金融风险管理试题，附解析

brooke

考试临近，不少考生询问如何提高做题速度？高顿财经FRM研究院F老师说，这其中有两个关键点：其一，提高自己的英语阅读水平；其二，锻炼自己的答题感觉。提高英语阅读水平其实很重要，尤其是FRM考试，一定要熟悉金融英语词汇，在考试时读题速度快就非常占优势。所谓的答题感觉，这个就靠平时多加练习了。接下来小编整理了一些金融风险管理试题，附解析，供大家练习。

1.One advantage of the Brennan and Schwartz model over the Cox-Ingersoll-Ross model for modeling interest-rate dynamics is that the Brennan and Schwartz model:

A. gives attention to the mean reversion of interest rates.

B. gives attention to interest-rate volatility.

C. allows interest-rate volatility to decline as rates fall.

D. is a more effective method for dealing with complex, leveraged portfolios.

2.Consider the primary methods of assessing the risk of a portfolio position through stress testing.  Which of the following does not accurately describe an advantage or disadvantage related to a stress testing method?

A. A disadvantage to the historical simulation approach is that it is limited to historical data which may be inappropriate in future periods.

B. An advantage of the historical crisis approach is that it requires no assumptions regarding the underlying distribution of portfolio returns.

C. A disadvantage to the stress scenario analysis method is that it can produce misleading risk measures.

D. An advantage to the stress scenario analysis method is that it accounts for asset-class-specific risk factors.

3.How does the convexity of a bond influence the yield on the bond? All else the same, for a bond with high convexity investors will require:

A. a lower yield.

B. a higher yield.

C. the same yield as for a low convexity bond.

D. a higher or lower yield depending on the bond's duration.

4.Asset liquidity risk is most pronounced for

A. A $10 million position in distressed securities

B. A $10 million position in Treasury bonds

C. A $100 million position in distressed securities

D. A $100 million position in Treasury bonds

5.A pension plan reports $12 billion in assets and $10 billion in present value of the benefit obligations. Future pension benefits are indexed to the rate of inf1ation. To immunize its liabilities, the plan should

A. Invest $12 billion of assets in fixed-coupon long-term bonds

B. Invest $10 billion of assets in fixed-coupon long-term bonds

C. Invest $10 billion ofassets in cash

D. lnvest $10 billion of assets in Treasury Inf1ation. Protected Securities

Answer:

1.D

The Brennan and Schwartz model is more effective when fixed-income portfolios become complex.

2.D

The stress scenario analysis method analyzes varying predetermined stress scenario to determine the effect on the current portfolio.  The advantage of this approach is that it is not limited to historical events.  Disadvantages include its inability to account for asset-class-specific risk factors and its tendency to produce deceptive risk measures.

3.A

Convexity is to the advantage of the bond holder because a high-convexity bond's price will decrease less when rates increase and will increase more when rates decrease than a low-convexity bond's price.

4.C

Asset liquidity risk is a function of the size of the position and the intrinsic liquidity of the instrument. Distressed securities trade much less than Treasury bonds, and so have more intrinsic Iiquidity. A $100 million position is more illiquid than a $10 miHion position in the same instrument.

5.D

lmmunization occurs when assets are invested so as to perfectly hedge changes in liabilities. So the amount to invest is $10 billion, which is the value of liabilities. In this case, we are told that the pension payments are indexed to the rate of inflation. Because the liabilities are tied to inflation, immunization requires that the assets should react in a simílar way to inflation. This can be achieved w?th Treasury Inflation-Protected Securities (TIPS).

FRM考试教材一级二级2016年最全Notes免费下载！