【FRM风险管理】期权与风险基础试题及详情解答
行业资讯 | 2020-05-18
最近有一些正在备考FRM的小伙伴问小编，期权与风险有没有这方面的习题可以做，今天金程FRM小编给大家讲述【FRM风险管理】期权与风险基础试题及详情解答。
Q-1.Bank regulators are examining the loan portfolio of a large,diversified lender.The regulators’main concern is that the bank remains solvent during turbulent economic times.Which of the following statements is most likely the area on which the regulators will want to focus?
A.Expected loss,since each asset can expect,on average,to decline in value from a positive probability of default.
B.Expected loss,given the decrease in underwriting standards of new loans.》》在线领取整套金融风险基础练习题
C.Unexpected loss,since the bank will need to set aside additional capital for the unlikely event that recovery rates are smaller than expected.
D.Unexpected loss,since the bank will need to set aside additional capital for the unlikely event that loss rates are smaller than expected.
Solution:C
Unexpected loss is a measure of the variation in expected loss.As a precaution,the bank needs to set aside sufficient capital in the event that actual losses exceed expected losses with a reasonable likelihood.For example,smaller recovery rates would be indicative of larger actual losses.
Q-2.One of the traders whose risk you monitor put on a carry trade where he borrows in yen and invests in some emerging market bonds whose performance is independent of yen.Which of the following risks should you not worry about?
A.Unexpected devaluation of the yen.
B.A currency crisis in one of the emerging markets the trader invests in.
C.Unexpected downgrading of the sovereign rating of a country in which the trader invests.
D.Possible contagion to emerging markets of a credit crisis in a major country.
Solution:A
Unexpected devaluation of the yen would result in a gain to the trader.
Q-3.According to current Basel committee proposals,banks using the advanced measurement approach must calculate the operational risk capital charge at a:
A.99 percentile confidence level and a 1-year time horizon.
B.99 percentile confidence level and a 5-year time horizon.
C.99.9 percentile confidence level and a 1-year time horizon.
D.99.9 percentile confidence level and a 5-year time horizon.
Solution:C
Q-4.Which of the following statements about insurance and derivatives as a means of hedging operational risk is correct?
A.Hedging through insurance in inexpensive.》》在线免费听期权与风险管理试听课程
B.Hedging through derivative securities is subject to the moral hazard problem.
C.The insurance market is less developed than the market for operational derivative securities.
D.Insurance policies can be used to hedge a wider array of operational risks than derivative securities.
Solution:D
Q-5.The standardized approach for calculating operational risk capital requirements uses beta factors for a given business line and annual gross income for business lines over a 3-year period.Which of the following business units has the highest beta factor?
A.Trading and sales.
B.Retail banking.
C.Agency and custody services.
D.Asset management.
Solution:A
The beta factors used in the standardized approach for operational risk are as follows:trading and sales:18%;retail banking:12%;agency and custody services:15%;asset management:12%.
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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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