FRM

金融风险管理师（FRM）基础精选试题与解析

常见问题  |  2020-03-13

Q-1.Which of the following is a common attribute of the collapse at both Metallgesellschaft and Long-Term Capital Management(LTCM)?

A.Cash flow problems caused by large mark to market losses.

B.High leverage.

C.Fraud.

D.There are no similarities between the causes of the collapse at Metallgesellschaft and LTCM.

Solution:A

Metallgesellschaft and Long Term Capital Management(LTCM)dealt in the derivatives market in huge quantities and both experienced a cash flow crisis due to the change in economic conditions.This led to huge mark-to-market losses and margin calls.

Q-2.In the case of Barings Bank(Barings),Nick Leeson incurred huge trading losses.Which of the following statements correctly describes one of the factors that led to the bankruptcy of Barings?》》》免费领取FRM答题解析资料

A.Barings had insufficient liquidity to cover marked to market losses.

B.Leeson used a long straddle strategy on the Nikkei 225.

C.Leeson held speculative double short positions in the market for Nikkei 225 futures contracts.

D.There was ambiguity concerning who was responsible for performing specific oversight functions.

Solution:D

The basic problem at Barings was operation risk control.Nick Leeson was in charge of trading and settlement.This dual responsibility allowed him to hide losses by crossing trades at fabricated prices.He then booked the profitable side of the trade in accounts that were reported and the unprofitable side in an unreported account.The lack of supervision also permitted him to shift from hedged trading strategies to speculative strategies in an effort to hide previously incurred losses.Clearly his reporting to multiple managers in a convoluted organizational structure led to ambiguity concerning who was responsible for performing specific oversight functions.

Leeson used a short straddle strategy on the Nikkei 225 and held speculative double long positions in the market for Nikkei 225 futures contracts.

Liquidity was an issue in the Metallgeselschaft and LTCM cases,not Barings.

Q-3.Investors frequently raise money to finance an investment purchase by using leverage and part of their equity to finance the purchase.During the 2007-2009 credit crisis,however,these investors were often forced to sell these investments or other assets due to a decline in their value while maintaining a constant leverage ratio.Raising money to finance investments and the forced sale of assets due to a decline in their value while maintaining a constant leverage ratio,respectively,refer to:

Raising money to finance investments Forced sale of assets

A.Market liquidity Loss spiral

B.Market liquidity Margin spiral

C.Funding liquidity Loss spiral

D.Funding liquidity Margin spiral

Q-4.The CDS protection buyer makes periodic payments to the protection seller over the life of the contract.Which of the following statements is not a consequence of the securitization?

A.Securitization makes originating banks approve and monitor loans carefully.

B.Securitization transfers the default risk of the underlying assets to investors.

C.Securitization enabled the originating institutions offer lower interest rates on mortgages.

D.Securitization may allow institutional investors to indirectly hold assets that they are prevented from holding directly.

Solution:A

Securitization transfers the default risk of borrowers to investors,so the originating institutions do not have the incentive to be diligent on the borrowers’creditworthiness.By tranching,securitization could provide low mortgage interest rates to more risk-bearing investors.Securitization can help overcome regulatory hurdles.

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备注：（FRM备考资料包含：1、FRM专用英语词汇 2、FRM一二级专用公式表 3、FRM前导课程4、FRM报名流程指引图 5、FRM电子版资料 6、FRM考纲 7、FRM笔记)

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