2019年5月品职frm一级考前必做题题目答案第一部分

品职教育FRM一级考前必做题withotherbankscanbemergedwiththebank'sowndatatoobtainalargersamplefordeterminingthelossseveritydistribution.Ariskmanagerisanalyzingtheexpectedperformanceofagroupofassetswhichareallbenchmarkedtothesamemarketindex.Fortheanalysis,theriskmanagerassumesthatthereturnsonthemarketindexaregreaterthantherisk-freerateandthattheassumptionsoftheCAPMhold.Holdingallotherthings chetxpt,tdefrheflstitcreasssForanassetwithanegativecorrelationofreturntothemarket,anincreaseintherisk-freeratewilldecreaseitsexpectedreturn.Anassetwithabetaof2.5willalwayshaveahigherstandarddeviationofreturnthananassetwithabetaof0.5. Whencomparingtwoassets,theassetwiththehigherbetawillalwayshavethehigherexpectedreturn.Answer:Giventhatthereturnsonthemarketindexaregreaterthanrisk-freerate,wecanconclude:E(RM)>RF.E(RM) RF>0E RF+�iE R门，�Pi.M AnequityanalystisestimatingthereturnofastockusingtheCAPM.Theanalystcompilesthefollowinginformationandcorrectlycalculatestheexpectedreturnforstockas7.2%.BetaofCorrelationbetweenthestockreturnandmarketStandarddeviationofstockTheriskteamreviewstheanalyst'sworkanddiscoversthatanalysthasinputanincorrectcorrelationestimate;thepropercorrelationis0.6.Assumingallotherinputareunchangedandcorrect,whatisthecorrectexpectedreturnforstockusingtheCAPM?品职教育FRM一级考前必做题Answer:E(R1)R,+f3[E(RM)R f3f3'0.6xf3

E'(R;)Rf+

Rf]3%+1.2x

Inpreparationforabriefingtotheboardofdirectors,theCROconsidersspecificexplanationsastowhycertainrisksshouldbehedged.Whichofthefollowingwouldbeanaccurateexplanationoftheimpactofhedgingriskexposuresonshareholderwealth? Hedgingincreasesthevariabilityofthefirm'sprofits,makingthefirmamoreattractiveinvestmentforstakeholders.Hedgingreducesafirm'sexpectedcostsoffinancialHedgingdoesnotincreaseshareholderwealthbecauseshareholdershavediversifiedHedgingwithderivativesreducesthecomplianceandoperationalcostsoftheAnswer:Whenafirmhasriskydebtinitscapitalstructure,thereissomeprobabilitythatthefirm'soperatingincomewillbeinsufficienttopaythedebtholders.Inthiscasethefirmmayfileforbankruptcy.Intherealworld,itiscostlyforfirmstofileforbankruptcy.Firmshavetohirelawyers,incurcourtcosts,andneedtopayforallsortsoffinancialadvice.Costsincurredasaresultofabankruptcyfilingarecalledbankruptcycosts.Thepresentvalueoffuturebankruptcycostsreducesthevalueofafirm.However,hedgingcanreducecashflowvolatilitysothatthepresentvalueofbankruptcycostsdecreasesbecausebankruptcybecomeslesslikely.Abank'sriskcommitteeisreviewingthebank'smostsignificantlosseventsandcategorizingeacheventintospecificriskcategories.Inonecase,amodeloperatorinputthewrongpriceforasecurityintoanalgorithmusedfortrading,whichthencausedthealgorithmtobuyinsteadofsellthesecurity.Thissituationwouldbeanexampleof:MarketOperational品职教育FRM一级考前必做题AverageMonthlyReturnStandardDeviationFundFundBConfidenceFundFundTheriskmanagerisalsogiventhefollowingone-sidedcriticalvaluesofthet-ConfidenceDegreesof3Forwhichofthefundscanthenullhypothesisthatthemeanmonthlyreturnis0%berejectedatthe95%confidencelevelbutthenullhypothesisthattheaveragemonthlyreturnislessthan0.5%notberejectedatthe95%confidencelevel?FundFundFundFundAnswer:1:H。µO,H.:µ*At = t6 =A1.13/ 3.42/tc to ◦1.98/ 2.19/◦ µ<0.5%,H.tc=0.540.5%= t=0.670.5%=1.98/

2.19/Thus,thecorrectanswerisFundAfirmisconcernedaboutpotentialincreasesinthefederalfundsrateandtheirimpactontheS&P500.Fora3-monthforecastperiod,thefirm'seconomicsteamestimatesthefollowing:A0%probabilitythattheFederalReservewilllowerthefederalfundsA60%probabilitythattheFederalReservewillnotraisethefederalfunds品职教育FRM一级考前必做题A32%probabilitythatthereturnontheS&P500willbebetween-10%andA38%chancethatthereturnontheS&P500willbelessthan-A24%jointprobabilitythatthereturnontheS&P500willbegreaterthan10%andthattheFederalReservewillnotraisethefederalfundsrate.Basedontheestimatesabove,giventhattheFederalReserveraisesthefederalfundsrate,whatistheprobabilitythatthereturnontheS&P500isgreaterthan10%?Answer:ThechancethatthereturnontheS&P500willbemorethan10%is1-38%-32%=30%.30%x(124%/30%)=15%1AnanalysthasaskedtoselectamodeltoforecastEUR/USDforeignexchangeratesbasedonseasonally-adjusted,monthlyhistoricaltradingdatafortheyears2000through2014.Toexamineout-of-sampleforecastingperformance,the"hold-out-sample"of2014dataisused.Theanalystwantstoselectthemodelwiththesmallestout-of-sampleone-step-aheadmeansquaredpredictionerror.Whichofthefollowingin-samplepropertiesindicatesthebestchoiceoftrendforecastingmodel?ASchwarzinformationcriterionvaluethatislowerthanthatofotherAnAkaikeinformationcriterionvaluethatishigherthanthatofotherAnR2thatislowerthanthatofotherAmeansquarederrorthatislowerthatofotherAnswer:Ananalystistryingtodeterminethequalityofapoolofloansusingdefaultdata.Theanalystknowsthatofallpools,10%areLowRisk,70%areAverageRisk.Eachmonth,thereisa90%probabilitythataLowRiskpoolhasnodefaults,an80%chancethatanAverageRiskpoolhasnodefaultsanda70%chancethataHighRiskpoolhasnodefaults.Ifinonemonththepoolcheckedbytheanalystdidhavedefaults,whatistheprobabilitythatthispooliseitherLowRiskorAverageRisk? 品职教育FRM一级考前必做题FXFXBritishJapaneseAustralianWhichofthefollowingchangeswouldresultinadecreaseinthebank'snetexposuretothese ApurchaseofAUD1,000,000anincreaseinJPYliabilitiesof」PY2,000,000andapurchaseofJPY2,000,000 AsaleofGBP500,000,anincreaseinGBPassetsofGBP500,000,andadecreaseinAUDliabilitiesofAUD500,000 AnincreaseinEURliabilitiesofEUR1,000,000,anincreaseinGBPliabilitiesofGBP1,000,000,andanincreaseinAUDliabilitiesofAUD1,000,000 AnincreaseinEURassetsofEUR4,000,000,anincreaseinEURliabilitiesofERU2,000,000,andasaleofEUR2,000,000Answer:Net(FXassetFXliab帅es;)+(FXboughtFX=netforeignassets;+NetFXInitialExposureEURl,500,000GBP2,500,000;」PY8,700,000AUDl,500,000A:EURl,500,000;GBP2,500,000;JPY8,700,000;AUD2,500,000B:EURl,500,000;GBP2,500,000;JPY8,700,000;AUD2,000,000