FRM一級(jí)常見易錯(cuò)題

　　1.Which of the following bonds bears the greatest price impact if its yield declines by one percent?A bond with:

　　A.30-year maturity and selling at 100.

　　B.10-year maturity and selling at 100.

　　C.10-year maturity and selling at 70.

　　D.30-year maturity and selling at 70.

　　2.Which of the following reasons most completely describes why country risk assessment is prone to error?

　　A.While data is accurate,it is often incomplete.

　　B.Different accounting standards are used in different countries.

　　C.Disclosure requirements are inconsistent across international borders.

　　D.The exchange rate correlations are unstable during economic downturns.

　　3.The characteristic function of the product of independent random variables is equal to the:

　　A.square root of the product of the individual characteristic functions.

　　B.exponential root of the product of the individual characteristic functions.

　　C.product of the individual characteristic functions.

　　D.sum of the individual characteristic functions.

　　Answer:

　　1.D

　　There are three features that determine the magnitude of duration:

　　(1)The lower the coupon,the greater the bond price volatility.

　　(2)The longer the term to maturity,the greater the price volatility.

　　(3)The lower the initial yield,the greater the price volatility.

　　The bond with the 30-year maturity will have a greater price impact than the 10-year maturity.The bond selling at the greatest discount will have a large price impact,a discount means that the coupon payments are low or the initial yield is low.So,the bond with the 30-year maturity and selling at 70 will have the greatest price volatility.

　　2.D

　　In addition to contagion,there are other reasons why country risk assessment is prone to error.First of all,the interrelationship among the relevant variables is complex and hard to model.Also,many sovereign and foreign borrowers provide incomplete and/or inaccurate information.

　　3.C

　　The characteristic function of the sum of independent random variables is equal to the product of the individual characteristic functions.E(XY)=E(X)×E(Y).

　　FRM考生：

　　本人零基礎(chǔ)非金融專業(yè)，準(zhǔn)備17年5月份FRM報(bào)名，想往銀行發(fā)展，請(qǐng)問我要準(zhǔn)備多久呢?大家都在看handbook/notes，請(qǐng)問這倆有什么區(qū)別嗎?覺得無從下手啊!!!

　　金程FRM老師：

　　自學(xué)FRM的難度是非常大的，通過率只有30%以下，所以FRM考試報(bào)名后不建議考生們自學(xué)，建議看看FRM網(wǎng)課了解之后再做決定。

　　為什么這么說?

　　1.FRM考試內(nèi)容每年都會(huì)有變化。從2016年FRM考試大綱就能看出來，今年的考綱跟2015年的不一樣。而且FRM考試難度所基于的VAR和壓力測(cè)試的風(fēng)險(xiǎn)管理方法在飛速的變化和發(fā)展中，以至于國內(nèi)FRM教材市場(chǎng)上的書籍很難覆蓋全部考試內(nèi)容，這也大大增加了FRM考試難度。

　　2.FRM考試難度還在于與業(yè)界風(fēng)控實(shí)務(wù)緊密聯(lián)系。FRM考試難度是因?yàn)榭荚噧?nèi)容多為實(shí)際工作中的具體問題，F(xiàn)RM考試難度也與命題人設(shè)計(jì)題目的考察目的有關(guān)，使FRM考試難度上升不小。

　　3.還有一個(gè)不定因素影響著FRM考試難度。GARP沒有專門的出題人員，使FRM考試難度有較大的波動(dòng)。所以要適應(yīng)FRM考試難度僅靠悶頭做一些陳年真題，是根本無法培養(yǎng)出良好有效的應(yīng)試技能與技巧的，畢竟FRM報(bào)名費(fèi)用也不低。

　　提醒的是，FRM考試資料確實(shí)是handbook和notes，handbook覆蓋面比較廣，note練習(xí)題比較全，一般兩者結(jié)合起來，會(huì)有意想不到的收獲哦!

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