FRM一级模拟题(3)

FRM一级模拟题（3）

1、Currently, shares of ABC Corp. trade at $100. The probability of the price increasing by $10 is 30% and the probability of the price decreasing by $10 is 70%. What is the mean and standard d eviation of the price after two days?

A.Mean: 70; standard d eviation: 11.3

B.Mean: 70; standard d eviation: 12.9

C.Mean: 92; standard d eviation: 11.3

D.Mean: 92; standard d eviation: 12.9

2、Which of the foll owing statements about stress testing are true?

(1). Stress testing can complement VaR estimation in helping risk managers identify crucial vulnerabilities in a portfolio.

(2). Stress testing all ows users to include scenarios that did not occur in the l ookback horizon of the VaR data but are nonetheless possibl e.

(3). A drawback of stress testing is that it is highly subjective.

(4). The inclusion of a large number of scenarios helps management better und erstand the risk exposure of a portfolio.

A. 1 and 2 only.

B. 3 and 4 only.

C.1, 2, and 3 only.

D.1, 2, and 3 only.

3、Unexpected loss (UL) represents the standard deviation of losses, and expected l oss (EL) represents the average losses over the same time horizon. Further d efine LGD as l oss given default, and EDF as expected default frequency. Which of the foll owing statements hold(s) true?

(1). EL increases linearly with increasing EDF.

(2). EL is often higher than UL.

(3). With increasing EDF, UL increases at a much faster rate than EL.

(4). The l ower the LGD, the higher the percentage l oss for both the EL and UL.

A. 1 only

B. 1 and 2

C. 1 and 3

D. 2 and 4

4、There are many reasons why risk management increases sharehol der wealth. Which of the foll owing risk management policies is least likely to increase sharehol der wealth?

A.Hedging strategies to l ower probability of financial distress and bankruptcy.

B.Risk management policies designed to reduce the probability of debt overhang.

C.Well-d esigned compensation structure for managers that sets incentives for managers to take appropriate

risks.

D.Risk management policies designed to eliminate projects with high volatility.

5、Over the past year, the HIR Fund had a return of 7.8%, whil e its benchmark—the S&P 500 Index—had a return of 7.2%. Over this period, the fund's volatility was 11.3%, while the S&P 500 Ind ex volatility was 10.7% and the fund's tracking error was 1.25%. Assume a risk-free rate of 3%. What is the information ratio for the HIR Fund and for how many years must this performance persist to be statistically significant at a 95% confidence l evel?

A.0.480 and approximately 16.7 years

B.0.425 and approximately 21.3 years

C. 3.840 and approximately 0.2 years

D. 1.200 and approximately 1.9 years

6、The Liberty Fund, an actively managed mutual fund, uses the S&P 500 Index as its benchmark. The foll owing tabl e shows the returns of the fund and the benchmark over the past three years.

Year Liberty Fund S&P 500

2005 5.4% 4.9%

2006 16.7% 15.8%

2007 6.4% 5.5%

Calculate the cumulative active return over this three-year period.

A. 2.30%

B. 2.31%

C. 2.32%

D. 2.72%

7、Portfolio Q has a beta of 0.7, an expected return of 12.8%, and an equity risk premium of 5.25%. The risk-free rate is 4.85%. Cal culate Jensen's alpha measure for Portfolio Q.