+frm1.docx
《+frm1.docx》由会员分享,可在线阅读,更多相关《+frm1.docx(43页珍藏版)》请在冰豆网上搜索。
+frm1
1.YouarethenewCFOofGlobalInsuranceInc.Youhaveaskedataskforcetoreporttoyouonhowtostructureanenterpriseriskmanagementprogram(ERM)withtheobjectiveofensuringthatyourfirmhastheoptimallevelofriskforitslevelofcapital.Thetaskforcehasmadethefollowingrecommendations.WhichrecommendationwouldhinderyourERMprogramfromachievingitsobjective?
a.Managementshouldestimatetheamountofcapitalrequiredtosupporttheriskofitsoperationsgiventhefirm’stargetrating.
b.Managementshouldallocatetheamountofcapitaldeterminedtosupporttheriskofitsoperationswiththeobjectivethatunitswithbetteraccountingperformancereceivemorecapital.
c.Managementshouldmeasurefirm-levelriskbyaggregationrisksacrossthefirmconsistently.
d.Managementshouldfirstdeterminethefirm’sriskappetiteandthegeneralrulesforcapitalallocation.
2.Whichofthefollowingstatementsregardinghypothesistestingisincorrect?
a.TypeIIerrorreferstothefailuretorejectthenullhypothesiswhenitisactuallyfalse.
b.Hypothesistestingisusedtomakeinferencesabouttheparametersofagivenpopulationonthebasisofstatisticscomputedfoeasamplethatisdrawnfromthatpopulation.
c.Allelsebeingequal,thedecreaseinthechanceofmakingaTypeIerrorcomesatthecostofincreasingtheprobabilityofmakingaTypeIIerror.
d.Thep-valuedecisionruleistorejectthenullhypothesisifthep-valueisgreaterthanthesignificancelevel.
3.Yourfirm’sfixed-incomeportfoliohasinterest-onlybonds(IO),callablecorporatebonds,inversefloaters,noncallablecorporatebonds.Yourbosswantstoknowwhichofthefollowingsecuritiescanlosevalueasyieldsdecline.
a.Callablecorporateonly
b.Inversefloateronly
c.IOandcallablecorporatebond
d.IOandnoncallablecorporatebond
4.YouareaskedbyyourbosstoestimatetheexposureofahedgefundtotheS&P500.Thoughthefundclaimstomarktomarketweekly,itdoesnotdosoandmarkstomarketonceamonth.ThefundalsodoesnottellinvestorsthatitsimplyholdsanExchangeTradedFund(ETF)thatisindexedtotheS&P500.Becauseoftheclaimsofthehedgefund,youdecidetoestimatethemarketexposurebyregressingweeklyreturnsofthefundontheweeklyreturnoftheS&P500.Whichofthefollowingcorrectlydescribesapropertyofyourregressionestimates?
a.Theinterceptofyourregressionwillbepositive,showingthatthefundhaspositivealphawhenestimatedusinganOLSregression.
b.Thebetawillbemisestimatedbecausehedgefundexposuresarenonlinear.
c.ThebetaofyourregressionwillbeonebecausethefundholdstheS&P500.
d.ThebetaofyourregressionwillbezerobecausethefundreturnsarenotsynchronouswiththeS&P500returns.
5.YouareananalystatBankAlpha.YouweregiventhetasktodeterminewhetherunderBaselIIyourbankcanusethesimplifiedapproachtoreportoptionsexposureinsteadoftheintermediateapproach.Whichofthefollowingcriteriawouldyourbankhavetosatisfyinorderforittousethesimplifiedapproach?
a.Thebankwritesoptions,butitsoptionstradingisinsignificantinrelationtoitsoverallbusinessactivities.
b.Thebankpurchasesandwritesoptionsandhassignificantoptiontrading.
c.Thebanksolelypurchasesoptions,anditsoptionstradingisinsignificantinrelationtoitsoverallbusinessactivities.
d.Thebankpurchasesandwritesoptions,butitsoptiontradingisinsignificant.
6.ThePotentialFutureExposure(PFE)modelcanbeusedto
i.calculateeconomicandregulatorycapital.
ii.quantifycreditrisk.
iii.calculatemarketrisk.
iv.determinetheappropriatestochasticprocessofacreditportfolio.
a.iiiandivonly
b.iandiiionly
c.i,ii,andiiionly
d.i,ii,andivonly
Thefollowingmini-casescenarioappliestobothquestion7and8.
7.OnJanuary1,ariskmanagerobservesthattheone-yearcontinuouslycompoundedinterestrateis5%andstoragecostsofacommodityproductAisUSD0.05perquarter(payableateachquarterend).HefurtherobservesthefollowingforwardpricesforproductA:
·MarchUSD5,35
·JuneUSD5.90
·SeptemberUSD5.30
·DecemberUSD5.22
GiventhefollowingexplanationofsupplyanddemandforcommodityproductA,howwouldyoubestdescribeitsforwardpricecurveformJunetoDecember?
a.BackwardationasthesupplyofproductAisexpectedtodeclineaftersummer.
b.ContangoasthesupplyofproductAisexpectedtodeclineaftersummer.
c.ContangoasthereisexcessdemandforproductAinearlysummer.
d.BackwardationasthereisexcessdemandforproductAinearlysummer.
8.Whatistheannualizedrateofreturnearnedonacash-and-carrytradeenteredintoinMarchandclosedoutinJune?
a.9.8%
b.8.9%
c.39.1%
d.35.7%
9.Whichofthefollowingischaracteristicof”crowdedtrades”?
a.Asspreadsnarrow,tradershavelowereconomicincentivestoincreaseleveragelevelsinordertoachievecomparablereturns.
b.Theaggregatevolumeoftradesinthemarket(s)issuchthattraderscansimultaneouslyexitfromtheirpositionswithoutsignificantlyimpactingprevailingprices.
c.Untiltradersseektounwindpositions,crowdedtradesareoftencharacterizedbyadampeningofvolatilitiesandanincreaseinperceivedliquiditymeasures,leadingtomisleadinglylowriskcalculationsinconventionalVaR(includingliquidity-adjustedVaR)andotherriskmodels.
d.Asinglelargepartyentersintocorrelatedtradingstrategiesacrossoneormoremarkets.
10.Thepriceofathree-yearzerocoupongovernmentbondis85.16.Thepriceofasimilarfour-yearbondis79.81.Whatistheone-yearimpliedforwardrateformyear3toyear4?
a.5.4%
b.5.5%
c.5.8%
d.6.7%
11.Supposeyouaregiventhefollowinginformationabouttheoperationalrisklossesatyourbank.
Frequencydistribution
SeverityDistribution
Probability
Frequency
Probability
Severity
0.5
0
0.6
USD1,000
0.3
1
0.3
USD10,000
0.2
2
0.1
USD100,1000
WhatistheestimateoftheVaRatthe95%confidencelevel,assumingthatthefrequencyandseveritydistributionsareindependent?
a.USD100,000
b.USD101,000
c.USD200,000
d.USD110,000
12.Ariskmanagerestimatesdailyvariance(
)usingaGARCHmodelondailyreturns(
):
Assumethemodelparametervaluesare
=0.005,
=0.04,
=0.94.Thelong-runannualizedvolatilityisapproximately
a.13.54%
b.7.94%
c.72.72%
d.25.00%
13.Inpricingafirst-to-defaultcreditbasketswap,whichofthefollowingistrue,allelsebeingequal?
a.Thelowerthecorrelationbetweentheassetsofthebasket,thelowerthepremium.
b.Thelowerthecorrelationbetweentheassetsofthebasket,thehigherthepremium.
c.Thehigherthecorrelationbetweentheassetsofthebasket,thehigherthepremium.
d.Thecorrelationbetweentheassetshasnoimpactonthepremiumofafirst-todefaultcreditbasketswap.
14.Tocontrolrisk-takingbytraders,yourbanklinkstradercompensationwiththeircompliancewithimposedVaRlimitsontheirtradingbook.WhyshouldyourbankbecarefulintyingcompensationtotheVaRofeachtrader?
a.Itencouragestradertoselectpositionswithhighestimatedrisks,whichleadstoanunderestimationoftheVaRlimits.
b.Itencouragestradertoselectpositionswithhighestimatedrisks,whichleadstoanoverestimationoftheVaRlimits.
c.Itencouragestradertoselectpositionswithlowestimatedrisks,whichleadstoanunderestimationoftheVaRlimits.
d.Itencouragestradertoselectpositionswithlowestimatedrisks,whichleadstoanoverestimationoftheVaRlimits.
15.BankZ,amedium-sizebank,usesonlyoperationallossdatafrominternalrecordstomodelitslossdistributionfromoperationalriskevents.Thebankrevieweditsrecords,and,afterconfirmingthattheywerecompleterecordsofitshistoricallossesandthatitslossescouldbeapproximatedbyauniformdistribution,itdecidedagainstusingexternallossdatatoestimateitslossdistribution.Basedonthatdecision,whichofthefollowingstatementsiscorrect?
a.TheestimatedlossdistributionlikelyaccuratelyrepresentsBankZ’srealriskbecausetherecordsareaccurateandcomplete.
b.TheestimatedlossdistributionlikelyovertakesbankZ’srealriskbecausemanyincidencesinthepastwerelikely“oneoff.”
c.TheestimatedlossdistributionlikelyisthebestestimateofBankZ’srealriskbecausethereisnobetterlossdataforthebankthanitsown.
d.TheestimatedlossdistributionlikelyunderstatesBankZ’srealriskbecausethebankhasnotexperiencedahugeloss.
16.Whichofthefollowingisnotanaccuratestatementregardingthepurchaseofinsurancebybanksforcoveringoperationalrisk-relatedlosses?
a.Insuranceforoperationalriskeventscanbeveryexpensive.
b.Insurancecompaniesdonothaveanycomparativeadvantageinbearingormeasuringoperationalriskandthusmakepoorriskmanagementpartnersforbanks.
c.Thepresenceofmoralhazardininsuranceleadstonumerouscontractingtermsthatrestrictandconditiontheinsuranceandthatmaketheinsurancelessvaluableforbanks.
d.Policylimitsoftenlimitinsurancecoveragetolevelswellbelowthecatastrophiclevelsforwhichbanksactuallyneedprotection.
17.Theskewofalognormaldistributionisalways
a.positive.
b.negative.
c.0.
d.3.
18.Considertwostocks,AandB.Assumetheirannualreturnsarejointlynormallydistributed,themarginaldistributionofeachstockhasmean2%andstandarddeviation10%,andthecorrelationis0.9.WhatistheexpectedannualreturnofstockAiftheannualreturnofstockBis3%?
a.2%
b.2.9%
c.4.7%
d.1.1%
19.Ifstockreturnsarein