认证考试。
随着我国金融市场的快速发展，金融风险管理越来越受到重视，FRM 一级考试也逐渐成为金融从业者提升自身素质、拓展职业发展的重要途径。
本文将详细介绍 FRM 一级考试的背景、主要内容、考试形式以及备考策略，帮助考生更好地应对考试。
一、FRM 一级考试的背景和重要性FRM 一级考试是由全球风险管理协会（GARP）举办的一项金融风险管理领域的专业认证考试。
FRM 认证分为两个级别，一级为知识体系的考试，二级为实务操作的考试。
通过 FRM 一级考试，考生可以全面了解金融风险管理的基本知识、理论体系和实务操作，提升自己在金融风险管理领域的专业素养。
此外，FRM 一级考试的全球认可度较高，对于金融从业者来说，通过 FRM 一级考试有助于提升个人职业品牌和市场竞争力。
二、FRM 一级考试的主要内容和考试形式FRM 一级考试主要涵盖金融市场与金融产品、风险管理基础、数量分析、金融工具与衍生品、信用风险、市场风险、操作风险和风险管理与投资管理等领域。
考试形式为计算机考试，考试时间为 4 小时，共 100 道选择题，每题 1 分，满分 100 分，60 分为及格线。
三、FRM 一级考试的备考策略和建议1.制定合理的学习计划：考生应根据自己的实际情况，合理安排学习时间，确保在考试前系统地完成所有知识点的学习。
2.掌握重点难点：FRM 一级考试的知识点较多，考生应重点掌握金融市场与金融产品、风险管理基础、数量分析等基础性知识点，同时关注市场风险、信用风险等高频考点。
3.多做练习题和模拟试题：通过做题，考生可以检验自己的学习成果，及时发现和弥补知识盲点。
2012年一级解析
FRM一级题目解析（二）1 .答案:aExplanation: VaR=ldeltal * 1.645 ' sigma * S = 0.5 * 1.645 - 0.015 * 23 = 0.28.The delta of an at-the-money put is-0.5 and the absolute value of the delta is 0.5.2 .答案:dThe margin balance at the end of June 5 is USD l.710. There is a margin call each time the margin account drops below the maintenance margin amount of USD l,000 . Each time there }s a margin call. the balance has to be brought back to the initial margin level of USD 2,0003 .答案:bThe information ratio may be calculated by either a comparison of the residual return to residual riskor the excess return to tracking error. The higher the IR, the better 'informed' the manager is at picking assets to invest in. Since neither residual return nor risk is given, only the latter is an option.IR = E(R p - R b)/Tracking Error.For Fund l: IR = 0.00073 / 0.00344 = 0 212; For Fund lI: IR = 0 00053 /0.00341 = 0.1554 .答案dExplanation: Assuming parallel movements to the yield curve, the expected price change is:where P is the current price or net present valueis the yield changeD is durationAll else equal, a negative impact of yield curve move is stronger in absolute terms at the bond which is currently priced higher. Upward parallel curve movements makes bonds cheaper.5 .答案:dExplanation: The optimal hedge ratio is the product of the coefficient of correlation and the ratio of the standard deviations of the portfolio and the index futures, respectively. Computing the optimal hedge ratio:h = where p is the coefficient of correlation, andcys and cir are standard deviations of portfolio and standard deviation of index futures, respectively.h= 0.65 - (0.07/0.06) = 0.758The number of futures contract to be shorted:N= h - (Portfolio value)/ (Futures contract size)N= 0.758 - 50000000/(150 * 100)N= 2526.67 -. 2527Since you are long in the portfolio, you have to short the index futures to hedge it.。
2012年一级建造师《建设工程经济》辅导讲义汇总
2012年一级建造师《建设工程经济》辅导讲义汇总.table{border-left:1px #99CCFFsolid;border-top:1px #99CCFF solid} .tabletd{border-right:1px #99CCFF solid; border-bottom:1px#99CCFF solid; text-align:center;FONT-SIZE: 12px; COLOR: #000000; LINE-HEIGHT: 22px; FONT-FAMILY: ‘微软雅黑’} 2012年一级建造师《建设工程经济》辅导讲义汇总 2012年一级建造师《建设工程经济》辅导讲义（1）? 2012年一级建造师《建设工程经济》辅导讲义（2）? 2012年一级建造师《建设工程经济》辅导讲义（3）? 2012年一级建造师《建设工程经济》辅导讲义（4）? 2012年一级建造师《建设工程经济》辅导讲义（5）? 2012年一级建造师《建设工程经济》辅导讲义（6）? 2012年一级建造师《建设工程经济》辅导讲义（7）? 2012年一级建造师《建设工程经济》辅导讲义（8）? 2012年一级建造师《建设工程经济》辅导讲义（9）? 2012年一级建造师《建设工程经济》辅导讲义（10）? 2012年一级建造师《建设工程经济》辅导讲义（11）? 2012年一级建造师《建设工程经济》辅导讲义（12）? 2012年一级建造师《建设工程经济》辅导讲义（13）? 2012年一级建造师《建设工程经济》辅导讲义（14）? 2012年一级建造师《建设工程经济》辅导讲义（15）? 2012年一级建造师《建设工程经济》辅导讲义（16）? 2012年一级建造师《建设工程经济》辅导讲义（17）? 2012年一级建造师《建设工程经济》辅导讲义（18）? 2012年一级建造师《建设工程经济》辅导讲义（19）?。
FRM一级考前必做100真题
FRM一级考前必做100真题1、An operational risk manager uses the Poisson distribution to estimate the frequency of losses in excess of USD 2 million during the next year. It is observed that the frequency of losses greater than USD 2 million is three per year on average over the last 10 years. Assuming that this observation is indicative of future occurrences and that the probability of one event occurring is independent of all other events, what is the probability of five losses in excess of USD 2 million occurring during the next two years?A.10.08%B.14.04%C.14.62%D.16.06%Answer: D2. A growing regional bank has added a risk committee to its board. One of the first recommendations of the risk committee is that the bank should develop a risk appetite statement. What best represents a primary function of a risk appetite statement?A.To quantify the level of variability for each risk metric that a firm is willing to accept.B.To state specific new business opportunities a firm is willing to pursue.C.To assign risk management responsibilities to specific internal staff members.D.To state a broad level of acceptable risk to guide the allocation of the firm’s resources. Answer: D3. A bank uses a 4-grade scale for its internal credit model. The 1-year rating transition probabilities for this model are given by:If a newly issued bond is rated “A” by this model, what is the probability that it will be rated “B”or lower two years from now?A.9%B.10%C.18%D.19%Answer: C4. A risk analyst observes that an emerging market stock index has hit a new all-time high witha value of 10,000, measured in the emerging market’s currency. The analyst suggests buying futures on the index as a hedge on the firm’s short exposure to this market. If the interest rate is 4% annually in this market and the average annualized dividend yield on the index for the next six months is 1%, what is the approximate price of a 6-month futures contract on the index in the emerging market’s currency?A.9,700B.9,850C.10,150D.10,300Answer: C5、You are evaluating the historical performance of four equity funds benchmarked to the BSESENSEX Index, as shown in the table below:Which fund has the highest information ratio?A.Fund AB.Fund BC.Fund CD.Fund DAnswer: B6. A risk analyst is analyzing several indicators for a group of countries. If he specifically considers the Gini coefficient in his analysis, in which of the following factors is he most interested?A.Standard of living.B.Peacefulness.C.Perceived corruption.D.Income inequalityAnswer: D7. Credit risk analysts at an investment bank are preparing a report on a company. After concluding their research, they estimate a 60% probability that the company will have its credit rating downgraded within one year by a major agency. If including in the report, which of the following would be a violation of the GARP code of Conduct?A. A discussion of a possible trade in the debt of two competing firms that could potentially beacquired by the company.B.An analysis of trading in the company’s debt by its major bondholders.C. A statement that the company’s debt is almost certain to be downgraded.D. A valuation matrix projecting several potential valuations for the company’s debt based onpotential credit ratings at the end of one year.Answer: C8. A portfolio manager holds USD 25 million in various US Treasury securities and is concernedabout interest rate volatility in the next few months. She has decided to use June US Treasury bond futures to hedge this risk. The current price for the futures contract is 94-30 and the duration of the cheapest to deliver bond is currently 9.50, which the portfolio manager expects will decrease to 9.25 by the maturity of the futures contract. Given a current duration of the portfolio of 2.30, which the portfolio manager expects will remain constant throughout the hedging period, what is the most appropriate position to take in the futures contract?A.Short 61 contracts.B.Short 63 contracts.C.Short 65 contracts.D.Short 67 contracts.Answer: C9. A French industrial firm is considering hedging the exchange rate risk associated with incoming cash flow streams from three Asian countries. What is correct with respect to the hedge decision?A.The firm could hedge this risk by buying put options on each currency, but this wouldeliminate any upside to the firm if the currency moves in its favor.B.If the firm has a high risk appetite for country risk, it should generally choose to hedge eachcurrency stream.C. A cash flow stream in a foreign currency can be hedged by purchasing debt denominated inthat currency.D.If the firm chooses to hedge, this may reduce the value of the firm at the time the hedge ismade.Answer: CQuestions 10 and 11 refer to the following informationA relative-value trader specializing in US Treasury notes and TIPS (Treasury Inflation Protect Securities) expects an environment of falling real yields and increasing inflation. Therefore, he expects TIPS to outperform Treasury notes, and he buys USD 100 million in face value of TIPS and sells short Treasury notes to keep his position DV01-neutual. The trader observes the followingyields and DV01s for a 10-year maturity TIPS and a 10-year maturity Treasury note:10、How much in face value of Treasury notes should the trader short to hedge the DV01 of the TIPS position?A. USD 91.92 millionB. USD 95.93 millionC. USD 104.25millionD. USD 108.79 millionAnswer: D11. A week later, nominal yields increase by 10bps and the market’s expectation of inflation decreases by 10bps. Which of the following statements correctly describes the impact on the aggregate portfolio resulting from these changes?A.Since the increase in the nominal yield perfectly offsets the decrease in expected inflation,there is no impact.B.Since the DV01-neutral hedge immunizes the position against small changes in expectedinflation and nominal yields, there is no impact.C.Since the DV01-neutral hedge immunizes the portfolio against small changes in the spreadbetween nominal and real yields, there is no impact.D.Since changes in the real yield and the nominal yield are not one-to-one, there is an impact. Answer: D12. What is a limitation of the mean-variance framework for measuring financial risk?A.The mean-variance approach ignores the first two moments of the underlying distribution.B.The mean-variance approach ignores the skewness and kurtosis of the underlyingdistribution.C.The mean-variance approach restricts the underlying distribution to a non-negative Fishburnmeasure.D.The mean-variance approach requires that the underlying distribution have an entropymeasure between 0 and 1.Answer: B13. An analyst is pricing a 2-year European put option on a non-dividend-paying stock using a binomial tree with two time steps of one year each. The stock price is currently USD 38, and the strike price of the put is USD 40. What is the value of the put closest to, assuming that the annual risk-free rate will remain constant at 2% over the next two years and the annual stock volatility is 15%D 3.04D 3.48D 3.62D 3.81Answer: B14. On September 10, a trader opens a long position in 100 December S&P 500 futures contracts. The initial margin requirement is USD 2 million, and CME requires a maintenance margin of USD 1.5 million. Assume that the position is kept open until September 14 and no withdrawals take place. The following table summarizes the daily change in value of the position for that period:On what dates will additional margin be required?A.September 12, but not September 13B.September 13, but not September 12C.September 12 and September 13D.Neither September 12 nor September 13Answer: A15. In futures trading, clearinghouses play an important role. Which of the tasks can one expect the clearing houses to fulfill in the settlement process of futures?A.In case of physical settlement. The clearinghouses guarantees that the longs will receive thespecified merchandise.B.The clearinghouse performs the function of receiving delivery notices from longs andassigning the notices to shorts.C.When a seller wants to make a delivery, he or she instructs the clearinghouse to submit anotice of intention to deliver.D.When the clearinghouse receives a delivery notice, it must immediately identify a buyer toreceive the delivery.Answer: D16. Bond A and Bond B have the same rating and the same probability of default. It is also estimated that:●The probability that both Bond A and Bond B will default during the next year is 5%; and●If Bond A defaults next year, there is a 50% probability that Bond B will also default.What is the probability that neither Bond A nor Bond B will default over the next year?A.75%B.80%C.85%D.95%Answer: C17. The chief risk officer of an international bank is instructing his direct reports on best practicesfor conducting country risk analysis and presenting the findings to senior executives .Which of the following recommendations would be considered the most questionable?A. Risk analysis should be consistent, using rigorous frameworks that allow for valid cross-county comparison.B. Risk reports should be concise, with easy to understand conclusion that have sufficient detail to make them meaningfulC. Risk reports should be informative, providing the end user the rationable behind any assessment without and “black boxes’ that are difficult to understand ,D. Risk analysis should be open –ended, presenting several scenarios and taking no particular position on any issue that could bias decision-makers.Answer: D18. A portfolio manager has recently purchased a 10-year investment-grade corporate bond. Which of the following tasks must typically be performed by the corporate trustee listed in the bond’s indenture?A.Act in a fiduciary capacity for the bond issuer.B.Ensure that the bond issuer’s reported financial ratios meet the requirements in theindenture.C.Change the terms of the indenture to provide protection for the bond purchaser.D.Monitor the bond issuer’s balance sheet to ensure covenant compliance.Answer: B19. A portfolio manager bought 1,000 call options on a non-dividend-paying stock with a strike price of USD 100 for USD 5 each. The current stock price is USD 104 with a daily stock return volatility of 2.89%, and the delta of the option is 0.7. Using the delta-normal approach to calculate VaR, what is the approximate 1-day 95% VaR of this option?D 238D 3,461D 4,944D 7,063Answer: B20. The enterprise risk management process includes several stages. Which of the following procedures would take place during the risk assessment stage?A.Developing the following year’s budget for the risk management function.ing simulation analysis to estimate VaR.C.Purchasing insurance to mitigate a specific risk factor.D.Selecting a risk strategy compatible with the firm’s risk appetite.Answer: B21. Two portfolios that have the same expected return are benchmarked to the same market index. In comparing these two portfolios, which of the following statements about performance measures is correct?A.The portfolio with the higher beta will have the higher Treynor ratio.B.Jensen’s alpha is particularly well0suited for comparing portfolios with different levels ofrisk.C.The portfolio with the higher volatility will have the higher Sharpe ratio but the lowerTreynor ratio.D.There is an exact linear relationship between the Treynor ratio and Jensen’s alpha for eachportfolio.Answer: D22. A risk manager is estimating the 1-day 95% VaR on a domestic equity portfolio using a 100-day lookback period. The mean return, estimated from the historical data, is 0% with a standard deviation of 2%. The six most extreme negative returns over the lookback period, along with the time they occurred, are:Over a period of 10 days after the risk manager computed the portfolio’s VaR, four new extreme declines occurred: -25%,-4.1%, -7.8% and -9.5%. On the other six days, the portfolio experienced positive returns. The risk manager must now update the previous VaR estimate to account for these changes. Assuming the portfolio has a current value of USD 100 million, what is the updated 1-day 95% VaR using the historical approach?D 3.28 millionD 4.70 millionD 10 milliond 25 millionAnswer: B23. At large financial institutions, the board of directors plays a key a key role in the process of creating a culture of risk management .As part of this role ,one function that should be fulfilled by the board of directors is to:A. Establish a policy to address individual risk factors by reducing, hedging, or avoiding exposure to each riskB. Develop risk reports and communicate them to organizational division leaders to conform with best practicesC. Address issues that could potentially represent a conflict of interest by creating committees composed exclusively of executive board membersD. Monitor the effectiveness of the company’s governance practices and make any necessary changes to ensure proper complianceAnswer: C24. A portfolio manager needs to hedge a USD 115 million liability. The portfolio manager isdeciding between investing only in the 3%-coupon Treasury bond in the table below, or in a portfolio consisting of the shorter maturity 2%-coupon Treasury bond and the longer maturity 4.5%-coupon Treasury bonds.The convexity of the barbell portfolio that will match the duration and price of the bullet position will be closest to:A.60B.74C.83D.93Answer: D25. A bank uses a continuously-compounded annual interest rate of 5% in one of its risk models. What is the equivalent interest rate the bank should use if it converts to semi-annual compounding in the model?A. 4.94%B.5%C. 5.06%D. 5.12%Answer: C26. An analyst is looking to combine two stocks with annual returns that are jointly normally distributed and uncorrelated. Stock A has a mean return of 7% and a standard deviation of returns of 20%; Stock B has a mean return of 12% and a standard deviation of returns of 15%. If the analyst combines the stocks into an equally weighted portfolio, what is the probability that the portfolio return over the next year will be greater than 12%?A.42.07%B.44.32%C.55.67%D.57.93%Answer: A27. An investor holds an American call option on a dividend paying stock with the following characteristics●Current stock price ,S=USD 50●Strike price, K=USD 50●Time to expiration ,T=2 mouthsA divided, D, of USD 1 per share has just been announced ,with an ex-dividend date, t, of one month from now, Assuming the risk-free rate, r, is 1.5% and the option stays at-the-money, is it optimal to exercise the option right before the ex-dividend date?A.Yes, because S < K*exp(-r(T-t)) + DB.Yes, because D>K*(1-exp(-r(T-t)))C.No, because the call option is at-the-money ,and early exercise is only optimal when it is deep in-the-moneyD.No, because unlike an American put option, it is never optimal to exercise an American call option early.Answer: B28. A company has 500.000 shares of stock outstanding. Oneworld,a single stock futures(SSF) exchange, is the only exchange that trades in SSFs for this stock. There is currently open interest in the July 2014 futures contract representing 500.000shares .Since OneWorld function as a typical futures exchange on 10,000shares of the company’s stock?A. This is allowed and open interest in this SSF contract may increaseB. A position limit will prevent the new SSF order from being accepted by the exchangeC. This particular trade setup is a common method of market manipulation and would likely be reviewed by regulatorsD. The cash outlay would be greater than buying 10,000 shares of this stockAnswer: A29. In the EWMA model, the half0life is defined as the time, T, at which λT = 1/2, where λ is the decay factor of the EWMA model. A risk analyst is using a specific EWMA model to calculate volatility and determines that the half-life of the model is 23 days. Based on the above information, which weight will be applied to the return that is five days old?A.0.026B.0.031C.0.781D.0.859Answer: A30. Options have just started trading for a non-dividend-paying stock. The stock is trading at USD 50. The risk-free rate is 1.5% per year. The prices of some 1-year European options on the stock are displayed in the table below. What arbitrage opportunity exists given these prices?A.Sell two calls with strike USD 40; buy one call with strike USD 50; sell one call with strike USD60B.Buy one call with strike USD 40; sell two calls with strike USD 50; buy one call with strike USD60C.Sell two calls with strike USD 40; buy one call with strike USD 50; buy one call with strikeUSD 60D.Buy one call with strike USD 40; sell two calls with strike USD 50; sell one call with strike USD60.Answer: B31. A firm uses an EWMA model to estimate the daily volatility of the return of a security. The following table shows the beginning-of-day estimate of the daily volatility, the end-of-day closing price, and the daily return, for each day during the past week:Assuming the mean daily return is zero and using the information above, what is the value of the smoothing parameter used by the firm in its EWMA model?A.0.93B.0.894C.0.96D.0.98Answer: C32. A quantitative risk analyst is comparing the computational efficiency of different estimators generated using Monte Carlo simulation. Relevant information is summarized in the following table:Which of the estimators is most computationally efficient?A.Estimator AB.Estimator BC.Estimator CD.Estimator DAnswer: C33. An investor holds a portfolio of stocks A and B. The current value, estimated annual expected return. And estimated annual standard deviation of returns are summarized in the table below：If the correlation coefficient of the returns on stocks A and B is 0.3,then the expected value of the portfolio at the end of this year ,within two standard deviations ,will be between：D 69,00 and USD 134,400D 71,800 and USD 145,400D 78,200 and USD 139,000D 81,400 and USD 135,800Answer: C34. An economic analyst as calculated the probabilities of three possible states for the economy next year：growth ,normal ,and recession .A bank analyst has estimated the possible returns on two stocks, A and B, in each of the three scenarios shown in the following table：Given that the standard deviation of the estimated returns on stocks A and B are 16.0%and9.8%,respectively,what is the covariance of the estimated returns on stocks A and B?A、-0.0187B、-0.0156C、0.0156D、0.0178Answer: C35. A manufacturing company has identified several growth opportunities and is seeking to raise capital in order to expand. The company currently has the following metrics:●Total debt: USD 100 million●Total equity: USD 100 million●Debt to equity ratio: 1●Levered equity beta: 1.75●Current effective tax rate: 25%Management has submitted a proposal to issue additional debt in the amount of USD 100 million to pursue these opportunities. This strategy would also result in the company’s effective tax rate decreasing from 25% to 15%. Assuming there are no changes to the company’s unlevered asset beta or the market value of the company’s equity, the resulting levered equity beta would be within which of the following ranges?A.0.75 and 1.75B. 1.75 and 2.50C. 2.50 and 3.25D. 3.25 and 4.00Answer: C36. You are examining a pool of senior secured loans and observe that 10% of the loans are delinquent in their interest payments. The outstanding balance on 60% of the delinquent loans exceeds the value of the collateral pledged to secure them and the outstanding balance on 30% of the non-delinquent loans exceeds the value of the collateral pledged to secure them. If you randomly select a loan from the pool and observe that its collateral value is less than theoutstanding balance, what is the probability that the loan is delinquent?A.6%B.9%C.18%D.54%Answer: C37.The following table lists the annual risk-free rate, the return on an equity fund ,and the return on the market portfolio for the past three years：Using a linear regression, the beta relating the excess returns of the equity fund to the excess returns of the market portfolio is estimated to be 0.60.What is the best estimate of Jensen’s alpha of this equity fund over this 3-year period？A.-3.07%B.-1.00%C.0.33%D.4.34%Answer: C38. The rating agencies have analyzed the creditworthinesss of a casino operator and determined that the company currently has adequate capacity to meet financial commitments. But this capacity could be adversely impacted by negative economic conditions. Any further credit rating reduction would move the casino operator into the speculative category, which of the following S&P/Moody’s ratings has the casino operator been assigned?A.AA/AaB.A/AC.BBB/BaaD.BB/BaAnswer: C39. Details from an interest rate swap confirmation executed under an ISDA Master Agreement are shown below. Assuming no defaults, no netting of payments, and that 3-month LIBOR remains below the initial floating coupon level, how many total payments between the two parties will be made over the life of the swap?A.7B.14C.21D.22Answer: B40. Futures exchanges and clearinghouses require that members put up margin in varioussituations to limit the risk to the exchange that might develop through futures trading. Which of the following statements is correct?A.Original margin requirements generally reflect the price volatility of futures contracts.B.Guaranty deposit is defined as the deposit that the clearing member must make by the startof the trading session.C.Variation margin is defined as the deposit that the clearing member must make when atrade is initiated.D.Original margin represents the deposit that the clearing member must maintain at theclearinghouses as long as it remains a member.Answer: A41. A Mexican pharmaceutical producer enters into a swap agreement to hedge the interest rate risk of payments it will need to make every six months for the next two years. It agrees to pay 3% per year on a notional principal of MXN 100 million and receive 6-month LIBOR for two years at 6-month intervals. If the current 6-month LIBOR rate is 2.75% per year, and 6-month LIBOR in six months turns out to be 3.15% per year, what is the company’s cash flow from the payment occurring at the end of month 12?A.MXN 72,816B.MXN 75,000C.MXN 150,000D.MXN 200,000Answer: B42. A risk analyst is asked to calculate the 1-day 99% VaR of a portfolio as well as to estimate the number of daily exceedances that are expected over the next year. Assuming 250 trading days in a year, what is the expected number of days of exceedances for this model within a year?A. 3B. 5C.13D.25Answer: AQUESTIONS 43 AND 44 REFER TO THE FOLLOWING INFORMATIONA bank analyst run an ordinary least squares regression of the daily returns of the stock on the daily returns on the S&P 500 index using the last 750 trading days of data. The regression results are summarized in the following tables:R2 = 87.86%Analysis of Variance43. T he bank analyst wants to test the null hypothesis that the beta of the portfolio is 1.2 at a 5% significance level. According to the regression results, the analyst would:A.Reject the null hypothesis because the t-statistic is greater than 1.64B.Fail to reject the null hypothesis because the t-statistic is greater than 1.64C.Reject the null hypothesis because the p-value is greater than 5%D.Fail to reject the null hypothesis because the p-value is greater than 5%Answer: A44. A colleague of the bank analyst suggested adding the returns on the Dow Jones Industrial Average (DJIA) index as an additional explanatory variable. The new regression results show that the R2increased and the adjusted R2decreased. What conclusion can be drawn from these results?A.The increased R2 gives an inflated estimate of how well the regression fits the data.B.The decreased adjusted R2 suggests that the coefficient of the returns on the DJIA is notsignificant.C.The increased R2 indicates an improvement in the regression.D.The decreased adjusted R2 suggests the existence of omitted variable bias in this regression. Answer: B45. Studying previous financial disasters provides lessons learned that can help improve processes and controls in order to help prevent future disasters. Which of the following case studies correctly identifies a lesson learned from the given financial disaster?A.The Metallgesellschaft case shows the necessity of procedures that may lead to thedetection of fictitious trade entries.B.The Societe Generale case highlights the importance of correctly measuring the correlationbetween large positions.C.The Barings Bank case demonstrates why firms should restrict the use of leverage in tradingDerivatives.D.The Long-Term Capital Management case shows the importance of taking into account thatcorrelations can increase sharply during crises.Answer: D46. An operational risk analyst is attempting to analyze a bank’s loss severity distribution. However, historical data on operational risk losses is limited. Which of the following is the best way to address this issue?A. Generate additional data using Monte Carlo simulation and merge it with the bank’s operational losses.B. Estimate the parameters of a Poisson distribution to model the loss severity of operational losses.C. Estimate relevant probabilities using expected loss information that is published by credit rating agencies.D. Merge external data from other banks with the banks with the bank’s internal data after making appropriate scale adjustments.Answer: D47. A risk manager oversees the risk measurement of two portfolios. Portfolio A has a VaR of USD 5 million and an ES of USD 10 million. Portfolio B has a VaR of USD 7 million and an ES of USD 15 million. When combining portfolios A and B, the risk manager observes that the VaR of the aggregate portfolio is USD 15 million and the ES is USD 20 million. This is because:A.ES is subadditive, while VaR is not subadditive.B.VaR is subadditive, while ES is not subadditive.C.VaR satisfies positive homogeneity, while ES does not satisfy positive homogeneity.D.ES satisfies positive homogeneity, while VaR does not satisfy positive homogeneity. Answer: A48. You are conducting an ordinary least squares regression of the returns on stocks Y and X as Y = a + b×X + ε based on the past three year’s daily adjusted closing price data. Prior to conducting the regression, you calculated the following information from the data:What is the slope of the resulting regression line?A.0.35B.0.45C.0.59D.0.77Answer: C49. A risk analyst is estimating the regression R x = α + βY ×R Y + βZ×R Z + ε, where R x is the return of stock X, R Y is the return of stock Y, and R Z is the return of stock Z, using 20 years of daily return。
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一级二级资料
frm一级二级资料一级资料：FRM考试简介FRM（金融风险管理师）考试是国际上公认的金融风险管理领域最重要的专业资格认证之一。
FRM考试由国际金融风险管理协会（GARP）主办，覆盖金融市场、金融工程、风险管理等领域的知识点。
FRM 考试分为两级，分别是FRM一级和FRM二级。
二级资料：FRM一级考试内容概述FRM一级考试的内容主要包括四个方面：金融市场与产品、风险管理与投资组合理论、金融机构和风险管理实践、量化分析。
下面将分别介绍这四个方面的内容。
1. 金融市场与产品金融市场与产品是FRM一级考试的基础知识部分，包括金融市场的结构和功能、股票、债券、期货、期权等金融产品的特点和交易方式。
考生需要掌握不同金融市场的运作规则，了解各种金融产品的基本特点和投资策略。
2. 风险管理与投资组合理论风险管理与投资组合理论是FRM一级考试的核心内容，包括风险管理的基本概念、风险度量和评估方法、投资组合理论和资产定价模型等。
考生需要掌握风险管理的各种工具和技术，了解投资组合的构建和管理方法。
3. 金融机构和风险管理实践金融机构和风险管理实践是FRM一级考试的实践应用部分，包括商业银行、保险公司、资产管理公司等金融机构的业务和风险管理实践。
考生需要了解金融机构的运营模式和风险管理流程，熟悉各种金融产品的风险特征。
4. 量化分析量化分析是FRM一级考试的技术方法部分，包括概率统计、时间序列分析、回归分析等数学和统计学方法在风险管理中的应用。
考生需要掌握各种量化分析技术，能够运用统计模型和计算工具进行风险测量和风险控制。
总结FRM一级考试内容涵盖了金融市场与产品、风险管理与投资组合理论、金融机构和风险管理实践、量化分析等方面的知识点。
考生需要全面掌握这些知识，并能够灵活运用于实际工作中。
通过FRM一级考试的学习和认证，考生将能够在金融行业中从事风险管理相关的工作，并为机构和个人提供专业的风险管理服务。
FRM金融市场与产品及估值与风险建模部分.pdf
2013 FRM Level I
百题巅峰班讲义
讲师：李斯克
2013 年 11 月
1-68 专业来自百分百的投入
金程教育 专业·领先·增值
Part 3 Financial Market and Products
Key Point：Effective Annual Rate
B. The 2-year forward rate one year from today is too high.
C. The 1-year forward rate two years from today is too low.
forward rate between T1 and T2 can be calculated as:
Rforward
R2T2 T2
R1T1 T1
R2
(R2
R1)
T1 T2 T1
3. The zero rate of three years is 4.6%, the zero rate of four years is 5.0%. Please calculate
5. Given the following bonds and forward rates:
Maturity
YTM
Coupon
专业来自百分百的投入
Price
3-68
金程教育 专业·领先·增值
1 year
4.5%
0%
95.694
2 years
7%
0%
87.344
3 years
Which of the following statements about the forward rates, based on the bond
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.。
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Create Value
Reduce Probability of Debt Overhang Reduce Information Asymmetries
4.
To benefit shareholders, a firm with a debt overhang that has exhausted its sources of internal financing will: A. Raise additional equity capital. B. Issue more debt. C. Replace riskier projects with lower risk projects. D. Replace low risk projects with higher risk projects and/or not take on additional projects.
Liquidity Risk (流动性风险)
Asset-liquidity risk Funding liquidity risk
Model risk People risk Legal risk
Create Value with Risk Management
1.
There are both absolute risk (measured without reference to a benchmark) and relative risk (measured against a benchmark) measures of market risk. Which of the following is an absolute measure of market risk? A. Tracking error B. Volatility of total returns C. Correlation with a benchmark portfolio D. Deviations from a benchmark index
Risk Financial Risks Market Risk (市场风险) Business Risks Measured by VAR Credit Risk (信用风险) Operational Risk (操作风险)
Absolute risk Probability of Default Relative risk Credit Exposure Directional risks Loss Given Default Non-directional risks Basis risk Volatility risk
2-93 专业来自百分百的投入
金程教育
专业·领先·增值
benchmark. Deviation from the benchmark index is a consideration in measuring relative risk.
2.
Jennifer Durrant is evaluating the existing risk management system of Silverman Asset Management. 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. Event Insufficient training leads to misuse of order management system. Credit spreads widen following recent bankruptcies. Option writer does not have the resources required to honor a contract. Credit swaps with counterparty cannot be netted because they originated in multiple jurisdictions. 1: legal risk. 2: credit risk. 3: operational risk. 4: credit risk 1: operational risk. 2: credit risk. 3: operational risk. 4: legal risk 1: operational risk. 2: market risk. 3: credit risk. 4: legal risk 1: operational risk. 2: market risk. 3: operational risk. 4: legal risk
Key Point: Creating Value with Risk Management
3-93 专业来自百分百的投入
金程教育
专业·领先·增值
Reduce Potential Costs of Financial Distress & Bankruptcy
Reduce Volatility of Taxable Income Reduce Weighted Average Cost of Capital Reduce Diversifiable Risk Improve Management Incentives
金程教育
专业·领先·增值
2012 FRM Level I
百题巅峰班讲义
讲师：程黄维 FRM
2012 年 05 月
1-93 专业来自百分百的投入
金程教育
专业·领先·增值
Part 1 Fundamentals of Risk Management
Answer: D Explanation: When a firm has a large amount of debt, it can make investment decisions that benefit shareholders but negatively affect the firm’s total value. This is debt overhang. Shareholders that face debt overhang would prefer high risk projects since a loss tends not to affect them, but they would benefit from the upside, or large profit.
Answer: B Explanation: Market risk is the risk of losses from movements in market prices. Absolute risk measures these changes in terms of the volatility of total returns. Tracking error is a relative measure of market risk defined as the deviation from a benchmark index. Correlation refers to a
Introduction of Risk Management
Creating Value with Risk Management
Portfolio Management Theory
Financial Disasters
GARP Code of Conduct
Key Point: types of Risk
5.
For a firm that has both debt and equity outstanding, the existence of which of the following typically would not be a sufficient incentive to implement costly risk management practices by itself? A. Graduated corporate tax rates (累进税率) B. Bankruptcy costs C. Financial distress costs D. Cash flow volatility
Answer: D Explanation: Shareholders are diversified; they have no reason to care about diversifiable risks. Therefore, they are not willing to discount expected cash flow at a lower rate if the firm makes cash flow less risky by eliminating diversifiable risk. The tax argument for risk management is straight forward: If it moves a dollar away from a possible outcome in which the taxpayer is subject to a high tax rate and shifts it to a possible outcome where the taxpayer incurs a low tax rate, a firm or investor reduces the present value of taxes to be paid. The tax rationale for risk