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　　Henry Liang’s FRM Guide 是我的FRM讀書筆記。旨在將2775頁厚的《FRM官方教材》濃縮成一部便攜、可查詢、有助備考的手冊。

　　根據(jù)FRM二級2018年考綱要求，這次全新撰寫了《當(dāng)前時事》，更新了《巴塞爾協(xié)議》。

　　我以前說過：《巴塞爾》、《時事》是FRM二級容易拿分的兩個部分。現(xiàn)在我鄭重撤回這句話。近幾年FRM二級考試難度全面升級：試卷越來越厚、題型越來越刁鉆、難度也越來越深邃。巴塞爾、時事以前確實屬于“送分觀音”，但此一時彼一時也!幾年前考二級，人人都能提前交卷，而現(xiàn)在連準(zhǔn)時完成都很困難。所以請各位考生嚴(yán)加防范，做好壞打算，決不能用老經(jīng)驗來應(yīng)對。FRM更多問題點我咨詢>>>

　　2018年GARP官方?？碱}(二級)72~74題，分別考了巴塞爾協(xié)議NSFR、市場風(fēng)險Delta對沖、信用風(fēng)險wrong-way risk。其中，72題考的是巴塞爾協(xié)議NSFR的一個技術(shù)細(xì)節(jié)。這個技術(shù)細(xì)節(jié)上課都講過，但此題著實出得波詭云譎、陰險毒辣。我初看此題時，完全無從下手，待略有所悟時已是10分鐘之后了。題目不僅如泥鰍般狡猾，還完全契合考綱，令我心悅誠服。

　　這幾道題體現(xiàn)了當(dāng)下FRM二級的標(biāo)準(zhǔn)難度與出題風(fēng)格，想必協(xié)會以此作為FRM考試?？碱}免費公布，其意也是告誡諸位切莫松懈迎考。

　　第一次考FRM二級的考生，對其難度認(rèn)識不足，很多都曾問過我諸如：我不看書能不能通過?我沒做題能不能通過?我只看視頻能不能通過?

　　我想說：耳聽為虛，眼見為實。我將這三道模考題附在文后。所有疑問，一看便知。

　　Henry Liang’s FRM Guide 不能幫助你做對每道題，但可以幫助你高效省時地背記FRM考試公式、觀點、知識，希望能夠祝大家一臂之力!

　　QUESTIONS 72 THROUGH 74 REFER TO THE FOLLOWING INFORMATION

　　In a surprise monetary policy action on August 10, 2015, the People’s Bank of China cut its daily currency reference rate against the USD, resulting in a large devaluation of the CNY versus the USD. Immediately after the announcement, the CRO of CMM Bank (CMM), an international bank with headquarters in Shanghai, began evaluating the impact of this and other events on the bank’s position.

　　CMM had outstanding long-term debt denominated in USD and deposits denominated in CNY. A significant portion of CMM’s lending portfolio was also denominated in CNY and consisted largely of loans and lines of credit to Chinese manufacturers who were heavily dependent on imported raw materials. Other loans to non-Chinese firms with exposure to China were denominated in USD. The bank’s portfolio investments included CNYdenominated Chinese Treasury securities and other sovereign debt.

　　A portion of CMM’s retail customer base had invested on margin in the Chinese equity markets. Over the next few weeks, local stock markets experienced declines in share prices. Many of CMM’s larger retail depositors experienced margin calls and had begun to draw down demand deposits to meet them. Offsetting these outflows, however, were increases in the 3-month, 6-month and 9-month term deposit balances at CMM of several large corporate customers. The result was that CMM’s overall net deposit flow had been approximately zero.

　　As a result of credit developments elsewhere in the world, several of CMM’s sovereign debt holdings were downgraded, some from AA to A and some from A to BBB. One of the noticeable outcomes was that the bid-ask spreads on many of the sovereign bonds held and traded by CMM widened. Despite these developments, CMM’s sovereign debt portfolio remained exclusively investment grade with a weighted average rating of A+.

　　72. CMM’s CRO was concerned about the bank’s liquidity position and decided to review the impact of the devaluation and other capital market events on its net stable funding ratio (NSFR). Ignoring any changes in the market value of CMM’s sovereign debt holdings, which of the following is correct?

　　A. The NSFR will not be impacted by the sovereign credit rating changes because the overall sovereign debt portfolio remains investment grade.

　　B. The NSFR will be reduced by the sovereign credit rating changes but this effect can be offset by selling A-rated sovereign debt and investing the proceeds in gold.

　　C. The NSFR will not be impacted by the change in demand deposits because the bank’s overall deposit level is unchanged.

　　D. The NSFR will be reduced by the change in demand deposits but this effect can be offset by issuing common stock.

　　73. Before the devaluation of CNY, CMM’s trading desk had established a short call options position on the USD-CNY (CNY per USD) exchange rate that was made delta-neutral through a spot USD transaction. The position was no longer delta-neutral after the devaluation came into effect and the desk wanted to take steps to make it delta-neutral again. The bank was concerned about whether this would involve buying or selling USD and what impact this might have on liquidity. The trader who initiated the position suggested that, once it was made delta-neutral, the short call options position would be an effective way to hedge the bank’s long CNY exposure against further devaluations and that the bank should consider increasing the size of the position accordingly. In considering this situation, what should the CRO conclude?

　　A. The bank will have to buy USD to make the position delta neutral, but the delta-neutral short call options position is not an effective way to hedge an underlying long CNY exposure against further devaluations.

　　B. The bank will have to sell USD to make the position delta neutral, but the delta-neutral short call options position is not an effective way to hedge an underlying long CNY exposure against further devaluations.

　　C. The bank will have to buy USD to make the position delta neutral, and the delta-neutral short call options position is an effective way to hedge an underlying long CNY exposure against further devaluations.

　　D. The bank will have to sell USD to make the position delta neutral, and the delta-neutral short call options position is an effective way to hedge an underlying long CNY exposure against further devaluations.

　　74. CMM had CNY-denominated loans outstanding to TVR, a manufacturing firm that generated its revenue in CNY. To hedge some of its risk, CMM had bought CDS protection on TVR from a bank from the same country as TVR, Bank EP. If the default probability of TVR increases unexpectedly and the default correlation between TVR and Bank EP increases to 1, which of the following is correct?

　　A. The value of the CDS will increase and CMM has a wrong-way risk with Bank EP.

　　B. The value of the CDS will decrease and CMM has a wrong-way risk with Bank EP.

　　C. The value of the CDS will increase and CMM has a right-way risk with Bank EP.

　　D. The value of the CDS will decrease and CMM has a right-way risk with Bank EP.

　　Henry Liang’s FRM Guide下載地址：

　　https://pan.baidu.com/s/1qXPMiE4

　　所有版本的Guide都會放在上述網(wǎng)址內(nèi)，并不定期更新。

　　本文部分內(nèi)容引用自GARP協(xié)會 2018 FRM Part II Practice Exam

　　Henry Liang, CQF

　　Algo Trader/Quant

　　金程教育級FRM/CFA培訓(xùn)師

　　中國人事部認(rèn)證CATTI二級交互傳譯