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FRM金融风险管理基础精选试题

最新公告  |  2020-03-11

FRM金融风险管理基础精选试题

Q-1.Match the following events to the corresponding risk type.

1.A rogue trader within an institution.

2.Stock XYZ decreases in price due to a market crisis.

3.Using a put option to hedge an equity exposure.

4.Counterparty sues bank to avoid meeting its obligations.

A.1:legal risk.2:credit risk.3:strategic risk.4:credit risk.

B.1:business risk.2:market risk.3:market risk.4:settlement risk.

C.1:operational risk.2:equity price risk.3:basis risk.4:legal risk.

D.1:reputation risk,2:basis risk.3:credit risk.4:legal risk.

Solution:C

1.A rogue trader within an institution is an example of operational risk.

2.Stock XYZ decreases in price due to a market crisis is an example of equity price risk.

3.Using a put option to hedge an equity exposure is an example of basis risk.

4.Counterparty sues bank to avoid meeting its obligations is an example of legal risk.

Solution:C

1.An insufficient training lead to misuse of order management system is an example of operational risk.

2.Widening of credit spreads represents an increase in market risk.

3.An option writer not honoring the obligation in a contract is a credit risk event.

4.When a contract is originated in multiple jurisdictions leading to problems with enforceability,there is legal risk.

Q-2.Which of the following statements regarding corporate risk governance is correct?

A.Management of the organization is ultimately responsible for risk oversight.

B.A risk committee is useful for enforcing the firm’s risk governance principles.

C.Effective risk governance requires multiple levels of accountability and authority

D.The point of risk governance is to minimize the amount of risk taken by the organization.

Solution:B

The Board of Directors is ultimately responsible for risk oversight.Effective risk governance simply requires clear accountability;authority;and methods of communication;it is not necessary to have multiple levels.The point of risk governance is to consider the methods in which risk-taking is permitted,optimized,and monitored;it is not necessarily to minimize the amount of risk taken.The real point of risk governance is to increase the value of the organization from the perspective of the shareholders and/or stakeholders.

Q-3.A board of directors is evaluating the implementation of a new ERM program at an asset management company.Which statement below is consistent across the various current definitions of an ERM program and most appropriate to be included in the company's ERM definition and goals?

A.The ERM program should reduce costs by transferring or insuring most of the company’s major risk exposures.

B.The major goal of the new ERM program should be to reduce earnings volatility.

C.The ERM program should be managed separately from the operational side of the company.

D.The ERM program should provide an integrated strategy to manage risk across the company as a whole.

Q-4.The board of directors of a diversified industrial company has asked the risk management group to prepare a risk appetite framework for the organization.Which of the following activities should take place as part of the process of developing the company's risk appetite?

A.Constructing a list of all risks to which the company could potentially be exposed to.

B.Deciding on the types of risks the company is willing to accept across the organization.

C.Determining the maximum amount of exposure to each specific risk factor the company is willing to maintain.

D.Communicating a risk governance strategy across the organization.

Solution:B

A is incorrect.This is an example of a risk profile as it’s a list of all risk factors to which a company can potentially be exposed to.

C is incorrect.This is an example of developing risk tolerance.

D is incorrect.This is an example of risk governance.

Q-5.The collapse of Long Term Capital Management(LTCM)is a classic risk management case study.Which of the following statements about risk management at LTCM is correct?》》》点击免费领取FRM备考资料

A.LTCM had no active risk reporting.

B.At LTCM,stress testing became a risk management department exercise that had little influence on the firm’s strategy.

C.LTCM’s use of high leverage is evidence of poor risk management.

D.LTCM failed to account properly for the illiquidity of its largest positions in its risk calculations.

Solution:D

A major contributing factor to the collapse of LTCM is that it did not account properly for the illiquidity of its largest positions in its risk calculations.LTCM received valuation reports from dealers who only knew a small portion of LTCM’s total position in particular securities,therefore understating LTCM’s true liquidity risk,When the markets became unsettled due to the Russian debt crisis in August 1998 and a separate firm decided to liquidate large positions which were similar to many at LTCM,the illiquidity of LTCM’s positions forced it into a situation where it was reluctant to sell and create an even more dramatic adverse market impact even as its equity was rapidly deteriorating.To avert a full collapse,LTCM’s creditors finally stepped in to provide$3.65 billion in additional liquidity to allow LTCM to continue holding its positions through the turbulent market conditions in the fall of 1998,However,as a result,investors and managers in LTCM other than the creditors themselves lost almost all their investment in the fund.

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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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