我相信大家都是從FRM題海戰(zhàn)術(shù)里走出來(lái)的朋友們，其實(shí)刷題就是一個(gè)熟能生巧的事情，即使可能你對(duì)某個(gè)知識(shí)點(diǎn)不理解，但是同一個(gè)題型你做完3次后，就有一種閉著眼睛我都能認(rèn)出你的熟悉感，剝掉題干的外殼，其實(shí)都是同一個(gè)套路。
那么到底哪些題目是有典型考法，哪些知識(shí)點(diǎn)是易錯(cuò)的點(diǎn)，哪些是協(xié)會(huì)的慣用套路，這就是大家FRM考前需要拿個(gè)小本本記下來(lái)的事情。
看到這里，是不是大家都有一種蠢蠢欲動(dòng)，要趕緊去做筆記的想法?
知道目前大家都在爭(zhēng)分多秒學(xué)習(xí)，貼心小編幫大家整理了FRM一級(jí)、二級(jí)學(xué)科的錯(cuò)題本，希望在最后的時(shí)候能給大家起到助力的作用。
精選問(wèn)答1
題干
Jimi Chong is a risk analyst at a mid-sized financial institution. He hasrecently come across an article that described the enterprise risk management(ERM) process.
Chong does not believe this is a well-written article, and heidentified four statements that he thinks are incorrect. Which of the followingstatements identified by Chong is actually correct?
選項(xiàng)A
One of the drawbacks of a fullycentralized ERM process is over-hedging risks and taking out excessiveinsurance coverage.
選項(xiàng)B
Effective ERM has three key benefits:improved business performance, better risk reporting, and stronger stakeholdermanagement.
選項(xiàng)C
Managing downside risk and earningsvolatility are optional ERM strategies.
選項(xiàng)D
A prudent ERM strategy allows a firm toaccept more of the profitable risks.
答案解析
D is correct. A strong ERM strategy allows a firm to accept more of theprofitable risks and reject unprofitable risks.
Over-hedging risks and taking out excessiveinsurance coverage are issues faced by companies that do not have an integrated ERM strategy.
In addition to improved business performance and better riskreporting, the third benefit of effective ERM is improved organizationaleffectiveness.
Managing downside risk and earnings volatility are strategiestypical of companies with a defensive approach to risk management, whereaseffective ERM focuses on optimizing performance, influencing pricing, andallocating resources effectively.
解題思路
本題應(yīng)該選D。在D選項(xiàng)中，prudent的意思是謹(jǐn)慎，而并非厭惡。所謂謹(jǐn)慎，并不是說(shuō)就不接受風(fēng)險(xiǎn)了，而是說(shuō)對(duì)待風(fēng)險(xiǎn)的態(tài)度更審慎。題目中有profitable的修飾：去接受會(huì)帶來(lái)盈利的風(fēng)險(xiǎn)，是可以的。
A選項(xiàng)中的over-hedging：over-headging指過(guò)多的風(fēng)險(xiǎn)對(duì)沖。因?yàn)橐粋€(gè)公司內(nèi)部，將所有業(yè)務(wù)線合并起來(lái)，有一些業(yè)務(wù)線之間本身就可以形成對(duì)沖，ERM好的公司，就會(huì)讓這些業(yè)務(wù)形成天然對(duì)沖。
如果ERM不好、綜合化程度不高，每個(gè)業(yè)務(wù)部門(mén)都自己對(duì)沖，那業(yè)務(wù)線之間的天然對(duì)沖就沒(méi)法形成，這樣過(guò)多的對(duì)沖就會(huì)帶來(lái)更高的成本。所以ERM好的公司，是不會(huì)有這種drawback的。
C選項(xiàng)：傳統(tǒng)的風(fēng)險(xiǎn)管理中，企業(yè)是對(duì)風(fēng)險(xiǎn)進(jìn)行單獨(dú)管理的，比如這里的下限風(fēng)險(xiǎn)和收入的不確定。而企業(yè)的全面風(fēng)險(xiǎn)管理，是對(duì)風(fēng)險(xiǎn)進(jìn)行綜合地管理，目標(biāo)是使得公司整體的業(yè)績(jī)較優(yōu)化等等，而不是僅僅、單獨(dú)地管理下限風(fēng)險(xiǎn)和收入的不確定。
精選問(wèn)答2
題干
An analyst at CAPM Research Inc. is projecting a return of 21% onPortfolio A. The market risk premium is 11%, the volatility of the marketportfolio is 14%, and the risk-free rate is 4.5%.
Portfolio A has a beta of1.5. According to the capital asset pricing model, which of the followingstatements is true?
選項(xiàng)A
The expected return of Portfolio A isgreater than the expected return of the market portfolio.
選項(xiàng)B
The expected return of Portfolio A isless than the expected return of the market portfolio.
選項(xiàng)C
The return of Portfolio A has lowervolatility than the market portfolio.
選項(xiàng)D
The expected return of Portfolio A isequal to the expected return of the market portfolio.
答案解析
A is correct. According to the CAPM, the required return on Portfolio Rf +β*[E( R M )? R F ] = 4.5 %+ 1.5*11% = 21% indeed. Because the beta isgreater than 1, it must be greater than the expected return on the market, whichis 15.5%. Note that the question has a lot of extraneous information.
解題思路
market portfolio的系統(tǒng)性風(fēng)險(xiǎn)貝塔等于1。在CAPM的模型下，根據(jù)CAPM:R=Rf+β(Rm-Rf)，對(duì)于Portfolio A和Market Portfolio而言，公式的其它變量都是一致的，唯一的區(qū)別是組合a的β是1.5，市場(chǎng)組合的β是1，由于β后面的MarketPremium是正數(shù)，必然導(dǎo)致組合A的期望收益大于市場(chǎng)組合的期望收益。
易錯(cuò)點(diǎn)分析：
本題可以根據(jù)β直接做判斷。
精選問(wèn)答3
題干
AN ANALYST HAS ESTIMATED THAT THE RETURNS FOR AN ASSET, CONDITIONAL ON THEPERFORMANCE OF THE OVERALL ECONOMY, ARE:
Also, the conditional expected returns onthe market portfolio are:
According to the CAPM, if the risk-freerate is 5% and the risky asset has a beta of 1.1, with respect to the marketportfolio, the analyst should:
選項(xiàng)A
sell (or sell short) the risky assetbecause its expected return is less than equilibrium expected return on themarket portfolio.
選項(xiàng)B
buy the risky asset because the analystexpects the return on it to be higher than its required return in equilibrium.
選項(xiàng)C
sell (or sell short) the risky assetbecause its expected return is not sufficient to compensate for its systematicrisk.
選項(xiàng)D
buy the risky asset because the analystexpects the return on it to be lower than its required return in equilibrium.
答案解析
C is correct. The analyst’s forecast of the expected return on the riskyasset is 5%*0.2+10%*0.4+ 14%*0.4 =10.6%. The expected/equilibrium return on themarket portfolio is 2%*0.2+10%*0.4+15%*0.4 = 10.4%.
The CAPM equilibrium expected return(required return in equilibrium) on the risky asset is 5%+ 1.1*(10.4%-5%) =10.94%.
Since the analyst’s forecast return on the risky asset is less itsrequired return in equilibrium, the asset is overpriced and the analyst wouldsell if he owned it and possibly sell it short.
解題思路
10.6%是分析師預(yù)期的資產(chǎn)的收益率。10.4%是market portfolio的收益率(market portfolio經(jīng)過(guò)了充分的分散化;它就是CAPM公式里的那個(gè)E(Rm)。10.94%是用CAPM算出來(lái)的asset的合理收益率。
CAPM算出來(lái)的合理收益率是10.94%，而預(yù)期收益只有10.6%。它的預(yù)期收益率比合理收益率低，說(shuō)明它的價(jià)格是偏高的，所以應(yīng)該賣出。
精選問(wèn)答4
題干
In which of the following situations would the existence or addition of anindependent risk management department add value to a bank?
選項(xiàng)A
When there is a low cost to the bank ofhaving incremental risk above the optimal level.
選項(xiàng)B
When there are multiple business unitswithin a bank, all guided by specific risk objectives of their respectiveunits.
選項(xiàng)C
When the risk management process isflexible and consistently succeeds in managing the bank’s risk below the setacceptable threshold level.
選項(xiàng)D
When the fixed costs of having a riskmanagement department outweigh the benefits.
答案解析
B The total amount of risk that the bank is able to take is dependent onall of the risks taken by the various business units.
As a result, the riskmanagement function can add value by requiring the business units to take theperspective of the entire bank when making decisions regarding risks.
If there is a very high cost of havingincremental risk above the optimal level, then there is value in having a riskmanagement department to ensure compliance with specific risk limits.
If thereis a very low cost of having incremental risk above the optimal level, then thefixed costs of having a risk management department may outweigh the benefits,thereby destroying value for the bank.
If a bank has a risk management processthat is very inflexible in order to manage the bank’s risk below a setacceptable threshold level, it may end up controlling risk but not allowing forany value creation.
解題思路：
A選項(xiàng)：題目問(wèn)的是說(shuō)，在何種情況下，銀行再增加一個(gè)風(fēng)險(xiǎn)管理部門(mén)會(huì)帶給銀行帶來(lái)收益。A選項(xiàng)意思是當(dāng)增加風(fēng)險(xiǎn)，需要較低成本時(shí)。很明顯，只要當(dāng)需要更高成本時(shí)，銀行才會(huì)再增加風(fēng)控部門(mén)。
B選項(xiàng)：因?yàn)楣居珊芏囡L(fēng)險(xiǎn)各異的業(yè)務(wù)條線存在，在考慮risk apappetite等因素的時(shí)候要站在公司整體風(fēng)險(xiǎn)的角度考量，這時(shí)候一個(gè)獨(dú)立的風(fēng)險(xiǎn)管理部門(mén)可以統(tǒng)籌完善風(fēng)險(xiǎn)的分配等問(wèn)題，因此會(huì)add value。
C選項(xiàng)：銀行的風(fēng)險(xiǎn)已經(jīng)在可以接受的風(fēng)險(xiǎn)門(mén)檻之下了，風(fēng)險(xiǎn)過(guò)低的情況下，那么銀行的盈利性就會(huì)降低。此時(shí)再一味地增加風(fēng)險(xiǎn)管理部門(mén)，那么只能繼續(xù)控制風(fēng)險(xiǎn)，而不能帶來(lái)value creation。
易錯(cuò)點(diǎn)分析
此題偏定性理解，其余三選項(xiàng)誤選的同學(xué)較多。
精選問(wèn)答5
題干
Which of the following statements regarding the amount of risk taken by abank and the impact on the value of a bank is most likely correct?
選項(xiàng)A
Banks need to take on a small amountrisk in order to maximize shareholder value while satisfying the constraintsimposed by bank regulators.
選項(xiàng)B
Banks that are conservative in practiceand take on less risk will always end up generating more value because theyavoid incurring losses that would be associated with taking on more risk.
選項(xiàng)C
Banks that are valued for their abilityto provide liquid investments to their customers should take on less risk inorder to maximize value.
選項(xiàng)D
Banks that are conservative in practicetypically assume an optimal amount of risk of zero.
答案解析
C is correct. When a bank is valued for its ability to provide safe andliquid investments to its customers, it should not take on too much riskbecause that may impair its ability to provide safe and liquid investments andmay ultimately reduce the value of the bank.
A bank needs to take on an optimalamount of risk in order to maximize shareholder value while satisfying theconstraints imposed by bank regulators.
In theory, the optimal amount may bezero, although in practice, that is rarely the case. If a bank takes on toolittle risk, it may fail to capitalize on enough profitable opportunities and,therefore, generate suboptimal returns for its shareholders. Ultimately, toolittle risk may lower the value of the bank.
解題思路：
A選項(xiàng)：A選項(xiàng)錯(cuò)在銀行承擔(dān)較優(yōu)規(guī)模的風(fēng)險(xiǎn)，在滿足監(jiān)管要求的前提下來(lái)實(shí)現(xiàn)股東價(jià)值最大化，而不是small amount。
B選項(xiàng)：太保守、只愿意承擔(dān)更少風(fēng)險(xiǎn)的銀行是沒(méi)法賺更多錢的，流動(dòng)性、安全性、盈利性是一組trade-off。B選項(xiàng)從end up generating moremoney開(kāi)始都錯(cuò)。
D選項(xiàng)：即使一家銀行風(fēng)格再保守，但它也是要盈利的，而要想盈利的話就勢(shì)必會(huì)承擔(dān)風(fēng)險(xiǎn)。D選項(xiàng)在本題中不是較佳選項(xiàng)。
易錯(cuò)點(diǎn)分析：
本題跟上題一樣，另外三個(gè)選項(xiàng)誤選同學(xué)較多。FRM一級(jí)這門(mén)課的特點(diǎn)就是這樣，考察比較宏觀，需要一些在風(fēng)控方面的common sense。
精選問(wèn)答6
題干
A portfolio manager returns 10% with a volatility of 20%. The benchmarkreturns 8% with risk of 14%. The correlation between the two is 0.98. Therisk-free rate is 3%. Which of the following statements is correct?
選項(xiàng)A
The portfolio has higher SR than thebenchmark.
選項(xiàng)B
The portfolio has negative IR.
選項(xiàng)C
The IR is 0.35.
選項(xiàng)D
The IR is 0.29
答案解析
The Sharpe ratios of the portfolio and benchmark are (10% - 3%)/20% = 0.35and (8% - 3%)/14% = 0.36, respectively. So the SR of the portfolio is lowerthan that of the benchmark; answer A is incorrect.
The TEV is the square rootof 20 % ^2 +14 % ^2 ?2×0.98×20%×14% , which is 0.00472^0.5 = 6.87%. So,the IR of the portfolio is (10% - 8%)/6.87% = 0.29. This is positive, so answerB is incorrect. Answer C is the SR of the portfolio, not the IR, so it isincorrect.
解題思路：
TEV代表了主動(dòng)風(fēng)險(xiǎn)，它的計(jì)算公式為T(mén)EV=standard deviation of (Rp-Rb)。算出來(lái)是6.87%。
主動(dòng)收益/主動(dòng)風(fēng)險(xiǎn)=信息比率IR,題目算得IR=0.29，而非0.35。解答第二段算得夏普比率才應(yīng)該是0.29，所以D正確。
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