本帖最后由 依之小艾 于 2017-4-22 14:22 编辑 |
frm考试，尤其是FRM一级的考试中，计算题占比很重。例如CAPM，VaR，interest rate risk等等，都是有需要大量计算的试题。因此，公式的量也相当可观。直接死记硬背，公式肯定难以记住，唯需平日充足的练习，理解公式的含义以及相关的知识点，方能熟练运用。下面是高顿小编整理的frm习题，供大家练习。>>>点击领取丨FRM一级二级考试真题还原大放送
1.Which of the following is the best interpretation of the no-arbitrage principle?
A.The information flow is quick in the financial market.
B.There is no free money.
C.People can never beat the market.
D.There is no way you can find an opportunity to make a profit.
2.Which of the following assumptions is NOT necessary to derive the APT?
A.There are no arbitrage opportunities available to investors.
B.The factor portfolios are efficient.
C.Investors can create diversified portfolios with no firm-specific risk.
D.A factor model describes asset returns.
3.Parametric notes are fixed income instruments with cash flows:
A.determined by parametric distributions.
B.linked to an external risk event,such as an earthquake.
C.that are triggered by internal risk events,such as fraud.
D.linked to an index of underwriting losses.
4.For banks that use the advanced internal ratings-based(advanced IRB)approach to credit risk,the primary inputs to the capital calculations are:
A.Credit assessments of external rating agencies.
B.The banks\\\'internal assessments ofkey risk drivers.
C.Mandated by bank supervisors.
5.Pillar III of the Basel II accord includes all ofthe following requirements for internationally active banks except:
A.A formal disclosure policy should be established,and supported by a bank\\\'s board of directors.
B.Banks should operate above minimum regulatory capital ratios.
C.Financial statements that fairly retlect financial condition should be Pllblished reglllarly.
D.There should be specific remedial actions in the event of nondisclosure.
6.Which ofthe following statements would be considered a drawback of Basel III?
A.Procyclicality is a concem,and no countercyclical buffer is provided.
B.It does not consider diversification effects among risk classes.
C.Level 1 diversification benefits are not acknowledged.
D.There are no detailed disclosure requirements for risk management policies conceming credit risk.
An arbitrage opportunity is the chance to make a riskless profit with no investment.In essence,finding an arbitrage opportunity is like finding free money.As you recall,in arbitrage,you observe two identical assets with different prices.Your immediate response should be to buy the cheaper one and sell the expensive one short.You can then deliver the cheap one to cover your short position.Once you take the initial arbitrage position,your arbitrage profit is locked in.The no-investment statement referenced in the text refers to the assumption that when you short the expensive asset,you will be given access to the cash created by the short sale.With this cash,you now have the money to buy the cheaper asset.The no-investment assumption means that the first person to observe a market pricing error will have the financial resources to correct the pricing error instantaneously all by themselves.
The APT is an equilibrium model that assumes there are no arbitrage opportunities in equilibrium,that investors can create diversified portfolios,and that a factor model describes asset returns.It does NOT require that factor portfolios(nor,as in the capital asset pricing model[CAPM],the market portfolio)be efficient.In effect,the APT assumes investors simply like more money to less,while the CAPM assumes they care about expected return and standard deviation and invest in efficient portfolios.The APT makes no reference to mean-variance analysis or assumptions about efficient portfolios.This weaker set of assumptions is an advantage of the APT over the CAPM.
All the bonds described above,except for one,are types of catastrophe bonds.Parametric notes link cash flows to the magnitude of an external risk event,such as hurricane severity in a particular region.Indemnified notes offer the issuing firm debt relief based on internal events,such as a large underwriting loss for an insurance company.Indexed notes provide cash flows related to the value of an independent index,such as a weather index or an insurance underwriting loss index.Bonds with cash flows determined by parametric distributions are quixotic.
Under the advanced IRB approach,the bank uses its own intβmal measures of credit risk and exposure in capital calculations.
The requirement to operate above minimum regulatory capital ratios is a requirement laid out in Pillar II regarding the interaction of supervisors and internationally active banks.Note that Pillar III relates to market discipline and disclosure.
Basel III only considers Level 1 diversification benefits(Level 1:within specific class ofrisk,specific line ofbusiness).
Level 2a:within specific class of risk,across specific line of bussiness
Level 2b:across specific classes of risk,within a definite legal entity
Level 3:across definite classes of risk,across legal entities.