2020年11月FRM一级押题卷新增（含答案解析）

.

专业·创新·增值

PortfolioRettuns

Rꢕssell1000

Rꢕssell2000

Rꢕssell3000

1.000

0.937

0.856

0.945

1.000

0.813

0.998

1.000

0.845

1.000

Basedoꢁtl1eregressioꢁresttlts,wltꢇchstatemeꢁtꢓsꢓt1conect?

A.Thehꢓghconelatioꢁsbetweeꢁeachpa江ofit1dexre血nsiꢁdicatethat

mꢕltꢓcolꢗꢇꢁeruityexistsbetweeꢁthev叨ablesꢇꢁthꢓsreꢀ·essioꢁ.

B.ThehꢓghadjꢕstedRꢀ2iꢁdicatesthattheestꢓmatedcoefficieꢁtsoꢁtheRꢕssell1000,

Rꢕssell2000,aꢁdRꢕssell3000Iꢋdexesarestatisticallysiꢂiꢃꢄcaꢁtꢅ

C.GiveꢁthatmoꢁthlyrettunsoftheRꢕssell1000Index,theRꢕssell2000Iꢋdex,aꢁd

theRꢕssell3000Iꢋdexru·e2.4%,2.2%aꢁd2%,theexpectedmoꢁthlyre血nofthe

fllmꢓs1.43%.

D.Thehꢓghp-valꢕeof0.9452iꢁdꢓcatesthatthereꢀꢆessioꢁcoefficieꢁtofthere血nsof

theRꢕssell1000Iꢋdexisstatisticallyꢇꢁsiꢂiꢈcaꢁtthaꢁtheoꢉertwoꢇꢁdexes.

0ꢅIꢋdesigꢁiꢁgitssovereiꢂboꢁdꢊꢋvesꢌꢍeꢁtevalꢕatioꢁmethodology,theIꢋvestmeꢁt

Commꢓtteeatyomfllmisdecidꢇꢁgwhethertoꢇꢁco1poratesovereꢓgꢁcreditratꢇꢁgsbyma阿

ꢎꢏs(ꢁamelyS&P,Moody's,aꢁd/orFitch)ꢅYomcolleagꢕeMa1yasse1tsthatyomꢎꢏ

shoꢕldNOTdepeꢁdoꢁsovereigꢁcreditratꢊngsbymajorꢃꢄrmsꢅShemakesthefom

1

扣

:gꢕmeꢁtsbelowꢅꢐꢑchofherai·gꢕmeꢁtsbelowistheMOSTpersuasive?

A.Creditratꢇꢁgageꢁcieshaveacoꢁflictofꢇꢁterestswithrespecttosovereigꢋratꢇꢁgs.

BꢅForaꢁygiveꢁsovereigꢁboꢁd,thereisve1ylittlecoꢁsisteꢁcyamoꢁgtheageꢁcies

sꢕchthataꢁyalmostratiꢁgcaꢁbejustꢓꢃꢄed

C.Ageꢁciestaketooloꢁgtochaꢁgesovereigꢁratꢓꢁgs,iꢁclꢕdiꢍgthespecialcaseofaꢁ

overly-optimistꢓcratꢓꢁgthatfailstoaꢁticipatedeepsovereigꢋ1iskoꢁlytosꢕddeꢁly

dowꢁgradethesovereiꢂmꢕltipletimesiꢁasho1tperꢓodoftime

D.Histo1icalaꢁalysiscompa1iꢋgsꢒvereꢓꢂratꢇꢁgstoactualsovereꢓgꢁdeꢔꢕltꢖ

geꢁerallyprodꢕceꢁostaticallymeaꢁꢊꢋgfulcoffelatioꢁ;ꢓꢅeꢅ,deꢔꢕꢗtratesof

ꢓꢁvestmeꢁtgradesovereigꢁboꢁdsareꢁotstatistꢓcallylessthaꢁdefaꢕltratesof

specꢕlativesovereꢓgꢁboꢁds.

5

-22

.

T

专业·创新·增值

Thep1iceoftllꢄsbondrꢄsesꢌo96.35whenꢄnꢌeresꢌraꢌesꢀlꢁby30basꢄspoꢄntsandꢀllsꢌo

92ꢍ75whenꢄnꢌeꢓesꢌꢓaꢌeslꢄseby30.Theef允cꢌꢄvedmaꢌꢄonoftl郎bondꢄsclosesꢌꢌo:

A.5.99

Bꢍ6.34

Cꢍ6ꢍ69

D.7.04

2

3.Assumeꢌhaꢌaꢓandomva1iableXꢂlꢃowsanoꢊnaldꢄstiibuꢌꢄon,leꢌY=A+BX,wheꢓeA

andBaꢓeboꢌhconsꢌanꢌvaꢁuesandbꢄsnegaꢌꢄve,whichofꢌheꢈꢉlꢁowꢄngsꢌaꢌemenꢌsai·e

ꢄnconecꢌ?

A.ThemeanofYꢄsꢄdenꢌꢄcalꢌoꢌhemeanofXꢍ

BꢍTheꢁocaꢌꢄonshꢄꢅofAhasnoeffectonꢌhevarꢄanceofYꢍ

C.TheskewnessofYꢄsꢄdenꢌꢄcaꢁꢌoꢌhektutosꢄsofX.

DꢍThe血tosꢄsꢄs1maꢈfecꢌedbydecꢓeaLsinglꢄneaꢓꢆꢇansꢈꢉꢊꢋaꢌꢄonsꢍ

24ꢍTheyꢄeldcmveꢄsupwaꢓdslopꢒngꢍYouhaveasho1tT-bondꢎꢏꢐꢑesposꢄꢌꢄon.Theꢂlꢁowꢒng

bondsaꢓeelꢄgꢄbleꢂꢓdeꢁꢄve1y:

Bond

A

B

C

Spoꢌpdce

Coupon

102-14/32

4%

106-19/32

5%

98-12/32

3%

Conveꢓsꢄonꢔcꢌor

0.98

1.03

0.952

Theꢎꢕꢖꢗꢘesp1iceꢄs103-17/32andꢌhemaꢕtuiꢌyd:aꢌeofꢌhecon订acꢌꢄsSepꢌembeꢓ1.Thebondspay

ꢌhe江couponsemꢄ皿uaꢁlyonJune30andDecembeꢓ31ꢍThecheapesꢌꢌodelꢄverbondꢄs:

小

A.BondA

B.BondB

CꢍBonde

D.Insufficꢄenꢌꢛꢈꢉ1maꢌꢄon

2

5.Oneofꢙeꢌr·adeꢓswhose1iskyoumonꢄꢌoꢓpuꢌonac叩yꢕr·adewheꢓeheboꢚowsꢛyenand

ꢛvesꢌsꢛsomeemeꢓgꢛgmai-keꢌbondswhosepeꢓꢈꢉ1manceꢄsꢛdependenꢌofyenꢍWhꢄchof

theꢂlꢁowꢛgꢓꢄsksshouldyounoꢌwoꢊyabouꢌ?

A.Unexpecꢌeddevaluaꢌꢄonofꢌheyen.

1

0-22

金程育ꢀGDU.ꢁ

专业·创新·增值

2

3

4

5

6

0.27

0.28

0.38

0.43

0.99

ꢂhemedian(50%)liesexactlyhalfwaybetweentheth江dandfomthrankedꢅbse1vatiꢅns.

ꢂheꢃeꢄre:

0

.28+0.38

Median=

=0.33

2

ꢂhisꢃequ江escalcꢈlatingthe25%and75%levels.ꢂhe25%levelis5/20=25%ꢅftheway

betweenrankedꢅbse1vatiꢅns2and3.ꢂherefoꢃe:

+

0.25X0.28=0.2725

q25%=0.75X0.27

S皿larly,小e75%levelis75%ꢅfthewaybetweenꢅbse1vatiꢅns4and5:

q75%=0.25X0.38+0.75X0.43=0.4175

Thus,IQR=0.4175-0.2725=0.145.

7.

Answer:D

PV(costofstoring)=99e-0·02

4x1112+

+

9e-0-024x2112=26.9461

F=(2707+26.9461)eC2·4%-y)x吉=2650

y=14.8%

8.

Answer:A.

Amajꢅrcꢅnꢆꢇibꢈtꢉngꢊctꢅꢃtꢅ小ecꢅllapseꢅfLfCꢋistl1atitdidnꢅtaccꢅm1tprꢅperlyꢄr小e

illiqꢈidityꢅfitslai-gestpꢅsitiꢅnsinits1iskcalculatiꢅns.

ꢋetallgesellschaꢌwashmtbychangeintheshapeꢅftl1ep1icecmve

InLehmanBrꢅtherscase,cꢅnceꢍsabꢅutthevaluatiꢅnꢅfthefuꢏ'srealestatebasedassetsledtꢅ

alꢅssinmai·ketcꢅnfidence.Cꢅunte1p扛tiesbegantꢅredꢈcethe江expꢅsmesignificantlyandthe

ꢎꢏcꢅuldnꢅtrꢅllꢅveꢃitsdebt.Attemptstꢅ01-ganizeanindꢈstiyrescuefailed.

9

.

Answer:A

Aiscꢅnect.Thisisanexampleꢅfmꢈlticꢅlline扛ity,whichariseswhenꢅneꢅfthere驴·essꢅꢃsis

5-22

1

.

T

专业·创新·增值

ispe1fectlypossibꢑethatmorethanoneindexexplaꢌnsthecovariancebetweensecmityretlunsbꢆt

thattheCꢀMholds.

28.Answer:D

Aco1ꢜtryꢓhosecompanies'ꢑocalcmTencyassetsaꢃe血ꢁedbyꢂꢃeiꢄcmTencydebtmaypꢃefeꢃ

todeꢅꢆltinthen·locaꢑcmTencydebtratherthandevalꢆethe江cmTency.

Inregardto(A),(B)and(C),eachꢌsFALSE.

Inꢃeg打dtofaꢑse(A),"Thealternatꢌve[todeꢅꢆlt]ofp1in皿gmorecꢇꢈencytopaydebt

obligationsalsohascosts.ItdebasesanddevaluesthecmTencyandcaꢆsesinflatꢌontoincrease

exponentꢌally,ꢓhichꢌnttuncancaꢆsetheꢃeaꢑeconomytosmink.Investorsabandonꢉ血icial

assets(andmaiꢈkets)andmovetorealassets(ꢃeaꢑestate,gold)andꢊꢋsshꢌꢍ丘omreal

investmentstofꢜancialspecꢆlation.Coꢆnꢎ·iestl1ereforehavetoꢏꢈadeoꢐbetꢓeenꢓhichaction-

deꢅꢆꢑtorcmTencydebasement-hasloꢓerlong--termcostsandpickone;manychoosedeꢅꢆltas

thelesscostlyoption.

Inregardtofalse(B),thegoꢑdstandai·disgenerallyassocꢌatedꢓꢌtl1iinposiI1gaconstrainton

p1intingmoney:"GoldStan恤d:Inthedecadesp1iorto1971,ꢓhensomecoꢆnꢒꢈiesꢂlloꢓedthe

goldstand血，cmTencyhadtobebackedꢆpꢓꢌthgoldꢃeserves

Asaconseqꢆence,theextentofthesereservespꢆtalꢌinitonhoꢓmꢆchcmTencycoꢆldbe

p1inted."

Inregru·dtofalse(C),theoppositeistiue.Greece'smembe啦pintheEmoeffectivelydisabledits

ab山tytomanage/manipꢆlateꢌtsoꢓnsovereignc:mTencyꢖ"SharedꢔꢕencyꢖThecrisisꢗGreece

hasbroꢆghthomeoneofthecostsofashru·edcmTency.WhentheEmoꢓasadoptedasthe

commoncmTencyꢂrtheEmozone,theco1ꢜt11iesinvolvedacceptedaꢘꢈadeꢙoꢚInrettunꢂra

commonmarketandtheconvenienceofacomnaoncmTency,theygaveꢆpthepoꢓertocon订ol

hoꢓmꢆchofthecmTencytheycoꢆldprint.Thꢆs,inJꢆly2015,theGreekgove1mnentcoꢆldnot

p1intmoreEmostopayoꢐoꢆtstandingdebt."

2

9.Answer:B

Convexityisde血edasthesecondde1ivativeof1thep1iceꢙrateꢛꢜctiondivꢌdedbyꢝep1iceofthe

bond.Toestimateconvexity,onemꢆstfuꢈstestimatethedifferenceinbondp1iceperdꢌfferencein

theratefortꢓoseparateꢃateenviꢃonments,oneastephigherthanthecmTentrateandoneastep

2

1-22

2

020年11月FRM一级新编押题卷

1

.

Whichoffollowingstatementsaboutthegovernanceofriskmanagementiscorrect?

A.Afterestablishingarisklimit,abankshouldplantomaintainariskexposurelevel

justbelowthelimitduringthenormalcourseofbusiness.

B.TheCROisresponsibleforday-to-dayrisksupervisionandisabletoapprove

temporarybreachesofcommunicatedrisklimitsaslongastheenterprise-levelrisk

arestillwithinboard-establishedtolerancelevel.

C.Theauditcommitteeshouldtogetherotherriskcommitteeforensuringthefirm’s

compliancewithbest-practicestandards.

D.Theboardisresponsibleforoversightandrisktransparency,whichrequiresthema

day-to-dayinvolvementinbusiness.

1

.

Answer:B

Aisincorrect.Thebankshouldoperatewellbelowitsrisklimitsduringthenormalcourseof

business.

Cisincorrect.Anauditprovidestheboardwithindependentverificationofwhetherthefirmis

doingwhatitclaimstobedoing.Thiscriticalverificationfunctionsetstheauditcommittee'swork

apartfromtheworkofotherriskcommittees.

Disincorrect.Theboard’sresponsibilitytotakeaproactiveapproachdoesnotsuggesta

day-to-dayinvolvement.Rather,itsroleistoensurethattheprocessesandproceduresaroundthe

delegationandimplementationofriskmanagementdecisionsareperformingasplanned.

2

.

JimmyinvestsstockAbytheCAPM.TheinformationofstockAisasfollows:

Expectedmarketriskpremium

Risk-freerate

8%

5%

HistoricalbetaforstockA

1.50

Jimmyholdsthathistoricalbetacannotreflectappropriateforecastsoffuturebeta,soheusesthe

followingformulatoforecastbeta:

Forecastedbeta=0.70+0.20×historicalbeta

Aftermakinganexaminationofmarkettrendsandthefinancialstatements,Jimmyforecaststhat

thereturnforstockAwillbe10%.JimmyshouldderivethefollowingrequiredreturnforstockA

alongwiththefollowingvaluationdecision(undervaluedorovervalued):

ValuationCAPMrequiredreturn

A.Overvalued

B.Overvalued

17.00%

13.00%

17.00%

13.00%

C.Undervalued

D.Undervalued

2

.

Answer:B

TheCAPMequationis:E(R_p)=R_f+β_p[E(R_M)-R_f]

Betaforecast=0.70+0.20×(1.50)=1.00

TheCAPMrequiredreturnis:

5

%+1.00×8%=13.00%

Jimmyshoulddecidethatthestockisovervaluedbecausesheforecaststhatthereturnwillequal

only10%.Whereastherequiredreturn(minimumacceptablereturn)is13.00%.

3

.

LetAandBaretworandomvariablesrepresentingtherecentannualreturnsoftwodifferent

portfolios.

A

B

2

2

2

2

2

2

020

019

018

017

016

015

5%

7%

11%

8%

13%

15%

18%

31%

19%

23%

16%

14%

WhatisthecovarianceofAandB?

A.-0.12%

B.-0.14%

C.-0.23%

D.-0.18%

3

.

Answer:B

A

B

A-E(A)

-5%

-3%

1%

-2%

3%

B-E(B)

-2%

11%

-1%

3%

(A-E(A))*(B-E(B))

0.10%

5

7

%

%

18%

31%

19%

23%

16%

14%

-0.31%

-0.01%

-0.05%

-0.13%

1

1%

8%

1

1

3%

5%

-4%

-6%

5%

-0.32%

E(A)=10%E(B)=20%

-0.72%

Cov(A,B)=∑

(ꢀ−ꢁ(ꢀ))∗(ꢂ−ꢁ(ꢂ))

=

−0.72%

=−0.14%

5

5

4

.

Jeffisanarbitragetrader,andhewantstocalculatetheimplieddividendyieldonastock

whilelookingattheover-the-counterpriceofa5-yearputandcall(bothEuropean-style)on

thatsamestock.Hehasthefollowingdata:

Initialstockprice=USD85

Strikeprice=USD90

Continuousrisk-freerate=5%

Underlyingstockvolatility=unknown

Continuousimplieddividendyield=5.34%

Callprice=USD10

Whatisthepriceof5-yearputoption?

A.

5

B.15

C.17

D.25

4

.

Answer:B

WecanusethePut-Callparityheretoeasilysolveforthecontinuousdividendyield.

Wehavec+Ke−rt=Se−qt+p,so85e−q×5+p=10+90e−5%×5,Solvingforp,weget15.

5

.

WhichofthefollowingassumptionsareneededtoestablishconditionsthatensuretheOL5

estimatorsareinterpretableandhavedesirablestatisticalproperties？

I．Therandomerrortermisassumedtohavezeromeanandconstantvariance.

II．Thecorrelationbetweenthedependentvariableandtherandomerrortermiszero.

III．TheprobabilityoflargeoutliersinXshouldbesmall.

IV．Varianceofindependentvariableisconstantand0.

A.I,II,IV

B.I,II,III

C.I,III

D.II,IV

5

.

Answer:C

TherearefivekeyassumptionsforthelinearregressionmodeltoensuretheOLSestimatorsare

interpretableandhavedesirablestatisticalproperties:

需要最新资料加V：xuebajun888s

1

.

Theregressionerrors,ꢃꢄ,haveameanofzeroconditionalontheregressorsXi.Thereare

foursituationsthatleadtonon-zeroshocks.

ConstantVarianceofShocks.

2.

3.

4.

5.

Varianceofindependentvariableisstrictlygreaterthan0(ꢅ2X>0).

Thesampleobservationsarei.i.d.randomdrawsfromthepopulation.

Largeoutliersareunlikely.

6

.

Forthefollowingdata:

observation

Values

0.38

0.28

0.27

0.99

0.26

0.43

1

2

3

4

5

6

WhatarethemedianandtheIQR?

A.Median=0.33;ꢆ�ꢇꢈ

B.Median=0.27;ꢆ�ꢇꢈ

C.Median=0.27;ꢆ�ꢇꢈ

D.Median=0.33;ꢆ�ꢇꢈ

=0.2725

=0.1450

=0.4175

=0.1450

6

.

Answer:D

Thefirststepistorankordertheobservations.Fromhere,weanchorthefirst

observationat0%andthelastat100%,equallyspacingthein-betweenvalues.The

divisionsherewillbe100/n-1=20%:

Rank

Values

0.26

0.27

0.28

0.38

0.43

0.99

1

2

3

4

5

6

Themedian(50%)liesexactlyhalfwaybetweenthethirdandfourthranked

observations.Therefore:

0

.28+0.38

2

ꢉꢊꢋꢌꢍꢎ=

=0.33

Thisrequirescalculatingthe25%and75%levels.The25%levelis5/20=25%ofthe

waybetweenrankedobservations2and3.Therefore:

ꢏ25%=0.75×0.27+0.25×0.28=0.2725

Similarly,the75%levelis75%ofthewaybetweenobservations4and5:

ꢏ75%=0.25×0.38+0.75×0.43=0.4175

Thus,IQR=0.4175-0.2725=0.145.

7

.

Considera3-monthcommodityfuturescontractonsilver,andthecurrentcommodityfutures

priceisUSD2650,spotpriceofsilverisUSD2707.ThecostofstoringisUSD9perounce

permonthpayableatthebeginningofeverymonth.Therisk-freerateis5%.Accordingto

theno-arbitrageprinciple,whatistheimpliedconvenienceyield?Assumingallratesare

continuouslycompounded.

A.1.8%

B.4.8%

C.12.4%

D.14.8%

Answer:D

7

.

PV(costofstoring)=9+9e−0.024×1/12+9e−0.024×2/12=26.9461

3

F=(2707+26.9461)e(2.4%−y)×12=2650

y=14.8%

8

.

Ariskconsultantispreparingapresentationtoagroupofjuniorriskmanagersonthelessons

learnedfromhistoricalfinancialdisastersandfailuresofriskmanagementatlargefinancial

firms.Whichofthefollowingcorrectlydescribesalessonlearnedfromthegivenfinancial

disastercase?

A.ThemainthemesofLondonWhalecasewerepoorcorporategovernancewith

respecttoriskconcentrationlimits,positionlimitsandVaRmodels.

B.LTCM’suseofhighleverageisevidenceofpoorriskmanagement.

C.Metallgesellschaftwasaffectedbyincreasedcorrelationsinthemarkets.

D.ThemajorfactorsleadingtoLehmanBrotherscollapseisfraud.

Answer:A.

8

.

AmajorcontributingfactortothecollapseofLTCMisthatitdidnotaccountproperlyforthe

illiquidityofitslargestpositionsinitsriskcalculations.

Metallgesellschaftwashurtbychangeintheshapeofthepricecurve.

InLehmanBrotherscase,concernsaboutthevaluationofthefirm'srealestatebasedassetsledto

alossinmarketconfidence.Counterpartiesbegantoreducetheirexposuresignificantlyandthe

firmcouldnotrolloveritsdebt.Attemptstoorganizeanindustryrescuefailed.

9

.

Ariskmanagerhasestimatedaregressionofafirm’smonthlyportfolioreturnsagainstthe

returnsofthreeUSdomesticequityindexes:theRussell1000Index,theRussell2000Index,

andtheRussell3000Index.Theresultsareshownbelow:

RegressionStatistics

MultipleR

0.951

0.905

0.903

0.009

R-Squared

AdjustedR-Squared

StandardError

Observations

192

RegressionOutput

Intercept

CoefficientsStandardErrort-Stat

P-Value

0.0005

0.9452

0.4470

0.8382

0.0023

0.1093

0.1055

0.3533

0.0006

1.5895

0.1384

1.7274

3.5305

0.0688

0.7621

0.2045

Russell1000

Russell2000

Russell3000

CorrelationMatrix

PortfolioReturns

Russell

000

Russell

Russell

3000

1

2000

PortfolioReturns

Russell1000

Russell2000

Russell3000

1.000

0.937

0.856

0.945

1.000

0.813

0.998

1.000

0.845

1.000

Basedontheregressionresults,whichstatementisincorrect?

A.Thehighcorrelationsbetweeneachpairofindexreturnsindicatethat

multicollinearityexistsbetweenthevariablesinthisregression.

B.ThehighadjustedR^2indicatesthattheestimatedcoefficientsontheRussell1000,

Russell2000,andRussell3000Indexesarestatisticallysignificant.

C.GiventhatmonthlyreturnsoftheRussell1000Index,theRussell2000Index,and

theRussell3000Indexare2.4%,2.2%and2%,theexpectedmonthlyreturnofthe

firmis1.43%.

D.Thehighp-valueof0.9452indicatesthattheregressioncoefficientofthereturnsof

theRussell1000Indexisstatisticallyinsignificantthantheothertwoindexes.

9

.

Answer:A

Aiscorrect.Thisisanexampleofmulticollinearity,whichariseswhenoneoftheregressorsis

veryhighlycorrelatedwiththeotherregressors.Inthiscase,allthreeregressorsarehighly

correlatedwitheachother,somulticollinearityexistsbetweenallthree.Sincethevariablesarenot

perfectlycorrelatedwitheachotherthisis

multicollinearity.

a

caseofimperfect,ratherthanperfect,

Bisincorrect.AdjustedR^2capturesthetradeoffbetweenincreasingadjustmentfactor,(i.e.(n-

)/(n-k-1)),anddecreasingRSSasoneconsiderslargermodels.

Ciscorrect.Giventheregressionmodel:R=0.0023+0.1093R_(Russell1000)+〖0.1055R〗

1

_

(Russell

2000)+0.3533R_(Russell

3

000)+ϵ;R=0.0023+0.1093*2.4%+0.1055*2.2%+0.3533*2%=0.01431.

Disincorrect,higherp-valuedoesnotindicategreaterstatisticalsignificancethanothervariables.

1

0.Indesigningitssovereignbondinvestmentevaluationmethodology,theInvestment

Committeeatyourfirmisdecidingwhethertoincorporatesovereigncreditratingsbymajor

firms(namelyS&P,Moody's,and/orFitch).YourcolleagueMaryassertsthatyourfirm

shouldNOTdependonsovereigncreditratingsbymajorfirms.Shemakesthefour

argumentsbelow.WhichofherargumentsbelowistheMOSTpersuasive?

A.Creditratingagencieshaveaconflictofinterestswithrespecttosovereignratings.

B.Foranygivensovereignbond,thereisverylittleconsistencyamongtheagencies

suchthatanyalmostratingcanbejustified.

C.Agenciestaketoolongtochangesovereignratings,includingthespecialcaseofan

overly-optimisticratingthatfailstoanticipatedeepsovereignriskonlytosuddenly

downgradethesovereignmultipletimesinashortperiodoftime.

D.Historicalanalysiscomparingsovereignratingstoactualsovereigndefaults

generallyproducenostaticallymeaningfulcorrelation;i.e.,defaultratesof

investmentgradesovereignbondsarenotstatisticallylessthandefaultratesof

speculativesovereignbonds.

1

0.Answer:C

Agenciestaketoolongtochangesovereignratings,includingthespecialcaseofan

overly-optimisticratingthatfailstoanticipatedeepsovereignriskonlytosuddenlydowngradethe

sovereignmultipletimesinashortperiodoftime

1

1.StanfordisaseniorinvestmentmanagerwhoisstudyingthestockofXYZCompany.

CurrentlyXYZ'sstockpriceis$32.00,andhepredictsthatinayear'stimeXYZ'sstockprice

willbeinthefollowingtable.Whichofthefollowingfouroptionstradingstrategieswillgive

himthegreatestpayoff?(Assumethattheseoptionsexpireinoneyear.)

ThepriceofXYZatexpiration

$

$

$

30.00

33.00

36.00

A.LongbullspreadwithcallsonXYZ'sstock(K1=30.00,K2=35.00)

B.LongbearspreadwithcallsonXYZ'sstock(K1=30.00,K2=35.00)

C.ShortstraddlewithoptionsonXYZ'sstock(K1=K2=33.00)

D.ShortstranglewithoptionsonXYZ'sstock(K1=30.00,K2=35.00)

需要最新资料加V：xuebajun888s

1

1.Answer:A

A

B

C

D

PricMax(ST-K1,0)-Max(Max(ST-K2,0)-Max(-Max(ST-K,0)-Max-Max(ST-K1,0)-Max

e

ST-K2,0)

ST-K1,0)

(K-ST,0)

(ST-K2,0)

Pay

off

$

30.

0.00

0.00

-3.00

0.00

0

0

$

33.

3.00

5.00

-3.00

-5.00

0.00

0.00

0

0

$

36.

-3.00

-1.00

0

0

1

2.InregardtothesestatementsaboutSolvencyIIofinsurancecompanies,eachisgenerally

falseEXCEPTwhichistrue?

A.Ifcapitalfallsbelowthesolvencycapitalrequirement,aninsurancecompanyisnot

allowedtotakeonfurtherbusiness.

B.Ifcapitalfallsbelowthesolvencycapitalrequirement,aninsurancecompany's

policiesmaybetransferredtoanotherinsurancecompany.

C.Insurancecompaniesareonlyrequiredtoformulateasolvencycapitalplanifcapital

fallsbelowtheminimumcapitalrequirement.

D.GermanandItalianinsurancecompaniesshouldbesubjecttothesameregulations.

2.Answer:D

1

Ifcapitalfallsbelowthesolvencycapitalrequirement,aplantobringitbackupmustbe

formulated.Ifitfallsbelowtheminimumcapitalrequirement,theinsurancecompanymaynotbe

allowedtotakeonmorebusinessanditspoliciesmaybetransferred.

IntheEuropeanUnionthereisasinglesetofregulations(SolvencyII),soGermanandItalian

insurancecompaniesshouldbesubjecttothesameregulations.

1

3.AccordingtotheBaselback-testingframeworkguidelines,penaltiesstarttoapplyisthereare

fiveormoreexceptionsduringthepreviousyear.TheTypeIerrorrateofthistestis8

percent,thepowerofthetestis79percent.Whichofthefollowingstatementsiscorrect?

A.79%probabilityregulatorswillrejectthecorrectmodel.

B.13%probabilityregulatorswillrejecttheincorrectmodel.

C.Thepoweroftestwillincreaseifthesizeofthetestincreases.

D.TypeIerrorincreasesandtypeIIerrordecreasesassamplesizeincrease.

3.Answer:C

1

Aisincorrect.TypeIerrorreferstotheprobabilityofrejectingacorrectmodel,whichis8%.

Bisincorrect.Theprobabilityofrejectinganincorrectmodelreferstothepoweroftest,whichis

7

9%inthiscase.

Ciscorrect.Largertestsizes,α,(e.g.,10%)usesmallercriticalvaluesandhavelargerrejection

regionthansmallertestssizes.Smallercriticalvaluesincreasetheprobabilitythatthesample

meanfallsintotherejectionregion,andsoincreasethetestpower.

Disincorrect.TypeIerrorandtypeIIerrorbothfallsassamplesizeincrease.

1

4.AccordingtoGARP,eachofthefollowingwasacausalfactorinthe2007-2009global

financialcrisis(GFC)EXCEPTwhichisnotacausalfactor?

A.Lowinterestrates

B.Theoriginate-to-distribute(OTD)businessmodelandsecuritization,especially

CDOs

C.Anunexpectedspikeinprepaymentsduetoanaccelerationinrepeatrefinancing

D.Dubiouslendingpracticesandriskymortgageloanproducts(e.g.,NINJA)andloan

features(e.g.,teaserrates)

4.Answer:C

1

Refinancingenabledborrowerstoavoidhigherinterestrates(astheresetrate)aftertheirinitial,

teaserrates;thePROBLEMwasthathomepricedeclineshaltedtherefinancepracticethatfueled

muchofthesubprimeborrowing.Inthisway,prepaymentswerenotreallyacause.

Inregardto(A),(B)and(D),eachisTRUE.Althoughtherewereseveralcauses(somedisputed),

accordingtoGARP'sChapter10,causalfactorsincluded:

a.Lowinterestrates(notethedualroleintermsofhousingdemandandinvestorsupply):

"Growthinhousingdemandandconcomitantmortgagefinancingwasfueled(inpart)bythe

low-interest-rateenvironmentthatexistedintheearly2000s.Thisdemandhelpeddrive

substantialincreasesinhousingprices.Lowinterestratesalsospurredinvestors,including

institutionalinvestors,tolookforinvestmentsthatofferedyieldenhancement.Theyfoundthis

yieldinsubprimemortgages,whichtypicallycarrypremiumsofupto300-basispointsoverthe

rateschargedtoprimeborrowers."

b.Theshifttowardbanks'originate-to-distribute(OTD)businessmodelwhichenabledamoral

hazardbydiscouragingcarefulscrutinyofborrowercreditworthiness.

c.Riskymortgageloanproducts,inparticular,teaserrates;e.g.,2/28adjustable-ratemortgages.

(Butalsointerest-onlyteaserperiodsandother"innovations"likeNINJAloans).

1

5.X,Y,andZhaveenteredintomanyderivativetransactions.WhentransactionsbetweenX

andYarenetted,thenetvaluetoXis60.WhentransactionsbetweenYandZarenetted,the

netvaluetoYis70.WhentransactionsbetweenZandXarenetted,thenetvaluetoZis80.

SupposethatalltransactionsareclearedthroughaCCPratherthanbilaterally.Whatisthe

netpositionofX,Y,andZ?

A.+20,+10,+10

B.-20,+10,+10

C.-20,-10,-10

D.+20,-10,-10

1

5.Answer:B

Whentheyareclearedcentrally,theynetto-20forX,+10toY,and+10toZ.

1

6.ConsideranAsianoptionwithamaturityofoneyearandwheretheaverageassetpriceis

computedasthearithmeticaverageoffourend-of-quarterprices,givenby:$19.00(endof

March),$27.00(endofJune),$25.00(endofSeptember),and$17.00(endofDecember;and

thefinalassetpriceatoptionexpiration).WhichofthefollowingAsianoptionsoffersthe

highestpayoffatexpiration?

A.Anaveragestrikecall

B.Anaveragestrikeput

C.Anaveragepricecallwithstrikeof$20.00

D.Anaveragepriceputwithstrikeof$20.00

1

6.Answer:B.

Anaveragestrikeputreturnsapayoffof$5.00

Thearithmeticpriceaverage=(19+27+25+17)/4=$22.00

Itisnotrelevanthere,butthegeometricaverage=(19*27*25*17)^(1/4)=$21.61.Notethe

averagemethodhasaconsequence.

Inregardto(A),payoffofaveragestrikecall=max[0,S(T)-Avg(S)]=max[0,17-22]=0

Inregardto(B),payoffofaveragestrikeput=max[0,Avg(S)-S(T)]=max[0,22-17]=$5.00

Inregardto(C),payoffofanaveragepricecallwithstrikeof$20.00=max[0,Avg(S)-K]=

max[0,22-20]=$2.00

Inregardto(D),payoffofanaveragepriceputwithstrikeof$20.00=max[0,K-Avg(S)]=

max[0,20-22]=0

1

7.Assumethataloanhasthefollowingcharacteristics:Grossrevenueisexpectedtobe$5.0

million,Interestexpenseis$3.0million,Expectedreturnonthe$6.0millionineconomic

capitalis$175,000,Expectedlossontheloanis$250,000,Othercostsassociatedwith

makingtheloanequal$1.0million.Whatistherisk-adjustedreturnoncapital(RAROC)for

thisloan?

A.10.42%

B.15.42%

C.22.92%

D.32.08%

1

7.Answer：B

RAROC=(5-0.25-3+0.175-1)/6=15.42%

1

8.Adataanalystatalargebankisevaluatingthevaluationofauniquestockoptionwithfew

knownproperties.Theanalystisconsideringusingsimulationtomodeltheoption’spotential

value.TheanalystassesseswhethertouseMonteCarlosimulationorbootstrappingto

conducttheanalysis.Whichofthefollowingstatementsaboutbootstrappingiscorrect?

A.Datausedforbootstrappingmustfollowastandardnormaldistribution.

B.Datausedforbootstrappingmustberesampledwithreplacement.

C.Datausedforbootstrappingmustcomefromavariablewithknownproperties.

D.Datausedforbootstrappingmustberesampledsuchthatallpossibleoutcomesina

probabilityspacearepresent.

1

8.Answer:B

Biscorrect.Inbootstrapping,dataareresampledwithreplacementinordertoempirically

estimatethesamplingdistribution.

Aisincorrect.OneadvantageofbootstrappingoverMonteCarlosimulationisthatthedatadonot

havetofollowanydistribution.

Cisincorrect.SameexplanationasA.

Disincorrect.Thiswouldbeidealbutnotalwayspossible.

1

9.Aportfoliomanagerisassessingwhetherthe1-yearprobabilityofdefaultofalongevity

bondissuedbyalifeinsurancecompanyisuncorrelatedwithreturnsoftheequitymarket.

Theportfoliomanagercreatesthefollowingprobabilitymatrixbasedon1-yearprobabilities

fromthepreliminaryresearch:

LongevityBond

NoDefault

61%

Default

1%

2

0%

Increase

20%

Decrease

Market

Returns

35%

3%

Giventheinformationinthetable,whatistheprobabilitythatthelongevitybond

defaultsin1yeargiventhatthemarketdecreasesby20%over1year?

A.3.00%

B.4.00%

C.7.89%

D.10.53%

1

9.Answer:C

UsingBayes’theorem,letA=bonddefaultandletB=20%dec