FRM一級習題集經(jīng)典題：風險管理基礎(chǔ)

1JenniferDurantisevaluatingtheexistingriskmanagementsystemofSilvermanAssetManagement.Sheisaskedtomatchthefollowingeventstothecorrespondingtypeofrisk.Identifyeachnumberedeventasamarketrisk,creditrisk,operationalrisk,orlegalriskevent.Event:Insufficienttrainingleadstomisuseofordermanagementsystem.Creditspreadswidenfollowingrecentbankruptcies.Optionwriterdoesnothavetheresourcesrequiredtohonoracontract.Creditswapswithcounterpartycannotbenettedbecausetheyoriginatedinmultiplejurisdictions.1:legalrisk,2:creditrisk,3:operationalrisk,4:creditrisk1:operationalrisk,2:creditrisk,3:operationalrisk,4:legalrisk1:operationalrisk,2:marketrisk,3:creditrisk,4:legalrisk1:operationalrisk,2:marketrisk,3:operationalrisk,4:legalrisk1.Answer:CInsufficienttrainingleadtomisuseofordermanagementsystemisanexampleofoperationalrisk.Wideningofcreditspreadsrepresentsanincreaseinmarketrisk.Anoptionwriternothonoringtheobligationinacontractisacreditriskevent.Whenacontractisoriginatedinmultiplejurisdictionsleadingtoproblemswithenforceability,thereislegalrisk.2Therearemanyreasonswhyriskmanagementincreasesshareholderwealth.Whichofthefollowingriskmanagementpoliciesisleastlikelytoincreaseshareholderwealth?Hedgingstrategiestolowertheprobabilityoffinancialdistressandbankruptcy.Riskmanagementpoliciesdesignedtoreducetheprobabilityofdebtoverhang.Well-designedcompensationstructureformanagersthatsetsincentivesformanagerstotakeappropriaterisks.Riskmanagementpoliciestoeliminateprojectswithhighvolatility.thefollowingistrueEXCEPT:AdisadvantageofAPTmodels,ingeneral,isthecurseofdimensionality,whichmeanskfactorsrequirestheidentificationofk*(k+1)/2values.Amulti-factorriskmodelislikelytoemployfewerfactorsthanamulti-factoralpha(i.e.,expectedreturn)model.APThasadvantagesinflexibilityoverCAPM:APTismoreflexible;doesnotrequirethatreturnsarenormallydistributed;andmerelyassumesinvestorsarerisk-averse.Thefactorsensitivities(betas)inAPTareequaltoCovariance(security'sreturn,factorriskpremium)/Variance(factorriskpremium).-Answer:AThecurseofdimensionalityisassociatedwiththecovariancematrix;butthereviewedAPT/multifactormodelsSOLVEthecursebyassumingfactorsareuncorrelated.InregardtoB,CandD,eachisTRUE.InregardtoD,thisisanalogoustoCAPM'sbeta.Insteadofresidual-basedinformationratio(IR),itisalsoacceptabletocomputeinformationratio(IR)basedonactivereturns.Thefollowingtabledisplaystwelve(12)monthsofreturnscomparingaportfolio(P)toitsbenchmark(B);thefinalcolumnshowsthedifferenceeachmonth:Port-Bench-Monthfolio(P)mark(B)(P?B)13.58%2.20%1.38%2460%450%-0.10%35.28%3.27%2.01%49.40%6.80%2.60%58.78%7.71%1.07%68.30%9.00%-0.70%7-4.60%-5.40%0.80%85.37%2.74%2.63%9-2.70%-2.86%0.16%107.76%6.49%1.27%11-2.80%-3.13%0.33%120.78%7.00%-6.22%Average2.88%2.44%0.44%STDEV.S()5.42%5.19%2.34%Thefinaltworowsshowtheaverageandsamplestandarddeviationofthemonthlyreturnstatistics.Whichisnearesttotheannualizedex-post(active-based)informationratio(IR)?A.0.404B.0.651C.0.950D.1.237.Answer:BAnnualizedexpost(activebased)1R=(Q.0044x12|)/(U023xJ12)=0.65137AnarbitragepricingmodelRPT)c愉racl^iz?或cesssecurityreturnsasalinearfunctionoftwoindexes,(1)&前I傕)、Inthisway%aSS^urity'sexcessreturninpercentageterms,ER(i),isgivenbyER(|)=R位一Rf|=a+b(l)?1(1)+b(2)?1(2),whereb(i)isthefactorserSitd第totheindex,l(i).WeoServethreesecuritiesthatfittheAPTmodel,然包的旗：Security1:點@)=a+2.0?b(l)+3.0?城2了=8.0Security2:ERQ)=a+4.0?b(l)+2.0?城2)=3.5Secu口ty31ER(pl)=a+HO-b(l)-2.0-b(2)=-5.5istheSpecificationOftherr?del?ER(i)=1.0+215?1(1)+3.0?1(2)ER(i)=2.0-1.5-1(1)+3<0-1(2)ER(i)=3.0+0.5?1X1)+0.5?1(2)ER(Q=4.0-3.0-1(1)-1.0-1(2).Answer:BWehavethreevariablesandthreeequations:a+2.0?b(1)+3.0?b(2)=8.0a+4.0?b(1)+2.5?b(2)=3.5a+1.0-b(1)-2.0-b(2)=-5.5Solvingtheseequationswecanget:l(1)=-1.5,l(2)=3,a=2.Sothemodelis:ER(i)=2.0-1.5?b(l)+3.0-b(2)SupposethatthreefactorshavebeenidentifiedfortheU.S.economy:Expectedinflationrate(IR)is+2.00%Expected10-yearTreasuryyield(T-NOTE)is2.40%Expectedgrowthinproductivity(PROD)is+3.00%Astockwithanexpectedreturnof9.0%hasthefollowingbetaswithrespecttothesefactors:@IR)=+1.50,@T?NOTE)=-1.20and@PROD)=0.70.InturnsoutthatMeconomy'sactualfactorperformanceisthegivenbythefollowingsetofresults:Actualinflationrate(IR)is+2.60%Actual10-yearTreasuryyield(T-NOTE)is3.00%Actualgrowthinproductivity(PROD)+2.00%Whatistherevisedestimateofthestock'sexpectedrateofreturn?8.480%9.000%9.250%10.375%Answer:ARevisedestimate=9.0%+[1.5-(2.6%-2.0%)]+[-1.20-(3.0%-2.4%)]+[0.70-(2.0%-3.0%)]=8.480%19Inasingle-factoreconomy,eachofthefollowingportfolios(A,B,andC)iswell-diversified:Riskfreerate3.0%Volatilityofmarketindex,a[M]30.0%PortfolioBetaE[R(i)]44)]A0.6012.0%10.0%B0.8015.0%25.0%C1.20???42.0%YoudiscoverthereisNOTanarbitragestrategyamongthesethreeportfolios.Inthiscase,whatshouldbetheexpectedreturnofPortfolio(C)?13.3%16.3%18.5%21.0%Answer:DAllthreeportfoliosmustlieonthesameSMLsuchthatPortfolioC'sTreynorratiomustbethesameastheothers.Treynor(PortfolioA)=(12.0%-3.0%)/0.60=0.15Tryenor(PortfolioB)=(15.0%-3.0%)/0.80=0.15Treynor(PortfolioC)=(R-3.0%)/1.20=0.15WecangetR=21%,whichmeansthereturnmustbe21.0%.20Considerbelowthemultifactor(APT)modelofsecurityreturnsforaparticularstock.Inadditiontofactorbetasandriskpremiums,twoofthefactorsexperience''surprises.'1Specifically,whileinterestrateschangeasexpected,actualinflationis+2.0%(comparedtoexpected+1.0%)andactualGDPgrowthis+1.5%(comparedtoRiskfreerate2.0%FactorRateofChangeRiskFactorBetaPremiumExpectedActualAinflation(Ai)0.802.0%1.0%2.0%Ainterestrates(Ar)(0.50)1.0%1.0%1.0%△GDP1.303.0%0.5%1.5%expected+0.5%):Whatistheexpectedrateofreturnonthesecurity?6.8%7.2%9.10%11.5%Answer:CE(r)=2.0%+0.80-2.0%-0.50-1.0%+1.303.0%=7.0Q%.Unexpectedreturn=0.80?(2.0-1.0%)-0.50：(1Q%-IQ%)+130/(1.5%-0.5%)=0.80%+1.30%=2J1?%RevisedE(r)=7.00%+2.10%=9.10%SallySmith,FRM,iscor?id?rtnga卷W&hitheth?停跪albasisofherriskmodelfromasimplesingle^feiGtoifcap閻a曼tpricing/1(CAPM)toamulti-factorarbitragepricingtheory(APT)model.T?herTOSIftager,sheclaimsthefollowingdifferencesbetweenthetw?mddle^Q.fherstatementsbelowiscorrectEXCEPTwh似his似?Comp厘3toonlyonectae?r(U.,marketindex)inthesimpleCAPM,theA歹modelwillbead與to崎瓢nize/nultiplesystematicriskfactors.WhitetheCAPMr卻ir潴amean-varianceefficientmarketportfolioandassumesWffiallydisMbifedreturns,APTrequiresneitherofthese@sBrrptio隱刪oi^hAPTdQsnotrequireseveraloftherestrictiveassumptionsofthe"fM,itiss幡ntonwheretolookforpricedsourcesofrisk.hcontrasttoth?SimpleCAPM,theAPTcannotincludethemarketindexasacomrtK).nfeCtof5,porcanitbeextendedovermultipleperiods.21,Answer:DBothcomponentsarefalse:APTcanincludethemarketportfolioasacommonfactor;andAPTcanbeextendedovermultipleperiodsInregardtoA,BandC,eachistrue.Considerthefollowingthreewell-diversifiedportfoliosthatexistinasingle-factoreconomy:Riskfreerate1.0%PortfolioE(「)BetaTOC\o"1-5"\h\zA9^0%160B7.0%1.10C4.0%0.60Isthereanarbitrageopportunity?No,allthreewell-diversifiedportfoliosplotonthesecuritymarketline.Yes,anarbitrageincludesbuyingportfolio(A)andsellingacombinationof(B)and(C).Yes,anarbitrageincludesbuyingportfolio(B)andsellingacombinationof(A)and(C).Yes,anarbitrageincludesbuyingportfolio(C)andsellingacombinationof(A)and(B)..Answer:CThereisnoarbitrageopportunityifallthreewell-diversifiedportfoliosplotonthesecuritymarketline(SML).ThiscanbetestedbycalculatingtheirrespectiveTreynorratios.Treynor(A)=(9.0%-1.0%)/1.60=0.050Treynor(B)=(7.0%-1.0%)/1.10=0.0545Treynor(C)=(4.0%-1.0%)/0.60=0.050Ourarbitrageistobuythe"cheap"PortfolioB(withthehigherTreynor)andsellthe"expensive”blendofPortfolios(A)and(C).Theefficientfrontierisdefinedbythesetofportfoliosthat,foreachvolatilitylevel,maximizestheexpectedreturn.Accordingtothecapitalassetpricingmodel(CAPM),whichofthefollowingstatementsarecorrectwithrespecttotheefficientfrontier?IThecapitalmarketlineisthestraightlineconnectingtherisk-freeassetwiththezerobetaminimumvarianceportfolio.IIThecapitalmarketlinealwayshasapositiveslopeanditssteepnessdependsonthemarketriskpremiumandthevolatilityofthemarketportfolio.IllThecompleteefficientfrontierwithoutarisk-freeassetcanbeobtainedbycombiningtheminimumvarianceportfolioandthemarketportfolio.IVTheefficientfrontierallowsdifferentindividualstohavedifferentportfoliosofriskyassetsbasedupontheirownriskaversionandforecastforassetreturns.VTheefficientfrontierassumesnotransactioncosts,notaxes,acommoninvestmenthorizonforallinvestors,andthatthereturndistributionhasnoskewness.II,IIIandVI,IIandIIII,IVandVII,IIIandIVAnswer:AWithinmodernportfoliotheory,theefficientfrontierisacombinationofassetsthathasthebestpossibleexpectedlevelofreturnforitslevelofrisk.Theefficientfrontieristhepositivelyslopedportionoftheopportunitysetthatoffersthehighestexpectedreturnforagivenrisklevel.Theefficientfrontierisatthetopofthefeasiblesetofportfoliocombinations.II,IIIandVarecorrectstatements.Thecapitalmarketlineconnectstherisk-freeassetandthemarketportfolio.Theefficientfrontierdoesallowinvestorstohavedifferentriskaversions,butassumesthattheyallhavethesameforecastforassetreturns.24AllofthefollowingareassumptionsoftheCapitalAssetPricingModelexcept:Eachinvestorseekstomaximizetheexpectedutilityofwealthattheendofthatinvestor'shorizon.Investorscanborrowandlendatthesamerisk-freerate.Investorshavethesameexpectationsconcerningreturns.Thetimehorizonsofinvestorsarenormallydistributed.Answer:DTheCAPMassumesthatinvestorsallhavethesamehorizon(aswellasexpectations).Thismeansthatthedistributionofthehorizonsisnotnormalbecausenormalityimpliesabell-shapedcurvedistribution,whichwouldhaveapositivevarianceand,hence,dispersion.PatriciaFranklinmakesbuyandsellstockrecommendationsusingthecapitalassetpricingmodel.FranklinhasderivedthefollowinginformationforthebroadmarketandforthestockoftheCostSaveCompany(CS):Expectedmarketriskpremium8%Risk-freerate5%HistoricalbetaforCostSave1.50Franklinbelievesthathistoricalbetasdonotprovidegoodforecastsoffuturebeta,andthereforeusesthefollowingformulatoforecastbeta:forecastedbeta=0.80+0.20xhistoricalbetaAfterconductingathoroughexaminationofmarkettrendsandtheCSfinancialstatements,FranklinpredictsthattheCSreturnwillequal10%.FranklinshouldderivethefollowingrequiredreturnforCSalongwiththefollowingvaluationdecision(undervaluedorovervalued):ValuationCAPMreciuiredreturnovervalued8.3%overvalued13.8%undervalued8.3%undervalued13.8%Answer:BTheCAPMequationis:E(R)=Rf+[E(Rm)-Rf]

FranklinforecaststhebetaforCostSaveasfollows:betaforecast=0.80+0.20xhistoricalbeta=0.80+0.20x1.50=1.10TheCAPMrequiredreturnforCostSaveCompanyis:0.05+1.1x(0.08)=13.8%Notethatthemarketpremium,E(RM)-Rf,isprovidedinthequestion(8%).FranklinshoulddecidethatthestockisovervaluedbecausesheforecaststhattheCostSavereturnwillequalonly10%,whereastherequiredreturn(minimumacceptablereturn)is13.8%.26Supposethatthecorrelationofthereturnofaportfoliowiththereturnofitsbenchmarkis0.8,thevolatilityofthereturnoftheportfoliois5%,andthevolatilityofthereturnofthebenchmarkis4%.Whatisthebetaoftheportfolio?A.1.00B.0.80C.0.64D.-1.00Answer:AA.1.00B.0.80C.0.64D.-1.00Thefollowingequationisusedtocalculatebeta:px也=O.S2cl05=1.00c「b0.0427Themarketportfolio(M)containstheoptimalallocationofonlyriskyassetsandnoriskyassets.LettheSibetheSharperatioofthismarketportfolio.Thereexistsarisk-freeasset.Initially,aninvestorisfully(100%)investedinMwithaportfolioSharperatioofSi.Subsequently,theinvestorborrows30%attherisk-freerate,suchthatsheis130%investedinthemarketportfolio(M)wherethisleverageportfoliohasaSharperatioofS2.Aftertheleverage(i.e.,borrowingattherisk-freeratetoinvest+30%inM,istheinvestorstillontheefficientfrontierandhowdotheSharperatios?A.No(nolongerefficient),andS2<Si.No,butS2=Si.Yes(stillefficient),butS2<Si.Yes,andS2=Si.Answer:DTheabilitytoborrowingorlendmorphstheconcave/convexefficientfrontierintothelinearCML;i.e.,theleveragedportfolioisefficientwithhigherriskandhigherreturn.AllportfoliosontheCMLhavethesameSharperatio:theslopeoftheCML.28AnanalystisestimatingthesensitivityofthereturnofstockAtodifferentmacroeconomicfactors.Hepreparesthefollowingestimatesforthefactorbetas:^^idustrialproduction=1?3^^iterestrate="0.75Underbaselineexpectations,withindustrialproductiongrowthof3%andaninterestrateof1.5%,theexpectedreturnforStockAisestimatedtobe5%.Theeconomicresearchdepartmentisforecastinganaccelerationofeconomicactivityforthefollowingyear,withindustrialproductionforecasttogrow4.2%andinterestratesincreasing25basispointsto1.75%.WhatreturnofStockAcanbeexpectedfornextyearaccordingtothisforecast?4.8%6.4%6.8%7.8%Answer:BTheexpectedreturnforStockAequalstheexpectedreturnforthestockunderthebaselinescenario,plustheimpactof“shocks"，orexcessreturnsof,bothfactors.Sincethebaselinescenarioincorporates3%industrialproductiongrowthanda1.5%interestrate,the“shocks"are1.2%fortheGDPfactorand0.25%fortheinterestratefactor.Thereforetheexpectedreturnforthenewscenario=Baselinescenarioexpectedreturn+^>dustriaiproductionxIndustrialproductionshock+^fterestratexInterestrateshock=5%+(1.3x1.2%)+(-0.75x0.25%)=6.37%29Assumetheslopeofthesecuritymarketline(SML)is0.060whiletherisk-freerateisAnswer:DThefirstthreeareexamplesofwhereriskmanagementcanincreasefirmvalue.Thelastoneisinvalidbecauseeliminateprojectswithhighvolatilitymayeliminateprojectswithextremelyhighpayoffs.3Whichofthefollowingstatementsregardingriskandriskmanagementiscorrect?Riskmanagementismoreconcernedwithunexpectedlossesversusexpectedlosses.Thereisarelationshipbetweentheamountofrisktakenandthesizeofthepotentialloss.Thefinalstepoftheriskmanagementprocessinvolvesdevelopingariskmitigationstrategy.Ifexecutedproperly,theriskmanagementprocessmayallowforriskeliminationwithinaneconomy.Answer:ARiskmanagementismoreconcernedwiththevariabilityoflosses,especiallyonesthatcouldrisetounexpectedlyhighlevelsoronesthatsuddenlyoccurthatwerenotanticipated(unexpectedlosses).Whichofthefollowingstatementsregardingtheroleofthefirm'sauditcommitteeismostaccurate?Atleastonememberoftheauditcommitteemustpossesssufficientfinancialknowledge.Theauditcommitteemayconsistofsomemembersofthemanagementteam.Theauditcommitteeisonlyresponsiblefortheaccuracyofthefinancialstatements.Theauditcommitteeismeanttoworkdependentlywithmanagement.

2.0%.WhatistheTreynormeasureofasecuritywithanalphaof2.40%andbetaof0.30?0.1400.2800.5601.12029.Answer:ATheslopeoftheSMListhemarket'sexce於儂gsuchthttheExcessreturnis0.060x0.30+2.40%=4.20%Thesecurity'sTreynormeasureisth^dfoi?4.20%f|I30=0.140ThereisonethingweneedtoattertiOntoH?籍wecaPnct/jseSMLformulatocalculatetheexpectedreturnofthesecurityb?cau潴theTreynorratiorequirestheactualreturnofthesecurity.30Aportfoliowithaofh或aTreyr?<fmeasureof0.080.Theportfoliohasacorrelationof0^50withthemarketwhichitselfhasavolatilityof20.0%.Whatistheportfol^ShaP?m或tsui??0.0950迎Q致Q475?0.50=0.750TR=E(Rp)-今E(RpTR=E(Rp)-今E(Rp)-Rf=0.75x0.08=0.06SR=0.06/30.0%=0.2031Assumethemarketindexreturnis8.0%whiletherisk-freerateis3.0%.Aportfoliowithavolatilityof12.0%hasaSharpemeasureof0.50andaTreynormeasureof0.20.Whatistheportfolio'salpha?-2.79%1.16%3.83%4.50%31.Answer:DTheportfolio'sexcessreturn=Sharperatioxvolatility=0.50x12%=6.0%Itsbeta=(excessreturn)/Treynorratio=6.0%/0.20=0.30Portfolioalpha=(portfolio^excessreturn)-beta*(marketpremium)=6.0%-0.30x5.0%=4.5%32Considerthefollowingalready-annualizedstatisticsforportfolio(P):Risk-freerate=2.00%Realizedportfolio(P)return(average)=9.50%Portfolio(P)excessreturn=9.50%-2.00%=7.50%Standarddeviationofportfolio(P)returns=14.70%Minimumacceptablereturn(MAR)=6.00%Downsidedeviationofportfolio(P)returns=5.60%Whicharenearest,respectively,totheSharpemeasureandSortinoratio?A.0.280(Sharpe)and0.100(Sortino)B.0.350(Sharpe)and0.433(Sortino)C.0.510(Sharpe)and0.625(Sortino)D.0.740(Sharpe)and1.290(Sortino)Answer:CSharperatio=0.0750/0.1470=0.510SortinoRatio=(9.50%-6.00%)/5.60%=0.625033Ifaportfolio'svolatility(i.e.,annualizedstandarddeviation)was24%,whatisthetrackingerror(TE)ifthebenchmarkiscashwithaconstantreturnof2%andnovolatility?Lessthan24%24%Greaterthan24%NeedmoreinformationAnswer:BVAR(A-B)=VAR(A)+VAR(B)-2c0V(A,B),andifVAR(B)=0,thenVAR(A-B)=VAR(A)+0-0=VAR(A)34DonaldsonCapitalManagement,aregionalmoneymanagementfirm,managesnearly$400millionallocatedamongthreeinvestmentmanagers.Allportfolioshavethesameobjective,whichistoproducesuperiorrisk-adjustedreturns(bybeatingthemarket)fortheirclients.Youhavebeenhiredasaconsultanttomeasuretheperformanceoftheportfoliomanagers.Youhavecollectedthefollowinginformationbasedonthelasttenyearsofreturns.PortfolioManagerMeanAnnualizedRateofReturnBetaStandardDeviationofReturna0.181.350.24b0.211.950.25c2Duringthesametimeperiodtheaverageannualrateofreturnonthemarketportfoliowas13%withastandarddeviationof19%.Inordertoassesstheportfolioperformanceoftheabovemanagers,youshoulduse:TheTreynormeasureofperformanceTheSharpemeasureofperformanceTheJensenmeasureofperformanceTheSortinomeasureofperformanceAnswer:BTheTreynormeasureismostappropriateforcomparingwell-diversifiedportfolios.Thatis,theTreynormeasureisthebesttocomparetheexcessreturnsperunitofsystematicriskearnedbyportfoliomanagers,providedallportfoliosarewell-diversified.AllthreeportfoliosmanagedbyDonaldsonCapitalManagementareclearlylessdiversifiedthanthemarketportfolio.Standarddeviationofreturnsforeachofthethreeportfoliosishigherthanthestandarddeviationofthemarketportfolio,reflectingalowlevelofdiversification.Jensen'salphaisthemostappropriatemeasureforcomparingportfoliosthathavethesamebeta.TheSharpemeasurecanbeappliedtoallportfoliosbecauseitusestotalriskanditismorewidelyusedthantheothertwomeasures.Also,theSharperatioevaluatestheportfolioperformancebasedonrealizedreturnsanddiversification.Aless-diversifiedportfoliowillhavehighertotalriskandviceversa.35Ahighnetworthinvestorismonitoringtheperformanceofanindextrackingfundinwhichshehasinvested.Theperformancefiguresofthefundandthebenchmarkportfolioaresummarizedinthetablebelow:YearBenchmarkReturnFundReturn20059.00%1.00%20067.00%3.00%20077.00%5.00%20085.00%4.00%20092.00%1.50%Whatisthetrackingerrorvolatilityofthefundoverthisperiod?A.0.09%1.10%3.05%4.09%Answer:CRelativeriskmeasuresriskrelativetoabenchmarkin承,和imeas^Sitintermsoftrackingerrorordeviationfromtheindex.Weneedtocalculatethestandarddeviationofthe妻r(nóng)?S:{008,O'.04,0.02,0.0%0.005}Performthecalculationbycomputingthed艇r邢eofeachddiaPointfromthemean,squaretheresultofeach,taketheaverseoftW潴vaUeaaMl由例tlkQthsquareroot.Thisisequalto3.04%.36Timisevaluating4fundslUnby4ind單erlddfUrlativetoabenchmarkportfoliothathasan啜urn?f74%andvolatilityof14%.HeisinterestedininvestinginthefundwiththeratiothatalsomeetsthefollowingconditionsinhisiWe如3tgMfeli隱IExpectedred^UKIrdtifnmustbe或tIIResidueHtfekfe撕餌tothebdHiChmaifkportfoliomustbelessthan2.5%.Basedon0efolfewir@whiichfundshouldhechoose?FundExpandRdumVoidtMtyResidualRiskInformationRatioAOU像③％0.8B16.4%2.4%0.9CT5.8%1.5%1.3D94%1.8%FundAFWfMBFundCFundDAnswer:DExpectedresidualreturn=rp-fbInformationratio=(rp-rs)/residualriskExpectedresidualreturnA=9.3%-7.4%=1.9%ExpectedresidualreturnB=0.9x2.4%=2.16%Expectedresidualreturnc=1.3x1.5%=1.95%Expectedresidualreturno=9.4%-7.4%=2%Informationration=2%/1.8%=1.137Astack-and-rollhedgeasdescribedintheMetallgesellschaftcaseisbestdescribedas:Buyingfuturescontractsofdifferentexpirationsandallowingthemtoexpireinsequence.Buyingfuturescontractsofdifferentexpirationsandclosingoutthepositionshortlybeforeexpiration.Usingshort-termfuturestohedgealong-termriskexposurebyreplacingthemwithlonger-termcontractsshortlybeforetheyexpire.Usingshort-termfuturescontractswithalargernotionalvaluethanthelong-termrisktheyaremeanttohedge.Answer:CAstackisabundleoffuturescontractswiththesameexpiration.Overtime,afirmmayacquirestackswithvariousexpirydates.Tohedgealong-termriskexposure,afirmwouldcloseouteachstackasitapproachesexpiryandenterintoacontractwithamoredistantdelivery,knownasaroll.Thisstrategyiscalledastack-and-rollhedgeandisdesignedtohedgelong-termriskexposureswithshort-termcontracts.38Basedontheassignedreading,whatwasarguablythelargestsinglefailurebythemanagementofBarings?Theydidnotimplementpositionlimitsforallpossibleinstruments.TheyallowedLeesontobebothchieftraderandheadofsettlements.Positionsshouldhaverequireddailycashsettlement(marginwouldhaveexposedthelosses).Theydidnothireaconsultanttoimplementtrainingtobuildriskawarenessandpromoteariskculture.Answer:BThemostegregiousviolationwasthatLeesonwasallowedtosimultaneously,effectivelymanageboththefrontandbackoffices.39Whichofthefollowingstatementsaboutasset-backedsecurities(ABSs)isleastaccurate?ThewaterfallstructureofanABSaltersthepriorityofprincipalandinterestcashflows.Thehighestexpectedreturn,lowest-risktrancheistheseniortranche.A5%overcollateralizationindicatesthatforevery$100inanABScreated,$105inunderlyingmortgagesisrequired.ThetotalcashflowoftheunderlyingmortgagesandthetotalcashflowoftheABSarealmostthesame.Answer:BTheseniortrancheisthelowest-risktranchebutalsoisthelowestexpectedreturntranche(theequitytranchehasthehighestriskbutoffersthehighestexpectedreturn).Allotherstatementsareaccurate.40JeffreyGibson,abanksupervisorwithanationalregulatoryagency,hasrequestedaspartofabankexaminationthatStarBank,aglobalsystemicallyimportantbank(G-SIB),improveitsaggregationandreportingofriskdata.StarBankhasexperiencedsignificantlossesresultingfrommultiplecauses,rangingfrompoorlendingdecisionstobaddecisionsregardingtheuseofderivatives.Thebankisnowundercapitalizedbecauseoflosses.GibsonrefersStarBank'sriskmanagerstotheBaselCommittee'srecommendationsforeffectiveriskdataaggregation.Heinformsriskcommitteemembersandseniormanagementthatoneofthepotentialdirectbenefitsofeffectiveriskdataaggregation,particularlyinlightofStarBank'scurrenttroubles,isincreasedbankefficiency.moreeffectiveITinfrastructure.improvedresolvabilityofbankproblems.aclearerdefinitionofthebank'sriskappetite.Answer:CThereareseveralbenefitsthataccruetobanksthathaveeffectiveriskdataaggregationandreportingsystemsinplace.Thesebenefitsincludeanincreasedabilitytoanticipateproblems.Also,intimesofseverefinancialstress,effectiveriskdataaggregationenhancesabank'sabilitytoidentifyalternativeroutestorestorefinancialhealth.Regulatoryauthoritiesshouldhaveaccesstoaggregatedriskdatatoresolveissuesrelatedtobankhealthandviability.Thisaidsregulatorsinresolvingproblemsintheeventoffinancialstress.Bystrengtheningabank'sriskfunction,thebankisbetterabletomakestrategicdecisions,increaseefficiency,reducetheprobabilityoflossandultimatelyincreaseprofitability.Inthiscase,thebankappearstobeinfinancialstress,sothemostrelevantbenefitisimprovedresolvability.Answer:BTheauditcommitteeconsistsprimarilyofnon-managementmembersbuttheremaybesomemanagementmembers.(e.g.,chieffinancialofficer).TheauditcommitteecouldworkwithmanagementmembersbutshouldkeepindependentWh.them.5AboardofdirectorsisevaluatingtheimplementationofanewERMPre辨'amlitanassetmanagementcompany.Whichstaterr?otb?towisdansStentadfOSsthevariouscurrentdefinitionsofanERMprogramandmostappropriatetobei陽Udedinthecompany'sERMdefinitionandgoals?TheERMprogramshouldreductcod?bytransferorinsuringmostofthecompany'smajorriskexposure.Themajorgoalofthenew由M卷隱Ibetoi^cMGeearningsvolatility.TheERMprogramshou@bemana第dfOmthoperationalsideofthecompany.TheERMprogramShoJcIprovide3tnCte鮮儂⑤trdtegytomanageriskacrossthecompanyas/awhete.Answer:DAneffectiveERMpfogramShouldbeintegratedatseverallevels,acrossthe