《FRM一级考前必做押题密卷与答案》由会员分享，可在线阅读，更多相关《FRM一级考前必做押题密卷与答案（81页珍藏版）》请在金锄头文库上搜索。
1、 1 高顿独家研发学习资料 未经许可 不得私自传播 FRM P1 押题密卷 已完成请注释已完成已完成 2 1 A bank s risk committee is reviewing the bank s most significant loss events and categorizing each event into specific risk categories In one case a model operator input the wrong price for a security into an algorithm used for trading which the
2、n caused the algorithm to buy instead of sell the security This situation would be an example of A Market risk B Operational risk C Strategic risk D Liquidity risk 2 At large financial institutions the board of directors plays a key role in the process of creating a culture of risk management As par
3、t of this role one function that should be fulfilled by the board of directors is to A Establish a policy to address individual risk factors by reducing hedging or avoiding exposure to each risk B Develop risk reports and communicate them to organizational division leaders to conform with best pract
4、ices C Address issues that could potentially represent a conflict of interest by creating committees composed exclusively of executive board members D Monitor the effectiveness of the company s governance practices and make any necessary changes to ensure proper compliance 3 The board of directors a
5、t a large bank is considering creating a CRO position Which of the following would be an appropriate description of a function of the CRO position A Develop risk management policies and communicate the company s risk profile to key stakeholders B Perform backtests and scenario analyses to test assum
6、ptions in the bank s risk models C Independently approve changes in the bank s risk tolerance and its risk appetite framework D Establish and execute risk transfer strategies on a day to day basis 4 In preparation for a briefing to the board of directors the CRO considers specific explanations as to
7、 why certain risks should be hedged Which of the following would be an accurate explanation of the impact of hedging risk exposures on shareholder wealth A Hedging increases the variability of the firm s profits making the firm a more attractive investment for stakeholders B Hedging reduces a firm s
8、 expected costs of financial distress C Hedging dose not increase shareholder wealth because shareholders have diversified portfolios D Hedging with derivatives reduces the compliance and operational costs of the firm 5 The enterprise risk management process includes several stages Which of the foll
9、owing procedures would take place during the risk assessment stage A Developing the following year s budget for the risk management function B Using simulation analysis to estimate VaR C Purchasing insurance to mitigate a specific risk factor D Selecting a risk strategy compatible with the firm s ri
10、sk appetite 3 6 An audit committee at a regional bank has identified weaknesses in the bank s data aggregation and risk reporting practices and has suggested that the bank upgrade its capabilities in order to comply with the Basel guidelines What is one of the key functionalities the bank should be
11、expected to achieve A Develop an independent data warehouse for each business division to meet its specific risk reporting needs B Enhance the reporting function to provide early notifications about potential breaches of risk limits C Internalize the bank s risk data collection process by eliminatin
12、g the use of outsourced data service providers D Develop a fully quantitative risk report which is delivered regularly to the board of directors 7 A risk consultant is reviewing the role of regulatory arbitrage in the 2007 credit crisis to better understand the lessons learned as a result of the cri
13、sis Which of the following best describes how regulatory arbitrage took place in the mortgage securitization market A Banks securitized mortgages and then invested in tranches of these MBS to get a more favorable treatment for capital purposes B Mortgage originators were required to purchase a porti
14、on of MBS equity tranches which were then offered in the secondary market C Pension funds which invested in mortgage securities were required to hold only securities rated BBB and above D Mortgage originators were encouraged to offer adjustable rate mortgages to subprime borrowers with initial low t
15、easer rates 8 Which of the following financial disasters created a situation that resembled a classic Ponzi scheme where artificial profits are shown but never materialize into actual profits A Drysdale Securities B Bankers Trust C Kidder Peabody D Merrill Lynch 9 In order to strengthen trading cont
16、rols a firm s risk manager is studying cases of large trading losses at financial institutions In particular the manager considers the lessons learned from the Allied Irish Bank and Barings trading losses Which of the following describes a lesson that can be drawn from these cases applied to risk management and trading controls A Algorithmic trading models should be reviewed before implementation so that trading losses from model errors do not occur B Trading assistants should report directly to
