下面是FRM二級學(xué)科操作風(fēng)險的高頻問答，希望對大家的備考有所幫助。今天FRM二級放上操作風(fēng)險的錯題本，大家一起來看看這些題都會做嗎?
精選問答1
題干
Which of the following approaches for calculatingoperational risk capital charges leads to a higher capital charge for a givenaccounting income as risk increases?
選項A
The basic indicator approach
選項B
The standardized approach
選項C
The advanced measurement approach
選項D
All of the above
答案解析
C is correct. The basic indicator approach uses a factorof α= 15%. The standardized approach uses a fixed factor ranging from 12% to18%, so is not risk sensitive (except for changes across business lines). TheAMA is the most risk-sensitive method.
解題思路
這題考的主要是對operationalrisk的幾種算capitalrequirement方法的理解問題，很多FRM報名考生看到題面都會直接覺得考的是哪種方法會產(chǎn)生多的capitalrequirement，然后就會選擇最初級的方法BIA，因為最初級的方法因為比較粗糙往往會產(chǎn)生較大的資本需求。
而實際上這題的著眼點在sensitivity，當(dāng)風(fēng)險增加時，哪種方法產(chǎn)生的capital charge的增量最大，這個角度來看的話，因為BIA和standard approach都是給業(yè)務(wù)條線設(shè)定固定factor的方法，而AMA只要公司自己建模，經(jīng)過監(jiān)督機構(gòu)核準的(比如LDA方法)，拿LDA方法來說，PD和LGD兩個維度的模型參數(shù)變化會使模型的結(jié)果比固定factor的前兩種方法對風(fēng)險變化更加敏感。
精選問答2
題干
You are a manager of a renowned hedge fund and are analyzinga 1,000- share position in an undervalued but illiquid stock BNA, which has acurrent stock price of USD 72 (expressed as the midpoint of the current bid-askspread).
Daily return for BNA has an estimated volatility of 1.24%. The averagebid-ask spread is USD 0.16. Assuming returns of BN A are normally distributed,what is the estimated liquidity-adjusted daily 95% VAR, using the constantspread approach?
選項A
USD 1,389
選項B
USD 1,469
選項C
USD 1,549
選項D
USD 1,629
答案解析
C is correct. Conventional VAR is $72 x 1,000 x 1.24% x1.645 = $1,469. The spread effect is $0.16 x 1,000 = $80, for a total of$1,549. As usual, we see that the spread liquidity component is small.
解題思路
這題var的部分沒有問題，很多同學(xué)的疑問在最后spreadeffect的調(diào)整上，問為什么不是0.16*72*1000。這里首先借助下外生流動性部分的講義：
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這里后面的調(diào)整spread其實是百分比形式的，也就是代入公式的spread應(yīng)該是0.16/72。所以最后spread effect的調(diào)整應(yīng)該是：
0.5*72*1000*0.16/72，分子分母兩個72抵消了的。這個公式中的細節(jié)可能會被不少同學(xué)忽略，需要重視一下。
精選問答3
題干
Consider a bank that wants to have an amount of capitalso that it can absorb unexpected losses corresponding to a firmwide VAR at the1 % level. It measures firmwide VAR by adding up the VARs for market risk,operational risk, and credit risk. There is a risk that the bank has too littlecapital because
選項A
It does not take into account thecorrelations among risks.
選項B
It ignores risks that are notmarket, operational, or credit risks.
選項C
It mistakenly uses VAR to measureoperational risk because operational risks that matter are rare events.
選項D
It is meaningless to add VARs.
答案解析
B is correct. VAR can be added across different types ofrisk, but this will provide a conservative estimate of capital asdiversification effects are ignored. So answer a. would be for too much capital.
Answer c. is not correct because rare events can be factored into operationalVAR. Most likely, the bank may have too little capital for other types of riskthan those measured by these three categories.
解題思路
這題不少同學(xué)會誤選A，可能是因為“不考慮correlation是一個缺點”這個觀念比較根深蒂固。而實際上這道題問的是哪個選項會使目前的capital是低估的，也就是哪個選項考慮之后會使capital charge更大。
這時候A就明顯錯了，因為考慮了correlation會減小風(fēng)險的總估計值。而B選項把沒考慮的風(fēng)險加上去的話會增加風(fēng)險的總估計值的。
精選問答4
題干
In a market crash, which the following are usually true?
I. Fixed-income portfolios hedged withshort Treasury bonds and futures lose less than those hedged with interest rateswaps given equivalent durations.
II. Bid-offer spreads widen because oflower liquidity.
III. The spreads between off-the-run bondsand benchmark issues widen.
選項A
I II and III
選項B
II and III
選項C
I and III
選項D
None of the above
答案解析
B is correct. In a crash, bid-offer spreads widen, as doliquidity spreads. Statement I. is incorrect because Treasuries usually rallymore than swaps, which leads to greater losses for a portfolioshort Treasuries than swaps.
解題思路
很多同學(xué)問這題I為什么錯了，主要是金融危機期間，市場恐慌，flight toquality效應(yīng)顯著，這時候大家都拋售風(fēng)險資產(chǎn)購買國債，導(dǎo)致國債價格上升。
此時國債價格的上升速度遠高于利率互換，那些固定收益對沖的組合中short國債或者國債期貨的受到的損失肯定是大于short IRS的。
II和III就是反應(yīng)了金融危機時的流動性問題，此時spread會增大。
精選問答5
題干
Which of the following statements regarding bestpractices in implementing a RAROC approach is correct?
選項A
A successful RAROC approach isfocused on maximizing profits earned by the firm.
選項B
A restriction on the firm'sgrowth due to leverage limitations may result in higher profits.
選項C
The data collection processthroughout the firm should be decentralized to allow the various business unitsto ensure the utmost accuracy of data.
選項D
Metrics involving credit risk,market risk, and operational risk to compute economic capital are generallyclearly defined and may be computed objectively.
答案解析
B is correct. A restriction on the firm’sgrowth due to leverage limitations may result in higher profits because itrequires the firm to be "creative" and to optimize a scarce resource(the limited amount of capital available).
Response A is not correct. A successfulRAROC approach is focused on the level of profits earned by the firm inrelation to the level of risks taken.
Response C is not correct. The datacollection process should be the responsibility of the RAROC team; the processshould be centralized with built-in edit and reasonability checks to increasethe accuracy of the data.
Response D is not correct. Metrics involvingoperational risk are not as defined as credit and market risk, therefore, thereis often a significant amount of subjectivity involved in the computations.
解題思路：
A選項：成功的RAROC方法側(cè)重于公司在一定風(fēng)險水平方面獲得的一定水平的利潤，而不是只考慮利潤最大化，所以A錯。
B選項：通過限制杠桿，堵死妄圖只通過增加杠桿(這種增加風(fēng)險的行為)來增加收益的“不歸路”，這可以刺激公司的創(chuàng)新能力，因為公司只能通過創(chuàng)新，優(yōu)化有限的資源，創(chuàng)造同樣風(fēng)險下更高收益的業(yè)務(wù)和項目來謀求公司成長。B對。
C選項：數(shù)據(jù)要在businessline之間decentralized，這樣會不方便raroc team對數(shù)據(jù)有一個統(tǒng)一和準確的收集整理。數(shù)據(jù)收集的集中有利于數(shù)據(jù)編輯和合理性檢查，可以提高數(shù)據(jù)的準確性。C錯。
D選項：涉及操作風(fēng)險的指標不像信用和市場風(fēng)險那樣定義，因此，計算中經(jīng)常涉及大量的主觀性，D錯。
精選問答6
題干
Great North Bank and Trust utilizes the advancedmeasurement approach (AMA). The risk managers in the bank have been verycareful to meet all the requirements of the Basel Committee's guidelines.
They have chosen a very large number of operational risk categories (ORCs) for riskmanagement. Which of the following problems is most likely to result fromchoosing too many operational risk categories?
選項A
Too many losses that fall below thebank’s data threshold.
選項B
A loss of granularity.
選項C
An. inability to capture thecomplexities and idiosyncrasies of the bank's operations when modelingoperational risks.
選項D
Loss data that is too high for eachcategory.
答案解析
A is correct. Very low and very high numbers ofORCs are both problematic, especially when used in conjunction with the LDA.
When a bank uses only one or a few categories, granularity is lost. However,when a bank uses a very high number of ORCs, the number of losses in eachcategory is likely to fall below the model’s data threshold.
The importance ofthe bank’s business lines may be one factor used to determine the level ofgranularity (i.e., the number of ORCs).
解題思路：
對風(fēng)險的分類太多和太少都不好，尤其是用LDA方法的時候。分類太多的話，每種分類下的的風(fēng)險會比較少以至于低于公司的數(shù)據(jù)閾值，超出風(fēng)險閾值的風(fēng)險報告會很少。所以選A。
B選項的顆粒性即多樣細分性，分類多時才會有每類的顆粒感，所以分類過多時不是loss of granularity，B錯。
C選項：分類多時候可以抓住操作風(fēng)險的復(fù)雜性等等，較少時才會有inability to capture the complexities and idiosyncrasies的問題。
D選項：操作風(fēng)險劃分得種類過多時，每一個小的種類因為太過細分了，所以它的損失就會就會偏低。而不是too high，D錯。
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