需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
 需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
一
品职教育FRM 级考前必做题

with other banks can be merged with the bank's own data to obtain a larger sample for determining

the loss severity distribution.

6. A risk manager is analyzing the expected performance of a group of assets which are all

benchmarked to the same market index.

For the analysis, the risk manager assumes that the returns on the market index are greater

than the risk-free rate and that the assumptions of the CAPM hold. Holding all other things

A. constant,
The which
expected of the
return onfollowing
an asset statements is correct?
increases when its correlation with the market return

decreases.

B. For an asset with a negative correlation of return to the market, an increase in the risk-free rate

will decrease its expected return.

C. An asset with a beta of 2.5 will always have a higher standard deviation of return than an asset

with a beta of 0.5.

D. When comparing two assets, the asset with the higher beta will always have the higher

expected return.

Answer: D

Given that the returns on the market index are greater than risk-free rate, we can conclude: E(RM) >

RF. E(RM) - RF> 0

竺
E (Ri) = RF +�i [ E (RM) - R门，�= Pi.M
(JM

7. An equity analyst is estimating the return of a stock using the CAPM. The analyst compiles the

following information and correctly calculates the expected return for stock as 7.2%.

Risk-free rate 3.0%

Beta of stock 1.4

Correlation between the stock return and market return 0.7

Standard deviation of stock return 5.0%

The risk team reviews the analyst's work and discovers that analyst has input an incorrect

correlation estimate; the proper correlation is 0.6. Assuming all other input are unchanged and

correct, what is the correct expected return for stock using the CAPM?

A. 6.2%
B. 6.6%

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
 需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
一
品职教育FRM 级考前必做题

C. 7.9%

D. 8.4%

Answer: B

E(R1)=R, + f3[E(RM)-R 』
7.2% = 3%+ 1.4[E(R M)—R 1]

[E(RM )-R1]=0.03
CJ; 5%
f3 =P —=1.4 =0.7 X —— ⇒ CJM = 2.5%
CJM CJM
5%
f3'=0.6x =1.2
2.5%
E'(R;)=R f+ f3'[E(RM)-Rf]= 3%+ 1.2x 0.03 =0.066

8. In preparation for a briefing to the board of directors, the CRO considers specific explanations

as to 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 expected costs of financial distress.

C. Hedging does not increase shareholder wealth because shareholders have diversified portfolios.

D. Hedging with derivatives reduces the compliance and operational costs of the firm.

Answer: B

When a firm has risky debt in its capital structure, there is some probability that the firm's operating

income will be insufficient to pay the debt holders. In this case the firm may file for bankruptcy. In

the real world, it is costly for firms to file for bankruptcy. Firms have to hire lawyers, incur court

costs, and need to pay for all sorts of financial advice. Costs incurred as a result of a bankruptcy filing

are called bankruptcy costs. The present value of future bankruptcy costs reduces the value of a firm.

However, hedging can reduce cash flow volatility so that the present value of bankruptcy costs

decreases because bankruptcy becomes less likely.

9. 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 then caused the algorithm to buy instead of

sell the security. This situation would be an example of:

A. Market risk.

B. Operational risk.

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
 需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
一
品职教育FRM 级考前必做题

Average Monthly Return {%) Standard Deviation (%)

Fund A 0.21 1.13
Fund B Confidence Level 0.47 3.42
Fund C 0.54 1.98
Fund D 0.67 2.19

The risk manager is also given the following one-sided critical values of the t-distribution:

Confidence Level
Degrees of freedom 90% 95% 97.5%
3 1.64 2.35 3.18
47 1.30 1.68 2.01
1000 1.28 1.65 1.96

For which of the funds can the null hypothesis that the mean monthly return is 0% be rejected at the
95% confidence level but the null hypothesis that the average monthly return is less than 0.5% not
be rejected at the 95% confidence level?
A. Fund A
B. Fund B
C. Fund C
D. Fund D

Answer: C
1: H。 µ= O,H. :µ* 0
0·21 = 0.4? =
tA = 1.29 t 6 = 0.95
1.13/范 3.42/范
tc = 0.54 = 1.89 to = 0.67 = 2.12
1.98/范 2.19/范
。
2:H µ<0.5%,H. :µ2:0.5%
tc = 0.54 - 0.5% = 1.71 t0 = 0.67 - 0.5% = 2.10
1.98/范 2.19/范
Thus, the correct answer is Fund C.

35. A firm is concerned about potential increases in the federal funds rate and their impact on the
S&P 500. For a 3-month forecast period, the firm's economics team estimates the following:
• A 0% probability that the Federal Reserve will lower the federal funds rate.
• A 60% probability that the Federal Reserve will not raise the federal funds rate.

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
 需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
一
品职教育FRM 级考前必做题

• A 32% probability that the return on the S&P 500 will be between -10% and +10%.

• A 38% chance that the return on the S&P 500 will be less than -10%.

• A 24% joint probability that the return on the S&P 500 will be greater than 10% and that the

Federal Reserve will not raise the federal funds rate. Based on the estimates above, given

that the Federal Reserve raises the federal funds rate, what is the probability that the

return on the S&P 500 is greater than 10%?

A. 10%

B. 15%

C. 20%

D. 40%

Answer: B

The chance that the return on the S&P 500 will be more than 10% is 1-38%-32%=30%.

30%x (1 — 24%/30%)
=15%
1 — 60%

36. An analyst has asked to select a model to forecast EUR/USD foreign exchange rates based on

seasonally-adjusted, monthly historical trading data for the years 2000 through 2014. To

examine out-of-sample forecasting performance, the "hold-out-sample" of 2014 data is used.

The analyst wants to select the model with the smallest out-of-sample one-step-ahead mean

squared prediction error. Which of the following in-sample properties indicates the best choice

of trend forecasting model?

A. A Schwarz information criterion value that is lower than that of other models.

B. An Akaike information criterion value that is higher than that of other models.
2
C. An R that is lower than that of other models.

D. A mean squared error that is lower that of other models.

Answer: A

37. An analyst is trying to determine the quality of a pool of loans using default data. The analyst

knows that of all pools, 10% are Low Risk, 70% are Average Risk. Each month, there is a 90%

probability that a Low Risk pool has no defaults, an 80% chance that an Average Risk pool has no

defaults and a 70% chance that a High Risk pool has no defaults. If in one month the pool

checked by the analyst did have defaults, what is the probability that this pool is either Low Risk

or Average Risk?

A. 28.57%

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
 需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
一
品职教育FRM 级考前必做题

Assets Liabilities FX Bought FX Sold

Euros(EUR) 9,000,500 8,500,500 2,000,000 1,000,000

British Pounds(GBP) 5,000,000 6,000,000 4,000,000 500,000

Japanese Yen(JPY) 100,000,000 120,000,000 30,000,000 1,300,000

Australian Dollar(AUD) 1,000,000 500,000 4,500,000 3,500,000

Which of the following changes would result in a decrease in the bank's net exposure to these

currencies?

A. A purchase of AUD 1,000,000, an increase in JPY liabilities of」PY 2,000,000, and a purchase of

JPY 2,000,000

B. A sale of GBP 500,000, an increase in GBP assets of GBP 500,000, and a decrease in AUD
liabilities of AUD 500,000

C. An increase in EUR liabilities of EUR 1,000,000, an increase in GBP liabilities of GBP 1,000,000,
and an increase in AUD liabilities of AUD 1,000,000

D. An increase in EUR assets of EUR 4,000,000, an increase in EUR liabilities of ERU 2,000,000, and

a sale of EUR 2,000,000

Answer: C

Net Exposure
= (FX asset; -FX liab帅es;)+(FX bought; -FX sold;)
= net foreign assets;+ Net FX bought,

Initial Exposure: EURl,500,000; GBP2,500,000;」PY8,700,000; AUDl,500,000

A: EURl,500,000; GBP2,500,000; JPY8,700,000; AUD2,500,000

B: EURl,500,000; GBP2,500,000; JPY8,700,000; AUD2,000,000

C: EURS00,000; GBPl,500,000; JPY8,700,000; AUDS00,000

D: EURl,500,000; GBP2,500,000;」PY8,700,000; AUDl,500,000

45. A firm is contemplating a hedge on a copper position using either futures contracts or options.
The current spot price of copper is USD 875 per pound while a September futures contract is

currently trading at USD 925 per pound. There are also」une USD 925 calls that are currently

quoted at USD 20 and」une USD 925 puts that are currently quoted at USD 22. If the basis stays

the same and the spot price of copper increases to USD 900 per pound by the time of the

expiration of the June options, what should the value in USD of a long hedge in futures and a

long position in calls, respectively, be at that time?

A. -25; -20
B. 25; -20

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331
需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331

需要最新CFA、FRM课程和纸质资料欢迎添加VX：zyz786468331