距離FRM二級(jí)考試越來越近了，F(xiàn)RM考生在考前要每天都去復(fù)習(xí)，考試備考做模擬題是少不了的，下面金程小編給大家分享一下FRM二級(jí)模擬題，建議FRM考生及時(shí)領(lǐng)取在考前進(jìn)行模擬測試。
FRM二級(jí)模擬題：
1.A risk manager is pricing a 10-year call option on 10-year Treasury using a successfully tested pricing model. Current interest rate volatility is high and the risk manager is concerned about the effect that may have on short-term rates when pricing the option. Which of the following actions would best address the potential for negative short-term interest rates to arise in the model?
A.When short-term rates are negative, the risk manager gets their absolute value.
B.When short-term rates are negative, the risk manager sets the rate to zero.
C.When short-term rates are negative, the risk manager adjusts the risk-neutral probabilities.
D.When short-term rates are negative, the risk manager increases the volatility.
2.Melvin Brown manages a long portfolio of debt and equity investments for an insurance company and has been trying to implement a new risk management program based on estimating and reporting the daily value at risk (VaR) for each manager’s portfolio. Brown is writing a report to gain support for his proposal. If Brown determines that daily VaR (10%) for his portfolio is equal to $20,000, which of the following statements should he including in his report?
A.Computationally, delta-normal VaR is more complex than standard deviation but easier to interpret from a risk management perspective.
B.VaR was developed specifically for the purpose of measuring the economic capital required to protect bank portfolios against losses.
C.The risk of losing more than $20,000 in Brown’s portfolio value in any given week is 10%.
D.Portfolio diversification is not fully accounted for using the VaR methodology.
3.How many of the following statements regarding risk budgeting are correct?
I.Tracking error is defined as the standard deviation of the difference between the returns on a portfolio and the benchmark portfolio.
II.Using only information ratios allow risk on entire (firm) portfolios to be budgeted (allocated) across various portfolios managed by separate managers.
III.The optimal weights of the allocations to various fund managers (of a firm) do not necessarily have to sum to one.
IV.The benchmark portfolio cannot be assigned any weight under the optimal allocation scheme across active fund managers of a firm.
A.One
B.Two
C.Three
D.Four
4.Local Company, a frequent user of swaps, often enters into transactions with Global Bank, a major provider of swaps. Recently, Global Bank was downgraded from a rating of AA to a rating of A, while Local Company was downgraded from a rating of A to a rating of A-. During this time, the credit spread for Global Bank has increased from 20bps to 150 bps, while the credit spread for Local Company has increased from 130 bps to 170 bps. Which of the following is the most likely action that the counterparties will request on their credit value adjustment (CVA)?
A.The credit qualities of the counterparties have migrated, but not significantly enough to justify amending existing CVA arrangements.
B.Global Bank requests an increase in the CVA charge it receives.
C.Local Company requests a reduction in the CVA charge it pays.
D.CVA is no longer a relevant factor, and the counterparties should migrate to using other mitigants of counterparty risk.
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5.As a result of the new Basel standards, every bank must now calculate explicit capital charges to cover operational risk using one of three approaches: the basic indicator approach (BIA), the standardized approach (SA), and the advanced measurement approach (AMA). How many of the following statements are true with respect to these operational risk approaches?
I.In practice the AMA is the most stringent approach for operational risk.
II.The most popular method to satisfy the AMA is the loss distribution approach.
III.The AMA allows a bank to build its own operational risk model and measurement system comparable to market risk standards.
IV.BIA is widely used in insurance and actuarial science.
A.One
B.Two
C.Three
D.Four
6.Basel’s 1996 Amendment allows more sophisticated banks with well-established risk management functions to use an internal model-based approach (IMA) for setting market risk capital. Most large banks preferred to use the internal model-based approach because it better reflected the benefits of diversification and led to lower capital requirements. About this capital charge for market risk under the internal models approach (IMA), including 2009 revisions to the original Amendment, each of the following is true except which is not?
A.The value-at-risk (VaR) measure used in the internal model-based approach is calculated with a 10-day time horizon and a 99.0% confidence level; and regulators explicitly stated that the 10-day 99.0% VaR can be calculated as the one-day 99.0% VaR multiplied by the square root of ten; i.e., 10-day 99.0% VaR = one-day 99.0% VaR×sqrt(10)
B.The capital requirement is equal to max[VaR(t – 1), m(c) ×VaR(avg)] SRC, where m(c) is a multiplicative factor with a minimum value of 3, SRC is a specific risk charge, VaR(t – 1) is the previous day’s value at risk, and VaR(avg) is the average value at risk over the past 60 days
C.The capital requirement adds two terms: value-at-risk (VaR) and specific risk charge (SCR). In a corporate bond security, for example, the credit risk is captured by the VaR term and the interest rate risk is captures by the SRC term.
D.The bank’s VaR risk model must contain a “sufficient” number of risk factors and the bank must justify the omission of any risk factors that are otherwise used in pricing (valuation).
7.Under the contingent claim approach to the firm’s capital structure, which of the following statements is true? Assume the amount of senior debt, subordinated debt, and equity is represented as F, U, and S, respectively.
A.The value of subordinated debt is less than the value of senior debt.
B.Subordinated debt can be represented by a long call with exercise price of F and short call with exercise price of U.
C.Subordinated debt behaves more like equity in distress and more like debt when the firm is not in distress.
D.The value of subordinated debt is always greater than the value of equity.
8.An analyst is examining a sample of return data. As a first step, the analyst construct a QQ plot of the data as shown below.
Based on an examination of the QQ plot, which of the following statements is incorrect?
A.The returns are not normally distributed.
B.The return distribution has fatter tails relative to the normal distribution.
C.The return distribution is symmetric relative to the normal distribution.
D.The return distribution has thinner tails relative to the normal distribution
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9.A firm’s financial planning department reports that a project’s proposed risk-adjusted return on capital (RAROC) is 13%, the risk-free rate is 3%, the market return is 11%, and the firm’s equity beta is 1.3. Use adjusted risk-adjusted return on capital (ARAROC) to determine whether or not the project should be accepted. This firm should:
A.Reject the project because its expected ARAROC is higher than the risk-free rate.
B.Accept the project because its expected ARAROC is higher than the market’s risk-free rate
C.Accept the project because its expected ARAROC is lower than the market’s risk-free rate
D.Reject the project because its expected ARAROC is lower than the market’s risk-free rate
10.Analyst Barbara constructed an interest rate tree with monthly time steps, where (t) = 1/12. The current short-term rate is 3%. Her term structure model assumes an annual basis point volatility of 200 basis points with an annual (lambda) drift of 50 basis points. She employs Tuckman’s Model 2 which assumes normally distributed rates and incorporating drift. Here is her rate tree:
What is the un-displayed missing value at node [2.0]; i.e., the rate in the tree not the realized process?
A.1.93%
B.2.17%
C.2.38%
D.3.01%
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