FRM-201905-P1-沖刺模擬考（題目+答案）

高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。FRM-201905-P1-沖刺模擬考1.Abank’sriskcommitteeisreviewingthebank’smostsignificantlosseventsandcategorizingeacheventintospecificriskcategories.oneamodeloperatorinputthewrongpriceforasecurityintoalgorithmusedfortrading,whichthencausedthealgorithmtobuyinsteadofsellthesecurity.Thissituationwouldbeexampleof:Marketrisk.Operationalrisk.C.Strategicrisk.Liquidityrisk.2.preparationforabriefingtotheboardofdirectors,theCROconsidersspecificexplanationstowhycertainrisksshouldbehedged.Whichofthefollowingwouldbeaccurateexplanationoftheimpactofhedgingriskexposuresonshareholderwealth?Hedgingincreasesthevariabilityofthefirm’sprofits,makingthefirmamoreattractiveinvestmentforstakeholders.Hedgingreducesafirm’sexpectedcostsoffinancialdistress.C.Hedgingdosenotincreaseshareholderwealthbecauseshareholdershavediversifiedportfolios.Hedgingwithderivativesreducesthecomplianceandoperationalcostsofthefirm.3.Theboardofdirectorsakeyroleintheprocessofcreatingastrongcultureofriskmanagementorganization.ofthisrole,onefunctionthatshouldbefulfilledbytheboardofdirectorsisto:-1-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。Monitortheeffectivenessofthecompany’sgovernancepracticesandmakechanges,ifnecessary,toensurepropercompliance.Ensurethattheinterestsofthecompany’sstakeholdersprioritizedaboveitsexecutives’interestsinordertomaximizethepotentialreturnoninvestment.C.Addressissuesthatcouldpotentiallyrepresentaconflictofinterestbyassigningcommitteescomposedexclusivelyofexecutiveboardmembers.Establishapolicytoaddressindividualriskfactorsbyeitherreducing,hedging,oravoidingexposuretoeachrisk.4.AboardofdirectorsisevaluatingtheimplementationofanewERMprogramassetmanagementWhichstatementbelowisconsistentacrossthevariouscurrentdefinitionsofERMprogramandmostappropriatetobeincludedinthecompany'sERMdefinitionandgoals?TheERMprogramshouldreducecostsbytransferringorinsuringmostofthecompany’smajorriskexposures.ThemajorgoalofthenewERMprogramshouldbetoreduceearningsC.TheERMprogramshouldbemanagedseparatelyfromtheoperationalsideoftheTheERMprogramshouldprovideintegratedstrategytomanageriskacrossthecompanyawhole.5.TheboardofdirectorsalargebankisconsideringcreatingaCROposition.WhichofthefollowingwouldbeappropriatedescriptionofafunctionoftheCROposition?Developriskmanagementpoliciesandcommunicatethecompany’sriskprofiletokeystakeholders.-2-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。Performtestsandscenarioanalysestotestassumptionsinthebank’sriskmodels.C.Independentlyapprovechangesinthebank’srisktoleranceanditsriskappetiteframework.Establishandexecuterisktransferstrategiesonaday-to-daybasis.6.Whichofthefollowingmethodswillgenerallybeeffectiveinreducingthelikelihoodthatfirmisexposedto“hiddenrisks”?Reducingtheflexibilitywhentradershavetorespondtomarketevents.Creatingacultureofriskawarenessthroughouttheorganization.Structuringcompensationtobewiththeriskappetiteofthefirm.Investingheavilyinquantitativeriskmodels.IonlyonlyC.andonlyandonly7.characterizingvariousdimensionsofabank'sdata,theBaselCommitteehassuggestedseveralprinciplestopromotestrongandeffectiveriskdataaggregationcapabilities.Whichstatementcorrectlydescribesarecommendationwhichthebankshouldfollowinaccordancewiththegivenprinciple?Theintegrityprinciplerecommendsthatdataaggregationshouldbecompletelyautomatedwithoutanymanualintervention.Thecompletenessprinciplerecommendsthatafinancialinstitutionshouldcapturedataonitsentireuniverseofmaterialriskexposures.-3-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。C.Theadaptabilityprinciplerecommendsthatabankshouldfrequentlyupdateitsriskreportingsystemstoincorporatechangesinbestpractices.Theaccuracyprinciplerecommendsthattheriskdatabereconciledwithmanagement'sestimatesofriskexposurepriortoaggregation.8.analystisconsideringinvestmentinstockandhasgatheredthefollowinginformation:theanalystbelievesisfairlyvaluedaccordingtotheCAPM.Expectedreturnof8.00%2.50%14.75%13.50%0.76Risk-freerateStandarddeviationofreturnsStandarddeviationofmarketreturnsCorrelationofreturnandmarketreturnsBasedonthisinformation,whatistheexpectedreturnofthemarketportfolio?9.12%10.43%C.12.19%15.12%9.Whichofthefollowingstatementsconcerningthecapitalassetpricingmodel(CAPM)andthecapitalmarketlineiscorrect?identifiestheappropriatelevelofriskforwhichinvestorshouldbecompensated.Unsystematicriskisnotdiversifiable,sothereisnorewardfortakingonsuchrisk.C.Assetswithequivalentbetaswillearndifferentreturns.-4-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。Themarketriskpremiumiscalculatedbymultiplyingbetabythedifferencebetweentheexpectedreturnonthemarketandtherisk-freerateofreturn.10.Whichofthefollowingstatementsaboutportfolioriskanddiversificationisleastaccurate?Notallriskisdiversifiable.Unsystematicriskbesubstantiallyreducedbydiversification.C.Systematicriskbeeliminatedbyholdingsecuritiesinawell-diversifiedinternationalstockportfolio.Noneofabove.portfoliosthathavetheexactsameexpectedreturnandsamebenchmarkindex.comparingthesetwoportfolios,whichofthefollowingstatementsaboutperformancemeasuresiscorrect?TheportfoliowiththehigherbetawillhavethehigherTreynorratio.Jensen’salphaisparticularlywell-suitedforcomparingportfolioswithdifferentlevelsofrisk.C.TheportfoliowiththehighervolatilitywillhavethehigherSharperatiobutthelowerTreynorratio.ThereisexactlinearrelationshipbetweentheTreynorratioandJensen’salphaforeachportfolio.-5-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。12.Abank’sinvestmentanalystispreparingtovalueseveralequitiesinthebank’sportfolioandiscomparingdifferenttheoriesrelatedtothediscountratethatshouldbeappliedtoequityflows.Whichofthefollowingstatementsiscorrectwithrespecttothearbitragepricingtheory(APT)?WhenAPTfactorbetaispositive,increaseintheriskpremiumwillleadtoadecreaseintheasset’sexpectedreturn.TheAPTassumesallcompanyspecificrisksbecompletelydiversifiedinaportfolio.C.APTmodel,thefactorbetasforthemarketportfoliotypicallyequalto1.TheAPTassumesthatallinvestorsholdmean-varianceefficientportfoliosandwillmakesmallportfoliochangeswhenamispricedsecurityexists.13.Ariskanalystisestimatingthesensitivityofastock’sexpectedreturntodifferentmacroeconomicscenariosusingarbitragepricingtheoryframework.Theanalystderivesthefollowingestimatesforthefactorsbetas:β(industrialProduction)=0.75,β(interestRate)=-1.25Underbaselineexpectations,withindustrialproductiongrowthof3.0%andinterestrateof2.5%,theexpectedreturnforthestockisestimatedtobe4.0%.Underwhichofthefollowingscenarioswillthestockhavethelowestexpectedreturn?Industrialproductiongrowthof6.0%andinterestrateof3.0%Industrialproductiongrowthof-2.0%andinterestrateof1.0%C.Industrialproductiongrowthof4.0%andinterestrateof5.0%Industrialproductiongrowthof1.0%andinterestrateof2.0%-6-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。14.Aportfoliomanagerreturns10%withavolatilityof20%.Thebenchmarkreturns8%withavolatilityof14%.Thecorrelationbetweenthetwois0.98.Therisk-freerateis3%.Whichofthefollowingstatementsiscorrect?TheportfoliohashigherSRthanthebenchmarkTheportfoliohasnegativeC.Theis0.35Theis0.2915.Studyingpreviousfinancialdisastersprovideslessonslearnedthathelpimproveprocessesandcontrolsinordertohelppreventfuturedisasters.Whichofthefollowingstudiescorrectlyidentifiesalessonlearnedfromthefinancialdisaster?TheMetallgesellschaftshowsthenecessityofproceduresthatmayleadtothedetectionoffictitioustradeentries.TheSocieteGeneralehighlightstheimportanceofcorrectlymeasuringthecorrelationbetweenlargepositions.C.TheBaringsdemonstrateswhyfirmsshouldrestricttheuseofleverageintradingDerivatives.TheLong-TermCapitalManagementshowstheimportanceoftakingintoaccountthatcorrelationsincreasesharplyduringcrises.16.Pastfinancialdisastershaveresultedwhenafirmallowsatradertohavedualrolesboththeoftradingandtheoftheback-officesupportfunction.Whichofthefollowingstudiesdidnotinvolvethisparticularoperationalriskoversight?AlliedIrishBank.-7-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。Barings.IC.BothandNeithernor17.Ariskconsultantisreviewingtheroleofregulatoryarbitrageinthe2007creditcrisistobetterunderstandthelessonslearnedaresultofthecrisis.Whichofthefollowingbestdescribeshowregulatoryarbitragetookplaceinthemortgagesecuritizationmarket?Bankssecuritizedmortgagesandtheninvestedintranchesofthesetogetamorefavorabletreatmentforcapitalpurposes.Mortgageoriginatorsrequiredtopurchaseaportionofequitytranches,whichthenofferedinthesecondarymarket.C.PensionfundswhichinvestedinmortgagesecuritiesrequiredtoholdonlysecuritiesBBBandabove.Mortgageoriginatorsencouragedtoadjustableratemortgagestosubprimeborrowerswithinitiallow“teaser”rates.18.BasedontheriskassessmentoftheCRO,CEOdecidedtomakeainvestmentinaleveredportfolioofCDOs.TheCROhadestimatedthattheportfoliohada1%chanceoflosing$1billionormoreoveronealossthatwouldmakethebankinsolvent.theendofthefirsttheportfoliohaslost$2billionandthebankclosedbyregulators.Whichofthefollowingstatementsiscorrect?-8-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。Theoutcomedemonstratesariskmanagementfailurebecausethebankdidnoteliminatethepossibilityoffinancialdistress.Theoutcomedemonstratesariskmanagementfailurebecausethefactthatextremelyunlikelyoutcomeoccurred.C.TheoutcomedemonstratesariskmanagementfailurebecausetheCROfailedtotoregulatorstostoptheshutdown.ontheinformationprovided,onecannotdeterminewhetheritariskmanagementfailure.19.CreditriskanalystsinvestmentbankpreparingareportonaAfterconcludingtheirresearch,theyestimatea60%probabilitythatthecompanywillhaveitscreditratingdowngradedwithinonebyamajorincludinginthereport,whichofthefollowingwouldbeaviolationoftheGARPcodeofConduct?Adiscussionofapossibletradeinthedebtoftwocompetingfirmsthatcouldpotentiallybeacquiredbytheanalysisoftradinginthecompany’sdebtbyitsmajorbondholders.C.Astatementthatthecompany’sdebtisalmostcertaintobedowngraded.Avaluationmatrixprojectingseveralpotentialvaluationsforthecompany’sdebtbasedonpotentialcreditratingstheendofoneyear.20.Hatfieldhashisownmoneymanagementfirmwithtwoclients.Theaccountsofthetwoclientsequalinvalue.isHatfield'sopinionthatinterestwillfallinthefuture.Baseduponthis,Hatfieldbeginsincreasingthebondallocationofeachportfolio.ordertocomplywithBestPracticesintheGARPCodeofConduct,theanalystneedsto:-9-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。informtheclientsofthechangeandtellthemitisbaseduponopinionandnotafact.makesurethatthechangeisidenticalforbothclients.C.fileareportwiththeSECofthenewportfolioallocation.allofthesefunctions.21.AfirmisconcernedaboutpotentialincreasesinthefederalfundsrateandtheirimpactontheS&P500.a3-monthforecastperiod,theeconomicsteamestimatesthefollowing:·60%probabilitythattheFederalReservewillnotraisethefederalfunds·32%probabilitythatthereturnontheS&P500willbebetween-10%and+10%.·38%thatthereturnontheS&P500willbelessthan-10%.·24%jointprobabilitythatthereturnontheS&P500willbegreaterthan10%andthattheFederalReservewillnotraisethefederalfundsBasedontheestimatesabove,giventhattheFederalReserveraisesthefederalfundswhatistheprobabilitythatthereturnontheS&P500isgreaterthan10%?10%15%C.20%40%22.analystistryingtodeterminethequalityofapoolofloansusingdefaultdata.Theanalystknowsthatofallpools,10%LowRisk,70%Risk.month,thereisa90%probabilitythataLowRiskpoolhasnodefaults,80%thatRiskpoolhasnodefaultsanda70%thataRiskpoolhasnodefaults.inonemonththepoolcheckedbytheanalystdidhavedefaults,whatistheprobabilitythatthispooliseitherLowRiskor-10-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。Risk?28.57%33.33%C.66.67%71.43%23.economicanalystcalculatedtheprobabilitiesofthreepossiblestatesfortheeconomynextyear:growth,normal,andrecession.Abankanalysthasestimatedthepossiblereturnsontwostocks,Aandineachofthethreescenariosshowninthefollowingtable:StateProbabilityReturnofStockAReturnofStockBGrowthNormal0.200.600.300.10-0-0.10Recession0.20GiventhatthestandarddeviationoftheestimatedreturnsonstocksAandB16.0%and9.8%,whatisthecovarianceoftheestimatedreturnsonstocksAand-0.0187-0.0156C.0.01560.017824.analystisconcernedwiththesymmetryandpeakednessofadistributionofreturnsoveraperiodoftimeforacompanysheisexamining.Shedoessomecalculationsandfindsthatthemedianreturnis4.2%,themeanreturnis4.8%,andthemodereturnis3.7%.Shealsofindsthatthemeasureofkurtosisis2.Basedonthisinformation,thecorrectcharacterizationofthe-11-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。distributionofreturnsovertimeis:SkewnessPositivePositiveC.NegativeNegativeKurtosisLeptokurticPlatykurticPlatykurticLeptokurtic25.Acreditanalystaportfolioof10bondsthatallcurrentlyinvestmentgrade.Underthecompany'sportfolioinvestmentguidelines,nomorethantwobondsintheportfoliomaybenon-investmentTheanalysthasestimatedthatbondhasa20%probabilityofbeingdowngradedtonon-investmentgradeoverthefollowingandeachdowngradeisindependentofotherdowngrades.Whatistheestimatedprobabilitythatmorethantwobondsintheportfoliowillbenon-investmentgradetheendofnextyear?32.2%37.6%C.62.3%67.8%26.analystislookingtocombinetwostockswithannualreturnsthatjointlynormallydistributedanduncorrelated.StockAhasameanreturnof7%andastandarddeviationofreturnsof20%;StockBhasameanreturnof12%andastandarddeviationofreturnsof15%.theanalystcombinesthestocksintoequallyweightedportfolio,whatistheprobabilitythattheportfolioreturnoverthenextwillbegreaterthan12%?Z00.01-12-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。0.52980.57930.61790.54380.58320.621742.07%44.32%C.55.67%57.93%27.QuantitativeanalystusedasimulationtoforecasttheS&P500indexvaluetheendofthewithindexvalueof1800thebeginningofthegenerated200scenariosandcalculatedtheaverageindexvaluetobe1980,witha95%confidenceintervalof(1940,2020).ordertoimprovetheaccuracyoftheforecast,thequantitativeanalystincreasedthenumberofscenariostoattainanew95%confidenceintervalof(1970,1990)withthesamesamplemeanandthesamesamplestandarddeviation.Howmanyscenariosusedtogeneratethisresult?400800C.1,6003,20028.ColleaguesBenjaminEckoandBernardCharlesrecentlydiscussedtheapplicationofthenormaldistributionforrandomvariables.Eckoclaimedthatthez-statisticmeasuresthedistance,instandarddeviationunits,thatagivenobservationisfromthepopulationmean.Charlesclaimedthatthereisa95%thatthez-statisticliesabovenegative1.96.RegardingthestatementsofEckoandCharles:-13-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。Eckoiscorrect;Charlesiscorrect.Eckoiscorrect;Charlesisincorrect.C.Eckoisincorrect;Charlesiscorrect.Eckoisincorrect;Charlesisincorrect.29.HedgeFundhasinexistencefortwoyears.Itsaveragemonthlyreturnhas6%withastandarddeviationof5%.HedgeFundhasastatedobjectiveofcontrollingvolatilitymeasuredbythestandarddeviationofmonthlyreturns.askedtotestthenullhypothesisthatthevolatilityofHedgemonthlyreturnisequalto4%versusthealternativehypothesisthatthevolatilityisgreaterthan4%.Assumingthatallmonthlyreturnsindependentlyandidenticallynormallydistributed,andusingthetablesWhatisthecorrecttesttobeusedandwhatisthecorrectconclusionthe2.5%levelofsignificance?tInverseoftheone-tailedprobabilityofthet-distribution222324One-tailedProbability=5.0%One-tailedProbability=2.5%1.7171.7142.0742.0692.064Chi-SquareInverseoftheone-tailedprobabilityoftheChi-Squaredistribution222324One-tailedProbability=5.0%One-tailedProbability=2.5%33.924435.172536.415136.780738.075739.3641t-test;rejectthenullhypothesisChi-squaretest;thenullhypothesis-14-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。C.t-test;donotthenullhypothesisChi-squaretest;donotrejectthenullhypothesis30.Whentestingahypothesis,whichofthefollowingstatementsiscorrectwhenthelevelofsignificanceofthetestisdecreased?Thelikelihoodofrejectingthenullhypothesiswhenitistruedecreases.ThelikelihoodofmakingaIincreasesC.ThenullhypothesisisrejectedmorewhenitisactuallyfalseThelikelihoodofmakingadecreases31.Aportfoliomanagerisinterestedinthesystematicriskofastockportfolio,soheestimatesthelinearregression:RRRRttFPtFRPtisthereturnoftheportfoliotimet,RMtisthereturnofthemarketportfoliotimet,andRFistherisk-freewhichisconstantovertime.Supposethatα=0.008,β=0.977,σ=0.167andσ=0.156,Whatistheapproximatecoefficientofdeterminationinthisregression?0.9130.834C.0.9770.955-15-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。32.Ariskanalystisworkingoncreatingaregressionmodeltoforecastdefaultswithinaportfolioofresidentialmortgages.AfterestimatingaregressionwithasingleasecondregressoraddedandtheR2forthemodelincreased.TheincreaseinR2indicatesthat:Thenewregressorisastatisticallysignificantpredictorvariable.ThenewregressorisabetterindicatorofvarianceinmortgagedefaultsthanthefirstC.Theestimatedcoefficientonthesecondregressorisfromzero.Thereisnoomittedvariablebiasinthismodelwhenincludingthesecond33.analystrunsthreeseparateregressionsusingthereturnsonstock(STOCK),changesinthepriceofoilandchangesintheyieldonthe3-month(BILL).Theregressionequationsandsummaryresults,includingestimatedparameters,giveninthetablebelow:b0b1Regression1Regression2Regression3Stock=b0+b1×OILStandardErrort-statistic-0.00020.0004-0.40.670.03917.1820.4Stock=b0+b1×BILL-0.00061.38StandardErrort-statistic0.0004-1.50.03341.8220.6OIL=b0+b1×BILLStandardErrort-statistic0.00020.00030.830.0630.0242.6320.3Basedontheinformationabove,whichofthefollowingstatementsiscorrect?ThecoefficientoninRegression2likelyhasupwardbiasbecausechangesininterest-16-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。homoskedastic.ThecoefficientoninRegression1likelyhasupwardbiasduetoomittedvariablebias.C.TheR2inRegression2isduetoTheestimatedinterceptinRegression3indicatesthatshouldhaveasignificantlypositiveaveragereturn.34.analysthasaskedtoselectamodeltoforecastEUR/USDforeignexchangebasedonseasonally-adjusted,monthlyhistoricaltradingdatafortheyears2000through2014.examineout-of-sampleforecastingperformance,the“hold-out-sample”of2014dataisused.Theanalystwantstoselectthemodelwiththesmallestout-of-sampleone-step-aheadmeansquaredpredictionWhichofthefollowingin-samplepropertiesindicatesthebestchoiceoftrendforecastingmodel?ASchwarzinformationcriterionvaluethatislowerthanthatofothermodels.Akaikeinformationcriterionvaluethatishigherthanthatofothermodels.C.2thatislowerthanthatofothermodels.Ameansquaredthatislowerthatofothermodels.35.Amodelriskanalystassetmanagementfirmisreviewingatimeseriesforecastingprocess.TheanalystwantstodetermineifthetimeseriesbeingforecastcovarianceWhichofthefollowingisacharacteristicofacovariancestationarytimeseries?Theautocovariancefunctiondependsonlyonthetimedisplacement,notontimeitself.Themeanoftheseriesovertimelongtheautocorrelationstructureremainsconstant.C.Theautocovariancestructureoftheseriesmustbeconstant.-17-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。Themeanoftheseriesmustbe0andchangesmustbenormallydistributed.36.theEWMAmodel,thehalf-lifeisdefinedthetime,whichT=1/2,λisthedecayfactoroftheEWMAmodel.AriskanalystisusingaspecificEWMAmodeltocalculatevolatilityanddeterminesthatthehalf-lifeofthemodelis23days.Basedontheaboveinformation,whichweightwillbeappliedtothereturnthatisfiveold?0.0260.031C.0.7810.85937.Whichofthefollowingstatementsisincorrectregardingthevolatilitytermstructurepredicted2tt122byaGARCH(1,1)model:t1,whereα+β<1?Whenthecurrentvolatilityestimateisbelowthelong-runaveragethisGARCHmodelestimatesupward-slopingvolatilitytermstructure.Whenthecurrentvolatilityestimateisabovethelong-runaveragethisGARCHmodelestimatesadownward-slopingvolatilitytermstructure.C.Assumingthelong-runestimatedvarianceremainsunchangedtheGARCHparametersαandβincrease,thevolatilitytermstructurepredictedbythisGARCHmodelrevertstothelong-runestimatedvariancemoreAssumingthelong-runestimatedvarianceremainsunchangedtheGARCHparametersαandβincrease,thevolatilitytermstructurepredictedbythisGARCHmodelrevertstothelong-runestimatedvariance-18-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。38.AcommodityriskanalystisinterestedinestimatingthevolatilityofacommodityusingaGARCH(1,1)modelwithw=0.000032,a=0.03andβ=0.91.Thevolatilityis2.35%perTheresultingvolatilitytermstructurefromthisGARCHmodelismostlikelytoberepresented39.AriskanalystismodelingthedefaultcorrelationbetweentwoloansinaportfoliobyapplyingaGaussiancopulamodelonthedefaulttimes.Whenusedwithtwoinputvariables,aGaussiancopula:Providesmoretaildependencethanothercopulas.MapstheinputvariablesintonewvariablesthatfollowabivariateStudent-tdistribution.C.thecopulacorrelationequaltothecorrelationbetweentheinputvariables.Preservesthedistributionsoftheinputvariableswhiledefiningacorrelationstructurebetweenthem.40.Aquantitativeriskanalystiscomparingthecomputationalofestimators-19-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。generatedusingMonteCarlosimulation.Relevantinformationissummarizedinthefollowingtable:EstimatorAEstimatorBEstimatorCEstimatorDStandarddeviation0.300.40250.25400.3530forgeneratingone35scenario(seconds)Scenarios20403050timeforGenerating(seconds)4001,0001,2001,500scenariosWhichoftheestimatorsismostcomputationallyEstimatorAEstimatorBC.EstimatorCEstimatorD41.regulatorshavetiedtoensurethatthecapitalabankkeepsissufficienttocovertherisksittakes.Whichofthefollowingstatementiscorrect?regulatorycapital<economiccapital<equitycapitaleconomiccapital<regulatorycapital<equitycapitalC.equitycapital<economiccapital<regulatorycapitalequitycapital<regulatorycapital<economiccapital-20-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。42.JasonMraz,FRM,iscalculateoperatingratiousingfollowinginformationandhisansweris97%.hisanswercorrect?dividends1%InvestmentincomeLossratio9%75%105%CombinedratioA.Correct.correctbecausehemissedtheexpenseratio.C.Notcorrectbecauseheshouldadddividendandinvestmentincome.D.Unabletodeterminebasedontheinformationprovided.43.Supposethatahedgefundmanagerispresentedwithopportunitythereisa30%probabilityofa80%profitanda70%probabilityofa30%losswiththefeesearnedbythehedgefundmanagerbeing2plus20%.Whatistheoverallexpectedreturntoinvestors?A.3%B.6.68%C.-3.68%D.4%44.AlicetheofAccountingModuleof&FRMResearchCenterofGaodunFinance,30.Nowshewantstopurchaseatwo-yeartermlifeinsuranceinternalseminarfromXu.shewantstobepaid$7,000,000whentheinsurancecontractworks,andtherelevantinterestrateforinsurancecontractsis4%perannualandallpremiumspaidannuallythebeginningoftheAssumethatpayoutsoccurtheendoftheUsingthemortality-21-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。table,whichofthefollowingamountsisclosesttotheinsurancebreakevenpremiumforatwo-yearterm?Information:probabilityofdeathin1for30-agedand31-agedfemaleis0.000662and0.000699.A.4,677B.4,578C.4,500D.4,72545.AbasedautomobiledealerentersintoaforeignexchangecontracttohedgeobligationofEUR1millionpayablein3months.Thedealerreceivedthefollowingquotesfromainternationalbank(quotesUSDperEUR).11.27Spot3-monthforwardAssumingthedealerfullyhedgestheobligation,whatistheonthehedge,usingthe3-monthforward,ifthespotrateendsupUSD1.23perEURthreemonthsfromnow?USD-40,000USD-20,000C.USD20,000USD40,00046.Thepricesof6-monthand1-yearbills94.0and89.0.A1.5-yearbondthatwillpaycouponsof$4every6monthscurrentlysellsfor$94.84.A2-yearbondthatwillpay-22-咨詢：400-600-8011郵箱：frm@網(wǎng)站：|高頓獨(dú)家研發(fā)學(xué)習(xí)資料，未經(jīng)許可，不得私自傳播。couponsof$5every6monthscurrentlysellsfor$97.12.Calculatethe6-month,andzerorates.(continuouslycompounded)ABCD12.38%12.38%12.38%12.38%47.Theinterestrateforaperiodis5%andtheratefora2-yearperiodis6%.Assumingcontinuouscompounding,whatistheclosestforwardratefortheperiodfromtheendofthefirsttothesecondyear?7.00%7.50%C.8.00%8.50%48.Assumetakeashortpositioninafuturescontractandthatthesettlementpriceofthecheapest-to-deliver(CTD)bondinwillbe70.Also,assumethattheconversionfactorisequalto1.3.planondeliveringthebond'scouponpaymentsinMayandtheaccruedinterestfromNovembertoisequalto$1,500,whatistheinvoicepriceofthisbond(facevalue=100,000)?$91,000.$9