《V1_201505 FRM 二级模拟考试(二)_题目》由会员分享，可在线阅读，更多相关《V1_201505 FRM 二级模拟考试(二)_题目（23页珍藏版）》请在金锄头文库上搜索。
1、 1 - 23 2015 年年 05 月月 FRM 二级模拟考试（二级模拟考试（二二） 1. It is not always apparent how risk should be quantified for a given bank when there are many different possible risk measures to consider. Prior to defining specific measures, one should be aware of the general characteristics of ideal risk measures. Su
2、ch measures should be intuitive, stable, easy to understand, coherent, and interpretable in economic terms. In addition, the risk decomposition process must be simple and meaningful for a given risk measure. Standard deviation, value at risk (VaR), expected shortfall (ES), and spectral and distorted
3、 risk measures are commonly used measures to calculate economic capital. However, it is not easy to select a risk measure to calculate economic capital, as each measure has its respective pros and cons. Which of the following statements pertaining to the pros and cons of these risk measures is not a
4、ccurate? A. Standard deviation does not have the property of monotonicity, and therefore, it is not coherent. B. VaR does not have the property of subadditivity, and therefore; it is not coherent. C. ES is not stable regardless of the loss distribution. D. Spectral and distorted risk measures are ne
5、ither intuitive nor commonly used in practice. 2. In calculating its risk-adjusted return on capital, your bank uses a capital charge of 2.50% for revolving credit facilities with a loan equivalent factor of 0.35 assigned to the undrawn portion. Recently, you have become concerned that the protectiv
6、e covenants embedded in these loans are weak and may not prevent customers from drawing on the facilities during times of stress. As such, you have recommended doubling the loan equivalent factor of 0.70. This recommendation has met with resistance from the loan origination team, and senior manageme
7、nt has asked you to quantify the impact of your recommendation. For a typical facility that has an original principal of USD 1 billion and is 30% drawn, how much additional economic capital would have to be allocated if you increase the loan equivalent factor from 0.35 to 0.70? A. USD 3.50 million B
8、. USD 6.13 million C. USD 8.75 million D. USD 13.63 million 3. Which of these statements regarding risk factor mapping approaches is/are correct? I Under the cash flow mapping approach, only the risk associated with the average maturity of a fixed-income portfolio is mapped. II Cash flow mapping is
9、the least precise method of risk mapping for a fixed-income portfolio. IIIUnder the duration mapping approach, the risk of a bond is mapped to a zero-coupon bond of the same duration. IV. Using more risk factors generally leads to better risk measurement but also requires more time to be devoted to
10、the modeling process and risk computation. A. I and II 2 - 23 B. I, III, and IV C. III and IV D. IV only 4. Each of the following is true about the liquidity risk typology except which is false? A. Liquidity risk has three major types: 1. Transaction (aka, asset, market); 2. Funding (aka, cash flow,
11、 balance sheet); and 3. Systemic (aka, crisis) B. Transaction liquidity risk (aka, asset or market liquidity risk) can be modeled by either or both of an exogenous-spread approach or/and an endogenous price approach C. A key example of funding (aka, cash flow or balance sheet) liquidity risk is the
12、rollover risk created by the maturity transformation function in a traditional depository institution D. The liquidity risk typology is well-defined into three buckets because the three major liquidity risk types do not interrelate; e.g., funding risk is not due to systemic causes; transaction risk
13、does not constrain funding liquidity 5. The risk-free rate is 2% and the expected rate of return on the market is 8%. A bank figures that the risk-adjusted return on capital of a risky project with a beta of 1.6 is 11%. Is the project advisable if the bank uses adjusted RAROC? A. Not advisable, ARAR
14、OC is negative at 0.6%. B. Not advisable, ARAROC is only 5.625%. C. Advisable, ARAROC of 5.625% is greater than 3.75%. D. Advisable, ARAROC is positive at 0.6%. 6. Consider a bank that wants to model processing errors in its retail banking business. The number of such errors in a given year is denot
15、ed by random variable N. The dollar loss amount when a processing error occurs is denoted by random variable S. Which of the following procedures is the most likely implementation of the first step of the loss distribution approach? A. Convolute a marginal Poisson distribution (to characterize N) wi
16、th a Weibull (to characterize S) B. Convolute a marginal Poisson distribution (to characterize S) with a Weibull (to characterize N) C. Convolute a marginal lognormal distribution (to characterize N) with a Weibull (to characterize S) D. Convolute a marginal Poisson distribution (to characterize N) with a negative binomial (to Characterize S) 7. A portfolio managers “bogey” is a benchmark portfolio invested in three components
