2015-frm-历年真题(来自handbook)

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1、FRM历年真题-来自HandbookPRATONEFoundationsofRiskManagement1.Question5-13(2008)PortfolioQhasabetaof0.7,anexpectedreturnof12.8%,andanequityriskpremiumof5.25%.Therisk-freerateis4.85%.CalculateJensen'salphameasureforportfolioQ.A.B.C.D.7.67%2.70%5.73%4.27%2.Question1-11(2009)Basedontheriskassessmentoft

2、heCRO,BankUnited’sCEOdecidedtomakealargeinvestmentinaleveredportfolioofCDOs.TheCROhadestimatedthattheportfoliohada1%chanceoflosing$1billionormoreoveroneyear,alossthatwouldmakethebankinsolvent.Attheendofthefirstyeartheportfoliohaslost$2billionandthebankwasclosedbyregulators.Whichofthefollowin

3、gstatementsiscorrect?A.B.C.D.Theoutcomedemonstratesariskmanagementfailurebecausethebankdidnoteliminatethepossiblityoffinancialdistress.Theoutcomedemonstratesariskmanagementfailurebecausethefactthatanextremlyunlikelyoutcomeoccurred.TheoutcomedemonstratesariskmanagementfailurebecausetheCROfail

4、edtogotoregulatorstostoptheshutdown.Basedontheinformationprovided,onecannotdeterminewhetheritwasariskmanagementfailure. 3.Question1-4(2009)AnanalystatCAPMResearchInc.isprojectingareturnof21%onPortfolioA.Themarketriskpremiumis11%，thevolatilityofthemarketportfoliois14%,andtherisk-freerateis4.5

5、%.PortfolioAhasabetaof1.5.Accordingtothecapitalassetpricingmodel,whichofthefollowingstatementsistrue?A.TheexpectedreturnofPortfolioAisgreaterthantheexpectedreturnofthemarketportfolio.B.TheexpectedreturnofPortfolioAislessthantheexpectedreturnofthemarketportfolio.C.D.ThereturnofPortfolioAhaslo

6、wervolatilitythanthemarketportfolio.TheexpectedreturnofPortfolioAisequaltotheexpectedreturnofthemarketportfolio.4.Question1-6(2009)SupposePortfolioAhasanexpectedreturnof8%,volatilityof20%,andbetaof0.5.Supposethemarkethasanexpectedreturnof10%andvolatilityof25%.Finally,supposetherisk-freeratei

7、s5%.WhatisJensen’salphaforPortfolioA?A.B.C.D.A.10.0%B.1.0%C.0.5%D.15%5.Question1-8(2009)Inperfectmarkets,riskmanagementexpendituresaimedatreducingafirm’sdiversifiableriskservetoA.Marketthefirmmoreattractivetoshareholdersaslongascostsofriskmanagemen