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ID:47473889
大小:4.22 MB
页数:166页
时间:2019-09-09
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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)Basedonth
2、eriskassessmentoftheCRO,BankUnited’sCEOdecidedtomakealargeinvestmentinaleveredportfolioofCDOs.TheCROhadestimatedthattheportfoliohada1%chanceoflosing$1billionormoreoveroneyear,alossthatwouldmakethebankinsolvent.Attheendofthefirstyeartheportfoliohaslost$2billionandthebankwasc
3、losedbyregulators.Whichofthefollowingstatementsiscorrect?A.B.C.D.Theoutcomedemonstratesariskmanagementfailurebecausethebankdidnoteliminatethepossiblityoffinancialdistress.Theoutcomedemonstratesariskmanagementfailurebecausethefactthatanextremlyunlikelyoutcomeoccurred.Theoutc
4、omedemonstratesariskmanagementfailurebecausetheCROfailedtogotoregulatorstostoptheshutdown.Basedontheinformationprovided,onecannotdeterminewhetheritwasariskmanagementfailure. 3.Question1-4(2009)AnanalystatCAPMResearchInc.isprojectingareturnof21%onPortfolioA.Themarketriskprem
5、iumis11%,thevolatilityofthemarketportfoliois14%,andtherisk-freerateis4.5%.PortfolioAhasabetaof1.5.Accordingtothecapitalassetpricingmodel,whichofthefollowingstatementsistrue?A.TheexpectedreturnofPortfolioAisgreaterthantheexpectedreturnofthemarketportfolio.B.Theexpectedreturn
6、ofPortfolioAislessthantheexpectedreturnofthemarketportfolio.C.D.ThereturnofPortfolioAhaslowervolatilitythanthemarketportfolio.TheexpectedreturnofPortfolioAisequaltotheexpectedreturnofthemarketportfolio.4.Question1-6(2009)SupposePortfolioAhasanexpectedreturnof8%,volatilityof
7、20%,andbetaof0.5.Supposethemarkethasanexpectedreturnof10%andvolatilityof25%.Finally,supposetherisk-freerateis5%.WhatisJensen’salphaforPortfolioA?A.B.C.D.A.10.0%B.1.0%C.0.5%D.15%5.Question1-8(2009)Inperfectmarkets,riskmanagementexpendituresaimedatreducingafirm’sdiversifiable
8、riskservetoA.Marketthefirmmoreattractivetoshareholdersaslongascostsofriskmanagemen
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