FRM風險管理基礎(chǔ)試題精選系列》》》點擊咨詢FRM 考試試題資料

Q-3.A board of directors is evaluating the implementation of a new ERM program at an asset management company. Which statement below is consistent across the various current definitions of an ERM program and most appropriate to be included in the company's ERM definition and goals?

A.The ERM program should reduce costs by transferring or insuring most of the company's major risk exposures.

B.The major goal of the new ERM program should be to reduce earnings volatility.

C.The ERM program should be managed separately from the operational side of the company.

D.The ERM program should provide an integrated strategy to manage risk across the company as a whole.

Q-4.The board of directors of a diversified industrial company has asked the risk management group to prepare a risk appetite framework for the organization. Which of the following activities should take place as part of the process of developing the company's risk appetite?

A.Constructing a list of all risks to which the company could potentially be exposed to.

B.Deciding on the types of risks the company is willing to accept across the organization.

C.Determining the maximum amount of exposure to each specific risk factor the company is willing to maintain.

D.Communicating a risk governance strategy across the organization.

Solution: B

A is incorrect. This is an example of a risk profile as it's a list of all risk factors to which a company can potentially be exposed to.

C is incorrect. This is an example of developing risk tolerance.

D is incorrect. This is an example of risk governance.

Q-5.The collapse of Long Term Capital Management （LTCM） is a classic risk management case study. Which of the following statements about risk management at LTCM is correct?

A.LTCM had no active risk reporting.

B.At LTCM, stress testing became a risk management department exercise that had little influence on the firm's strategy.

C.LTCM's use of high leverage is evidence of poor risk management.

D.LTCM failed to account properly for the illiquidity of its largest positions in its risk calculations.

Solution: D

A major contributing factor to the collapse of LTCM is that it did not account properly for the illiquidity of its largest positions in its risk calculations. LTCM received valuation reports from dealers who only knew a small portion of LTCM's total position in particular securities, therefore understating LTCM's true liquidity risk, When the markets became unsettled due to the Russian debt crisis in August 1998 and a separate firm decided to liquidate large positions which were similar to many at LTCM, the illiquidity of LTCM's positions forced it into a situation where it was reluctant to sell and create an even more dramatic adverse market impact even as its equity was rapidly deteriorating. To avert a full collapse, LTCM's creditors finally stepped in to provide $3.65 billion in additional liquidity to allow LTCM to continue holding its positions through the turbulent market conditions in the fall of 1998, However, as a result, investors and managers in LTCM other than the creditors themselves lost almost all their investment in the fund.

（如果沒收到資料，可以點我咨詢）
　

備注：（FRM備考資料包含：1、FRM專用英語詞匯 2、FRM一二級專用公式表3、FRM模擬習題 4、FRM歷年真題5、FRM前導課程6、FRM 報名流程指引圖7、FRM電子版資料 8、FRM考綱 9、FRM筆記）

相關(guān)推薦：FRM報名 FRM費用 FRM成績 FRM考點

FRM備考群 386493078 FRM資訊&資料隨時分享，與眾多FRM持證人交流考試經(jīng)驗。

返回首頁