2007年frm真题及答案

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1、1.YouarethenewCFOofGlobalInsuranceInc.Youhaveaskedataskforcetoreporttoyouonhowtostructureanenterpriseriskmanagementprogram(ERM)withtheobjectiveofensuringthatyourfirmhastheoptimallevelofriskforitslevelofcapital.Thetaskforcehasmadethefollowingrecommendations.

2、WhichrecommendationwouldhinderyourERMprogramfromachievingitsobjective?a.Managementshouldestimatetheamountofcapitalrequiredtosupporttheriskofitsoperationsgiventhefirm’stargetrating.b.Managementshouldallocatetheamountofcapitaldeterminedtosupporttheriskofitsop

3、erationswiththeobjectivethatunitswithbetteraccountingperformancereceivemorecapital.c.Managementshouldmeasurefirm-levelriskbyaggregationrisksacrossthefirmconsistently.d.Managementshouldfirstdeterminethefirm’sriskappetiteandthegeneralrulesforcapitalallocation

4、.2.Whichofthefollowingstatementsregardinghypothesistestingisincorrect?a.TypeIIerrorreferstothefailuretorejectthenullhypothesiswhenitisactuallyfalse.b.Hypothesistestingisusedtomakeinferencesabouttheparametersofagivenpopulationonthebasisofstatisticscomputedfo

5、easamplethatisdrawnfromthatpopulation.c.Allelsebeingequal,thedecreaseinthechanceofmakingaTypeIerrorcomesatthecostofincreasingtheprobabilityofmakingaTypeIIerror.d.Thep-valuedecisionruleistorejectthenullhypothesisifthep-valueisgreaterthanthesignificancelevel.

6、3.Yourfirm’sfixed-incomeportfoliohasinterest-onlybonds(IO),callablecorporatebonds,inversefloaters,noncallablecorporatebonds.Yourbosswantstoknowwhichofthefollowingsecuritiescanlosevalueasyieldsdecline.a.Callablecorporateonlyb.Inversefloateronlyc.IOandcallabl

7、ecorporatebondd.IOandnoncallablecorporatebond1.YouareaskedbyyourbosstoestimatetheexposureofahedgefundtotheS&P500.Thoughthefundclaimstomarktomarketweekly,itdoesnotdosoandmarkstomarketonceamonth.ThefundalsodoesnottellinvestorsthatitsimplyholdsanExchangeTraded

8、Fund(ETF)thatisindexedtotheS&P500.Becauseoftheclaimsofthehedgefund,youdecidetoestimatethemarketexposurebyregressingweeklyreturnsofthefundontheweeklyreturnoftheS&P500.Whichofthefollowingcorrectlydescrib