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1、FRM一級(jí)考前必做100真題1、AnoperationalriskmanagerusesthePoissondistributiontoestimatethefrequencyoflossesinexcessofUSD2millionduringthenextyear.ItisobservedthatthefrequencyoflossesgreaterthanUSD2millionisthreeperyearonaverageoverthelast10years.Assumingthatthisobservationisindicativeoffutureoccurrenc
2、esandthattheprobabilityofoneeventoccurringisindependentofallotherevents,whatistheprobabilityoffivelossesinexcessofUSD2millionoccurringduringthenexttwoyears?A.10.08%B.14.04%C.14.62%D.16.06%Answer:D2.Agrowingregionalbankhasaddedariskcommitteetoitsboard.Oneofthefirstrecommendationsoftheriskcom
3、mitteeisthatthebankshoulddevelopariskappetitestatement.Whatbestrepresentsaprimaryfunctionofariskappetitestatement?A.Toquantifythelevelofvariabilityforeachriskmetricthatafirmiswillingtoaccept.B.Tostatespecificnewbusinessopportunitiesafirmiswillingtopursue.C.Toassignriskmanagementresponsibili
4、tiestospecificinternalstaffmembers.D.Tostateabroadlevelofacceptablerisktoguidetheallocationofthefirm’sresources.Answer:D3.Abankusesa4-gradescaleforitsinternalcreditmodel.The1-yearratingtransitionprobabilitiesforthismodelaregivenby:RatingFormRatingToABCDA90%10%0%0%B10%81%8%1%C0%5%80%15%D0%0%
5、0%100%Ifanewlyissuedbondisrated“A”bythismodel,whatistheprobabilitythatitwillberated“B”orlowertwoyearsfromnow?A.9%B.10%C.18%D.19%Answer:C4.Ariskanalystobservesthatanemergingmarketstockindexhashitanewall-timehighwithavalueof10,000,measuredintheemergingmarket’scurrency.Theanalystsuggestsbuying
6、futuresontheindexasahedgeonthefirm’sshortexposuretothismarket.Iftheinterestrateis4%annuallyinthismarketandtheaverageannualizeddividendyieldontheindexforthenextsixmonthsis1%,whatistheapproximatepriceofa6-monthfuturescontractontheindexintheemergingmarket’scurrency?A.9,700B.9,850C.10,150D.10,3
7、00Answer:C5、YouareevaluatingthehistoricalperformanceoffourequityfundsbenchmarkedtotheBSESENSEXIndex,asshowninthetablebelow:AverageAnnualAverageExcessStandardTrackingErrorReturnReturnDeviationofReturnsFundA15.45%2.95%15.00%4.20%FundB14.10%1.60%12.00%1.50%
