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由于GARP不會(huì)公布每年的FRM考試題，因此考生們?cè)诳记翱梢远嘧鲆幌鹿俜桨l(fā)布的practice exam，這套練習(xí)題價(jià)值也很高了。下面來(lái)做練習(xí)吧！
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: D
2. 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: D
3. A risk analyst observes that that an emerging market stock index has hit a new all-time high with a 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 4.00% annually in this market and the average annualized dividend yield on the index for the next six months is 1.00%, what is the approximate price of a 6-month futures contract on the index in the emerging market's currency?
A. 9,700
B. 9,850
C. 10,150
D. 10,300
answer: C
4. Local Company, a frequent user of swaps, often enters into transactions with Global Bank, a major provider of swaps. Recently, Global Bank was downgraded from a rating of AA+ to a rating of A, while Local Company was downgraded from a rating of A to a rating of A-. During this time, the credit spread for Global Bank increased from 20 bps to 150 bps, while the credit spread for Local Company increased from 130 bps to 170 bps. Which of the following is the most likely action that the counterparties will request on their credit value adjustment (CVA)?
A. The credit qualities of the counterparties have changed, but not enough to justify amending existing CVA arrangements.
B. Global Bank requests an increase in the CVA charge it receives.
C. Local Company requests a reduction in the CVA charge it pays.
D. CVA is no longer a relevant factor, and the counterparties will use other mitigates of counterparty risk.
answer: C 信用風(fēng)險(xiǎn)
5.The dependence structure between the returns of financial assets plays an important role in risk measurement. For liquid markets, which of the following statements is incorrect?
A. Correlation is a valid measure of dependence between random variables for only certain types of return distributions.
B. Even if the return distributions of two assets have a correlation of zero, the returns of these assets are not necessarily independent.
C. Copulas make it possible to model marginal distributions and the dependence structure separately.
D. Correlation estimates based on short lookback horizons (three months or less) are typically very stable.
answer: D 市場(chǎng)風(fēng)險(xiǎn)
6.A committee of risk management practitioners discusses the difference between pricing deep out-of-the-money call options on FB stock and pricing deep out-of-the-money call options on the EUR/JPY foreign exchange rate using the Black-Scholes-Merton (BSM) model. The practitioners price these options based on two distinct probability distributions of underlying asset prices at the option expiration date:
· A lognormal probability distribution
· An implied risk-neutral probability distribution obtained from the volatility smile for options of the same maturity
Using the lognormal instead of the implied probability distribution will tend to:
A. Price the option on FB relatively high and price the option on EUR/JPY relatively low.
B. Price the option on FB relatively low and price the option on EUR/JPY relatively high.
C. Price the option on FB relatively low and price the option on EUR/JPY relatively low.
D. Price the option on FB relatively high and price the option on EUR/JPY relatively high.
answer: A 市場(chǎng)風(fēng)險(xiǎn)
