2016FRM考试整套FRM资料

FRM求助编辑百科名片FRM （Financial Risk Manager）是全球金融风险管理领域的一种国际资格认证，由美国―全球风险管理协会‖（GARP）设立。

2010年起，由全球风险管理协会举办的金融风险管理师（FRM）考试将于每年5月和11月中下旬在全球四十多个城市同时举行。

目录FRM简介（1）什么是FRM（2）GARP简介（3）FRM影响力其他资料一、综合类问题二、考试报名类问题三、考试费用类问题四、FRM考点类问题五、考试准备类问题六、参加考试类问题七、参加FRM考试之后八、提交工作经验之后九、GARP会员类问题FRM介绍1.什么是FRM2. FRM公信力如何?3.FRM 公正性如何？FRM报名注意事项5. 怎样报名FRM？6. 报考资格如何？7. 考试费用如何?如何报名：10. 考试能否延期？11. 考点在哪？12. 能否转让给别人考试？13. 考试的考点可以更改吗？14. 为何考试报名费会不一样而且越来越贵？15. 如何准备FRM考试？16. 必须读GARP指定的教科书吗？17. NOTES 和HANDBOOK有什么区别？18. 考哪些内容？19. 这些科目在考试的时候题目是归类的吗？20. 用什么计算器？如何用？21. 全球考试通过率22. 对英文水平要求有多高？23. 对数学有什么要求？24. 准考证什么时候发？2009, the last Full FRM examVB窗口文件扩展名FRM 粉丝关系管理展开FRM简介（1）什么是FRM（2）GARP简介（3）FRM影响力其他资料一、综合类问题二、考试报名类问题三、考试费用类问题四、FRM考点类问题五、考试准备类问题六、参加考试类问题七、参加FRM考试之后八、提交工作经验之后九、GARP会员类问题FRM介绍1.什么是FRM2. FRM公信力如何?3.FRM 公正性如何？FRM报名注意事项5. 怎样报名FRM？6. 报考资格如何？7. 考试费用如何?如何报名：10. 考试能否延期？11. 考点在哪？12. 能否转让给别人考试？13. 考试的考点可以更改吗？14. 为何考试报名费会不一样而且越来越贵？15. 如何准备FRM考试？16. 必须读GARP指定的教科书吗？17. NOTES 和HANDBOOK有什么区别？18. 考哪些内容？19. 这些科目在考试的时候题目是归类的吗？20. 用什么计算器？如何用？21. 全球考试通过率22. 对英文水平要求有多高？23. 对数学有什么要求？24. 准考证什么时候发？2009, the last Full FRM examVB窗口文件扩展名FRM 粉丝关系管理FRM简介（1）什么是FRMFRM （Financial Risk Manager）是全球金融风险管理领域顶级的权威国际资格认证，由美国―全球风险管理协会‖（Global Association of Risk Professionals ，简称GARP）设立。

[键入文字] 专注国际财经教育
考试教材
(1)考FRM需要的复习时间
候选人的准备时间，取决于他们事先专业经验水平、 学术背景和熟悉的概念。

针
对 2012 年 5 月FRM 部分考生的调查表明，平均准备约 240 小时。

GARP建议应考人员复习备考时间约为14周。

(2)考FRM需要具备怎样的能力
一定的英文的阅读能力以及您的决心与毅力，商科相关背景当然尤佳，但不是必要条件。

(3)教材和参考书
1. Financial Risk Manager Handbook
2. GARP指定的core reading
3. SCHWESER 编写的NOTES
FRM考试所用教材主要为Handbook和Notes，以这2套教材为主，当然FRM也有辅助学习资料core readings，这个书目总9000多页，涉及风控领域方方面面和工作实务中的问题较相符，但是考试不考，可以用于考试外扩充知识。

请注意：FRM考试的专业性较强，所用教材的难度也相对其他考试较难。

FRM考试不强制购买官方教材，考生报考时可以选择是否购买FRM官方教材。

官方教材Handbook的费用是125美金+7%的关税+49美金运费，总的费用相对较高，不建议考生在报考时选择原版官方教材。

Notes是美国著名CFA FRM培训机构Kaplan编著，全世界90%的考生都是采用此类辅导教材。

Notes编排简明扼要，要点突出，重点突出，逻辑关系和知识体系按照官方教材Handbook编排。

备考时以Handbook为主线，Notes为辅助的策略学习。

FRM考试备考资料全集-frm考试论坛FRM考试备考资料全集-frm考试论坛！你准备参加2016年11月FRM考试了，终于做了这个决定，别人怎么劝我都听不到！那么，问题来了？怎么备考呢？如何备考FRM考试呢？2016年11月FRM考试备考可以看哪些资料呢？它们有什么特点？FRM备考资料列表1、Study Guide：GARP协会提供的原版书籍列表。

2、Aims：GARP协会提供的考纲。

Kaplan Notes中也能够找到。

3、Core reading：GARP协会考纲上所列书籍。

优点：覆盖知识点全面，能帮助正确理解考纲所考知识点。

缺点：资料繁多，不适用于复习时间有限的学员。

4、Handbook：GARP协会推荐备考书籍。

优点：浓缩知识点，有条理。

缺点：缺少部分考点章节，且均为不可忽略的章节。

如使用Handbook作为主要复习资料，需要补充相关的资料。

5、Notes：培训机构Kaplan制作的备考书籍。

优点：完全根据考纲进行讲解，知识点覆盖全面。

缺点：没有条理，不易理解，对知识点的把握受限于编写者的理解，对考点的把握不够准确。

6、Practice Exam：GARP每年提供的模拟题，09年以前不分1,2级。

近期的模拟题日趋简单，难度以前几年的模拟题较接近考试情况。

建议有时间的话从07、08年开始都要做，感受一下。

7、Notes Exam：Kaplan制作的模拟题。

有一定难度，有时间也可以做一下。

8、quicksheet：方便查阅重要知识点及公式。

9、习题集：各种培训机构自行出的题目，这个只推荐那些跟着机构上课的同学使用。

另附FRM考试报名流程1、首先你需要准备的是双币信用卡和护照/驾照。

注意事项：在信用卡上有Visa,Master标记，支持外币（美元）支付。

在支付前，请先了解您的信用卡额度是否能支付考试费用。

其次就是需要护照或者驾照了。

这里需注意，当你报名的时候，一定要牢记，你报名所准备的证件，在考试的时候要带同一证件。

2016年frm文件都有哪些资料？2016年frm教材有哪些？如何备考？frm小编整理了官方资料和考生常用备考教材，供大家参考！1.FRM官方教材这是GARP协会给出的官方教材，考生们可以选择购买。

分成了Part I Books、Part II Books、Digital FRM Exam Part I eBooks、Digital FRM Exam Part II eBooks，即有纸质版和电子版两种。

纸质版的价格分别是$240,$295；电子版的价格是$150和$295。

2.HandbookFRM Handbook是著名教授Philippe Jorion应FRM考试委员会之邀，编撰的在金融风险管理领域非常知名的著作。

这本书随着GARP协会FRM考试的考纲而随之更新。

所以对于通过FRM考试非常重要。

GARP协会发布的Core Reading Course Pack是一套核心读物，融合了最经典的经济金融教材和当今最前沿的研究和论文，但是里面是不包含FRM考试题目的。

FRM Handbook不仅会对FRM知识体系进行介绍，同时涵盖了FRM历年的考试真题，对于最新的第六版Handbook，里面记载了近年考试的真题，对于通过FRM考试具有极高的参考价值。

3.NotesSchweser Notes是美国一家FRM培训机构Kaplan出品的备考资料，其浓缩了FRM的核心考点，是根据FRM考纲便携的简写本；而Handbook是GARP协会对FRM考试的教科书Core Reading做的浓缩精简材料，是每位FRM考生的必备资料。

目前众多FRM考生都采取两者相结合的方式来看书，可以涵盖所有知识点。

这套学习资料根据每年FRM考纲编写，深入浅出而又要言不烦，各种知识背景和工作经历的考生均能从中受益，是FRM考试的必备教材。

notes是Kaplan编写的备考教材，对考纲覆盖很全面，不过没什么条理。

相对而言，handbook则讲的比较细致，但是缺少一部分考点的内容。

frm考试内容真题及答案解析FRM考试内容真题及答案解析FRM（金融风险管理师）考试是金融行业内一项非常重要的资格认证，对于风险管理和金融领域的从业人员来说尤为重要。

FRM考试涵盖了众多的知识点和技能要求，对考生的综合素质有着较高的要求。

在备考过程中，熟悉真题并进行解析是提高成绩的有效方法之一。

本文将为大家带来一些FRM考试的真题及其解析，希望对考生有所帮助。

一、考试内容介绍FRM考试分为两个级别，分别为FRM考试（Part I）和FRM考试（Part II）。

其中，Part I主要涵盖了演化化金融行业，金融市场和产品以及风险管理等方面的知识。

Part II主要着重于风险管理的具体问题和工具。

二、真题解析下面将介绍一道经典的FRM考试题目，并带来详细的解读。

【题目】假设有一个均值为0，方差为1的随机变量X。

在观察中，首先观察X，如果X大于1，观察结束；如果X小于等于1，继续观察下一个随机变量。

如果观察n个随机变量，才能大于1，则观察结束。

求这个观察过程发生的期望次数。

【解析】这道题目涉及到随机变量的概率，我们可以通过数学概率的方法来求解。

首先，设该观察过程发生的期望次数为E(n)，其中n表示观察的次数。

当n=1时，观察过程发生的期望次数为E(1)。

当X>1时，观察结束，所以E(1)=1。

当n>1时，观察过程发生的期望次数为E(n)。

根据题目中的描述可知，第一次观察结果是X小于等于1的概率为1/2，即P(X<=1)=1/2。

那么第一次观察结果是X大于1的概率为1-P(X<=1)=1/2。

当第一次观察结果是X小于等于1时，继续观察下一个随机变量，此时已经观察了一次，还需要观察n-1次，所以E(n)=(1/2)E(n-1)。

当第一次观察结果是X大于1时，观察结束，所以E(n)=1。

将上述两种情况相加，得到E(n)=1/2E(n-1)+1/2根据此公式可以递归求解E(n)，最终得到E(n)=n。

2016FRM一级FinancialMarketAndProduct知识框架图，
专治遗忘...
过去一年，我跟何旋花了很多时间画CFA的框架图给考生，然后就一直有FRM的考生问我们有FRM的框架图么。

可惜一直没能静下心来画，对那些曾经找我们要FRM框架图的小伙伴真是充满歉意。

不知道他们是不是已经脱离FRM苦海了。

终于，2016年11月的考试，我跟何旋将所有学科的框架图制作完毕，免费提供给大家，愿大家顺利通过考试。

“ 品职出品FRM一级、二级框架图”
首发，免费获取啦~！
苦读FRM原版书
看懂比赚钱还慢
遗忘比花钱还快
FRM秘籍惊现江湖
品职出品FRM一级、二级框架图首发专治风中凌乱，专治难懂遗忘
FRM一级框架图
Financial Market And Product
免费获取合集方法
这个冬天11月，FRM一级、二级即将华山论剑，没有秘籍在手，
怎么敢逞英雄！
李斯克何旋两位老师秘制多时，费尽心血FRM一级、二级框架图，就这么轻而易举的GET了！
心急的同学，可以在本公众号后台回复“FRM框架图”，可以知道如何一次性免费获取，最后200本FRM框架图合集的方法。

注：公众号的账号是CFAPASS，中文名称是“李老师与何老师的CFA学习课堂”
品职教育
品味职场，为梦想而生。

frm证书考试内容
frm证书考试内容分为frm一级和二级，具体如下：
frm一级考试共四门科目，包括《风险管理基础》、《定量分析》、《估值与风险模型》、《金融市场与产品》。

其中，《风险管理基础》相当于整个frm的入门学科，主要是概念类内容；《定量分析》涉及的主要内容是概统的基础知识，主要是一些数学模型和公式；《估值与风险模型》有关金融风险的模型；《金融市场与产品》聚焦固定收益和衍生品，学习金融市场的各类产品。

frm二级考试共六门科目，包括《市场风险计量和管理》、《信用风险计量和管理》、《操作风险与弹性》、《流动性与资金风险计量和管理》、《风险管理和投资管理》、《当期金融市场热点问题》。

以上信息仅供参考，建议查阅frm官方网站获取更准确的信息。

2016年FRM考试大纲公布PARTⅠ（共100题）1．Foundations of Risk Management风险管理基础（大约占20%）2．Quantitative Analysis数量分析（大约占20%）3．Financial Markets and Products金融市场与金融产品（大约占30%）4．Valuation and Risk Models估值与风险建模（大约占30%）PARTⅡ（共80题）1．Market Risk Measurement and Management市场风险管理与测量（大约占25%）2．Credit Risk Measurement and Management信用风险管理与测量（大约占25%）3．Operational and Integrated Risk Management操作及综合风险管理（大约占25%）4．Risk Management and Investment Management投资风险管理（大约占15%）5．Current Issues in Financial Markets金融市场前沿话题（大约占10%）注：FRM考试的各科试题随机分散在试卷中，没有先后次序。

---2、FRM评分标准FRM考试考生只知道考试是否通过，而不知道确切的考分。

FRM及格分数线由考生的绝对分数以及排名前5%的考生的平均分的比例决定，答错的题目不扣分。

FRM（PART 1）侧重基本的金融工具理论知识，金融市场基础知识和它们的详细定义，以及计量风险的方法。

此部分考试的目标是确保FRM考生更好的理解作为一个成功的金融风险管理者需要了解的基本金融工具的知识。

考试更侧重于概念的理解而非实用性。

FRM（PART 2）强调金融风险管理应用的相关概念，更侧重于在FRM第一部分的基础上测试考生应用金融工具的能力。

并将风险计量方法延伸到风险价值方法之外。

和第一部分考试相比，第二部分考试更多的是有关案例分析和并更以实践为导向。

Financial Markets and Products & Valuation and Risk Models1.In managing a portfolio of domestic corporate bonds, which of the following risksis least important?A.Interest rate risksB.Concentration risksC.Spread risksD.Foreign exchange risksAnswer: De a stated rate of 9% compounded periodically to answer the following threequestions. Select the choice that is the closest to the correct answer.(1) The semi-annual effective rate is:A.9.00%B.10.25%C.9.20%D.9.31%Answer: C(2) The quarterly effective rate is:A.9.00%B.9.31%C.9.20%D.9.40%Answer: B(3) The continuously compounded rate is:A.9.42%B.9.20%C.9.45%D.9.67%Answer: A3.The following Treasury zero rates are exhibited in the marketplace: 6 months = 1.25% 1 year = 2.35%1.5 years =2.58% 2 years = 2.95%Assuming continuous compounding, the price of a 2-year Treasury bond that paysa 6 percent semiannual coupon is closest to:A.105.20B.103.42C.108.66D.105.90Answer: D4. A two-year zero-coupon bond issued by corporate XYZ is currently rated A. Oneyear from now XYZ is expected to remain at A with 85% probability, upgraded to AA with 5% probability, and downgraded to BBB with 10% probability. The risk free rate is flat at 4%. The credit spreads are flat at 40, 80, and 150 basis points for AA, A, and BBB rated issuers, respectively. All rates are compounded annually.Estimate the expected value of the zero-coupon bond one year from now (for USD 100 face amount). Fixed Income Securities:D 92.59D 95.33D 95.37D 95.42Answer: C5.Assuming the long-term yield on a perpetual note is 5%, compute the dollar valueof a 1 bp. Increase in the yield (DV01) for a perpetual note paying a USD 1,000,000 annual coupon.A.-20,000B.-30,000C.-40,000D.-50,000Answer: C6.Given the following portfolio of bonds:What is the value of the portfolio’s DV01 (Dollar value of 1 basis point)?A.8,019B.8,294C.8,584D.8,813Answer: C7.Assuming other things constant, bonds of equal maturity will still have differentDV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value:A.Premium bonds, par bonds, zero coupon bondsB.Zero coupon bonds, Premium bonds, par bondsC.Premium bonds, zero coupon bonds, par bondsD.Zero coupon bonds, par bonds, Premium bondsAnswer: A8.Which of the following statements about standard fixed rate government bondswith no optionality is TRUE?I.Higher coupon implies shorter duration.II.Higher yield implies shorter duration.III.Longer maturity implies larger convexity.A.I and II onlyB.II and III onlyC.I and III onlyD.I, II, and IIIAnswer: D9.Which of the following is not a property of bond duration?A.For zero-coupon bonds, Macaulay duration of the bond equals its years tomaturity.B.Duration is usually inversely related to the coupon of a bond.C.Duration is usually higher for higher yields to maturity.D.Duration is higher as the number of years to maturity for a bond selling atpar or above increases.Answer: C10.Estimated price changes using only duration tend to:A.Overestimate the increase in price that occurs with a decrease in yield forlarge changes in yield.B.Underestimate the decrease in price that occurs with a increase in yield forlarge changes in yield.C.Overestimate the increase in price that occurs with a decrease in yield forsmall changes in yield.D.Underestimate the increase in price that occurs with a decrease in yield forlarge changes in yield.Answer: D11.A portfolio consists of two positions: One position is long $100M of a two yearbond priced at 101 with a duration of 1.7; the other position is short $50M of a five year bond priced at 99 with a duration of 4.1. What is the duration of the portfolio?A.0.68B.0.61C.-0.68D.-0.61Answer: D12.A zero-coupon bond with a maturity of 10 years has an annual effective yield of10%. What is the closest value for its modified duration?A.9B.10C.100D.Insufficient InformationAnswer: A13.A portfolio manager uses her valuation model to estimate the value of a bondportfolio at USD 125.482 million.The term structure is ing the same model,she estimates that the value of the portfolio would increase to USD 127.723 million if all the interest rates fell by 30bp and would decrease to USD 122.164 million if all the interest rates rose by ing these estimates,the effective duration of the bond is closest to :A. 8.38B. 16.76C. 7.38D. 14.77Answer: C14.A portfolio manager has a bond position worth USD 100 million. The position hasa modified duration of eight years and a convexity of 150 years. Assume that theterm structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points?D -2,046,875D -2,187,500D -1,953,125D -1,906,250Answer: C15.An investment in a callable bond can be analytically decomposed into a:A.Long position in a non-callable bond and a short position in a put optionB.Short position in a non-callable bond and a long position in a call optionC.Long position in a non-callable bond and a long position in a call optionD.Long position in a non-callable and a short position in a call optionAnswer: D16.A European bank exchanges euros for USD, lends them at the U.S. risk-free rate,and simultaneously enters into a forward contract to sell the loan proceeds for euros at loan maturity. If the net effect of these transactions is to earn the risk-free euro rate, it is an example of:A.ArbitrageB.Spot-forward equalityC.Interest rate parityD.The law of one priceAnswer: C17.At the inception of a six-month forward contract on a stock index, the value of theindex was $1,150, the interest rate was 4.4%, and the continuous dividend was1.8%. Three months later, the value of the index is $1,075. Which of the followingstatement is True? The value of the:A.long position is $82.41.B.long position is $47.56.C.short position is $47.56.D.long position is -$82.41.Answer: D18.Assuming the 92-day and 274 day interest rate is 8% (act/360, money market yield)compute the 182-day forward rate starting in 92 days (act/360, money market yield).A.7.8%B.8.0%C.8.2%D.8.4%Answer: B19.The 1-year US dollar interest rate is 3% and the 1-year Canadian dollar interestrate is 4.5%. The current USD/CAD spot exchange rate is 1.5000. Calculate the 1-year forward rate.A. 1.5225B. 1.5218C. 1.5207D. 1.5199Answer: B20.The price of a three-year zero coupon government bond is 85.16. The price of asimilar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4?A. 5.4%B. 5.5%C. 5.8%D. 6.7%Answer: D21.The clearinghouse in a futures contract performs all but which of the followingroles? The clearing house:A.guarantees traders against default from another party.B.splits each trade and acts as a buyer to futures sellers and as a seller tofutures buyers.C.allows traders to reverse their position without having to contract the otherside of the position.D.guarantees the physical delivery of the underlying asset to the buyer offuture contracts.Answer: D22.A weakening of the basis is a consequence of the:A.Spot price increasing faster than the futures price over time.B.Spot price moving according to hyper-arithmetic Brownian motion.C.Futures price increasing faster than the spot price over time.D.Futures price moving according to hyper-arithmetic Brownian motion. Answer: C23.Which of the following statements best describes marking-to-market of a futurescontract? At the:A.End of the day, the maintenance margin is increased for traders who lost anddecreased for traders who gained.B.Conclusion of each trade, the gains or losses from all previous trades in thefutures contract are tallied.C.Maturity of the futures contract, the gains or losses are tallied to the trader’saccount.D.End of the day, the gains or losses are tallied to the trader’s account. Answer: D24.A trader buys one wheat contract (underlying = 5,000 bushels) at a price of $3.05per bushel. The initial margin on the contract is $4,500 and the maintenance margin is $3,750. At what price will the trader receive a maintenance margin call?A.$2.30B.$2.90C.$3.20D.$3.80Answer: B25.The S&P 500 index is trading at 1,025. The S&P 500 pays an expected dividendyield of 1.2% and the current risk-free rate is 2.75%. The value of a 3-month futures contract on the S&P 500 index is closest to:A.$1,028.98B.$1,108.59C.$984.86D.$1,025.00Answer: A26.The current spot price of gold is $325/oz and the price of 90-day gold futurescontract (nominal amount of 100 oz) is $315. If 90-day Treasury bills are trading at yields of 3.55% - 3.58% and storage and delivery costs are ignored, what is the potential arbitrage profit per contract?A.$1,266B.$1,286C.$1,334D.$1,344Answer: C27.Which of the following statements describing the role of a convenience yield inpricing commodity futures is true? The convenience yield:I.will cause contango in the futures pricing relationship.II.Effectively reduces the cost of carry in the futures pricing relationship.III.Eliminates the potential for arbitrage between the futures and spot price.IV.Accounts for additional costs for storing an asset in the futures pricing relationship.A.I onlyB.II onlyC.II, III, and IV onlyD.I and II onlyAnswer: B28.A firm is going to buy 10,000 barrels of West Texas Intermediate Crude Oil. Itplans to hedge the purchase using the Brent Crude Oil futures contract. The correlation between the spot and futures prices is 0.72. The volatility of the spot price is 0.35 per year. The volatility of the Brent Crude Oil futures price is 0.27 per year. What is the hedge ratio for the firm?A. 0.9333B. 0.5554C. 0.8198D. 1.2099Answer: A29.The hedge ratio is the ratio of derivatives to a spot position (or vice versa thatachieves an objective such as minimizing or eliminating risk. Suppose that the standard deviation of quarterly changes in the price of a commodity is 0.57, the standard deviation of quarterly changes in the price of a futures contract on the commodity is 0.85, and the covariance between the two changes is 0.3876. What is the optimal hedge ratio for a 3.-month contract?A.0.1893B.0.2135C.0.2381D.0.2599Answer: D30.Consider an equity portfolio with market value of USD 100M and a beta of 1.5with respect to the S&P 500 Index. The current S&P 500 index level is 1000 and each futures contract is for delivery of USD 250 times the index level. Which of the following strategy will reduce the beta of the equity portfolio to 0.8?A.Long 600 S&P 500 futures contractsB.Short 600 S&P 500 futures contractsC.Long 280 S&P 500 futures contractsD.Short 280 S&P 500 futures contractsAnswer: D31.Corporates normally use FRAs to:A.Lock-in the cost of borrowing in the futureB.Lock-in the cost of lending in the futureC.Hedge future currency exposuresD.Create future currency exposuresAnswer: A32.An investor has entered into a forward rate agreement(FRA) where she hascontracted to pay a fixed rate of 5 percent on $5,000,000 based on the quarterly rate in three months. If interest rates are compounded quarterly, and the floating rate is 2 percent in three months, what is the payoff at the end of the sixth month?The investor will:A.make a payment of $37,500.B.receive a payment of $37,500.C.make a payment of $75,000.D.receive a payment of $75,000.Answer: A33.Consider the following 6x9 FRA ，Assume the buyer of the FRA agrees to acontract rate of 6.35% on a notional amount of 10 million USD ，Calculate the settlement amount of the seller if the settlement rate is 6.85%. Assume a 30/360 day count basis.A.–12,500B.–12,290C.+12,500D.+12,290Answer: B34.XYZ Corporation plans to issue a 10-year bond 6 months from now. XYZ wouldlike to hedge the risk that interest rates might rise significantly over the next 6 months. In order to effect this, the treasurer is contemplating entering into a swap transaction. Under the swap, she should:A.Pay fixed and receive LIBORB.Pay LIBOR and receive fixedC.Either swap (a or b above) will workD.Neither swap (a or b above) will workAnswer: A35.Consider the following plain vanilla swap. Party A pays a fixed rate 8.29% perannum on a semiannual basis (180/360), and receives from Party B LIBOR+30 basis point. The current six-month LIBOR rate is 7.35% per annum. The notional principal is $25M. What is the net swap payment of Party AA.$20,000B.$40,000C.$80,000D.$110,000Answer: C36.A trader executes a $420 million 5-year pay fixed swap（duration 4.433） with oneclient and a $385 million 10year receive fixed swap（duration 7.581） with another client shortly afterwards. Assuming that the 5-year rate is 4.15 % and 10-year rate is 5.38 % and that all contracts are transacted at par, how can the trader hedge his net delta position?A.Buy 4,227 Eurodollar contractsB.Sell 4,227 Eurodollar contractsC.Buy 7,185 Eurodollar contractsD.Sell 7,185 Eurodollar contractsAnswer: B37.Assume an investor with a short position is about to deliver a bond and has fourbonds to choose from which are listed in the following table. The last settlement price is $95.75 (this is the quoted futures price). Determine which bond is the cheapest-to-deliver.Bond Quoted Bond Price Conversion Factor1 99 1.012 125 1.243 103 1.064 115 1.14A. Bond 1B. Bond 2C. Bond 3D. Bond 4Answer: C38.What is the lower pricing bound for a European call option with a strike price of80 and one year until expiration? The price of the underlying asset is 90, and the1-year interest rate is 5% per annum. Assume continuous compounding of interest.A.14.61B.13.90C.10.00D. 5.90Answer: B39.According to Put-Call parity, buying a call option on a stock is equivalent to:A.Writing a put, buying the stock, and selling short bonds (borrowing).B.Writing a put, selling the stock, and buying bonds (lending).C.Buying a put, selling the stock, and buying bonds (lending).D.Buying a put, buying the stock, and selling short bonds (borrowing). Answer: D40.Jeff is an arbitrage trader, and he wants to calculate the implied dividend yield ona stock while looking at the over-the-counter price of a 5-year put and call (bothEuropean-style) on that same stock. He has the following data:• Initial stock price = USD 85• Strike price = USD 90• Continuous risk-free rate = 5%• Underlying stock volatility = unknown• Call price = USD 10• Put price = USD 15What is the continuous implied dividend yield of that stock?A. 2.48%B. 4.69%C. 5.34%D.7.71%Answer: C41.The current price of a stock is ＄55. A put option with ＄50 strike price thatexpires in 3 months is available. If N(d1)=0.8133, N(d2)=0.7779, the underlying stock exhibits an annual standard deviation of 25 percent, and current risk free rates are 3.25 percent, the Black-Scholes value of the put is closet to:A.$0.75B.$1.25C.$1.50D.$5.00Answer: A42.Which of the following is the riskiest form of speculation using options contracts?A.Setting up a spread using call optionsB.Buying put optionsC.Writing naked call optionsD.Writing naked put optionsAnswer: C43.A long position in a put option can be synthetically produced by:A.Long position in the underlying and a short position in a call.B.Short position in the underlying and a long position in a call.C.Long position in the underlying and a long position in a put.D.Short position in the underlying and a short position in a put.Answer: B44.ABEX Corporation common stock is selling for ＄50.00 per share. Both anAmerican call option and a European call option are available on ABEX common, and each have identical strike prices and expiration dates. Which of the following statements concerning these two options is TRUE?A.Because the American and European options have identical terms and arewritten against the same common stock, they will have identical optionpremiums.B.The greater flexibility allowed in exercising the American option willnormally result in a higher market value relative to an otherwise identicalEuropean option.C.The American option will have a higher option premium, because theAmerican security markets are larger than the European markets.D.The European option will normally have a higher option premium because oftheir relative scarcity compared to American options.Answer: B45.Put option values increase as a result of increases in which of the followingfactors?I.V olatilityII.DividendsIII.Stock PriceIV.Time to expirationA.I, II, and IV onlyB.I, III, and IV onlyC.II and IV onlyD.I and III onlyAnswer: A46.Your firm has no prior derivatives trades with its counterparty Super Bank. Yourboss wants you to evaluate some trades she is considering. in particular, she wants to know which of the following trades will increase your firm’s credit risk exposure to Super Bank:I.Buying a put optionII.Selling a put optionIII.Buying a forward contractIV.Selling a forward contractA.I and II onlyB.II and IV onlyC.III and IV onlyD.I, III, and IV onlyAnswer: D47.Which of the following statements about a floor is true?A.floor is a put option and protects against a fall in interest ratesB.floor is a call option and protects against a fall in interest ratesC.floor is a put option and protects against a rise in interest ratesD.floor is a call option and protects against a rise in interest ratesAnswer: A48.You are given the following information about a call option:• Time to maturity = 2 years• Continuous risk-free rate = 4%• Continuous dividend yield = 1%• N(d1) = 0.64Calculate the delta of this option.A.-0.64B.0.36C.0.63D.0.64Answer: C49.Call and put option values are most sensitive to changes in the volatility of theunderlying when:A.both calls and puts are deep in-the-money.B.both puts and calls are deep out-of-the-money.C.calls are deep out-of-the-money and puts are deep in-the-money.D.both calls and puts are at-the-money.Answer: D50.What is the reason for undertaking a Vega hedging? To minimize the:A.Possibility of counterparty default risk.B.Potential loss as a result of a change in the volatility of the underlying sourceof risk.C.Adverse effect due to the government regulation.D.Potential loss as a result of a large movement in the underlying source ofrisk.Answer: B51.Suppose an existing short option position is delta-neutral, but has a gamma of−600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to maintain the position gamma-neutral and delta-neutral, which of the following is the appropriate strategy to implement?A. Buy 400 options and sell 300 shares of the underlying asset.B. Buy 300 options and sell 400 shares of the underlying asset.C. Sell 400 options and buy 300 shares of the underlying asset.D. Sell 300 options and buy 400 shares of the underlying asset.Answer: A52.W hich of the following is not an assumption of the BS options pricing model?A. The price of the underlying moves in a continuous fashionB. The interest rate changes randomly over timeC. The instantaneous variance of the return of the underlying is constantD. Markets are perfect,i.e.short sales are allowed,there are on transaction costs or taxes,andmarkets operate continuously.Answer: B53.If risk is defined as a potential for unexpected loss, which factors contribute to therisk of a short call option position?A.Delta, vega, rhoB.Vega, rhoC.Delta, vega, gamma, rhoD.Delta, vega, gamma, theta, rhoAnswer: C54.If risk is defined as a potential for unexpected loss, which factors contribute to therisk of a long straddle position?A.Delta, vega, rhoB.Vega, rhoC.Delta, vega, gamma, rhoD.Delta, vega, gamma, theta, rhoAnswer: B55.Long a call on a stock and short a call on the same stock with a higher strike priceand same maturity is called:A. A bull spreadB. A bear spreadC. A calendar spreadD. A butterfly spreadAnswer: A56.Consider a bullish spread option strategy of buying one call option with a $30exercise price at a premium of $3 and writing a call option with a $40 exercise price at a premium of $1.50. If the price of the stock increases to $42 at expiration and the option is exercised on the expiration date, the net profit per share at expiration (ignoring transaction costs) will be:A.$8.50B.$9.00C.$9.50D.$12.50Answer: A57.An investor sells a June 2008 call of ABC Limited with a strike price of USD 45for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD40 for USD 5. What is the name of this strategy and the maximum profit and lossthe investor could incur?A.Bear Spread, Maximum Loss USD 2, Maximum Profit USD 3B.Bull Spread, Maximum Loss Unlimited, Maximum Profit USD 3C.Bear Spread, Maximum Loss USD 2, Maximum Profit UnlimitedD.Bull Spread, Maximum Loss USD 2, Maximum Profit USD 3Answer: D58.Which of the following actions would be most profitable when a trader expects asharp rise in interest rates?A.Sell a payer swaption.B.Buy a payer swaption.C.Sell a receiver swaption.D.Buy a receiver swaption.Answer: B59.Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades atUSD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer shouldA.sell 2,602 sharesB.sell 1,493 sharesC.purchase 1,493 sharesD.purchase 2,602 sharesAnswer: D60.A risk manager for bank XYZ, Mark is considering writing a 6 month American put optionon a non-dividend paying stock ABC. The current stock price is USD 50 and the strike price of the option is USD 52. In order to find the no-atbitrage price of the option, Mark uses a two-step binomial tree model. The stock price can go up or down by 20% each period. Mark’s view is that the stock price has an 80% probability of going up each period and a 20% probability of going down. The risk-free rate is 12% per annum with continuous compounding.What is the risk-neutral probability of the stock price going up in a single step?A. 34.5%B. 57.6%C. 65.5%D. 80.0%Answer: B61.Given the following 30 ordered simulated percentage returns of an asset, calculatethe VaR and expected shortfall (both expressed in terms of returns) at a 90% confidence level.-16, -14, -10, -7, -7, -5, -4, -4, -4, -3, -1, -1, 0, 0, 0, 1, 2, 2, 4, 6, 7, 8, 9, 11, 12, 12, 14, 18, 21, 23A.VaR (90%) = 10, Expected shortfall = 14B.VaR (90%) = 10, Expected shortfall = 15C.VaR (90%) = 14, Expected shortfall = 15D.VaR (90%) = 18, Expected shortfall = 22Answer: B62.What is the correct interpretation of a $3 million overnight VaR figure with 99%confidence level?A.The institution can be expected to lose at most $3 million in 1 out of next100 days.B.The institution can be expected to lose at least $3 million in 95 out of next100 days.C.The institution can be expected to lose at least $3million in 1 out of next 100days.D.The institution can be expected to lose at most $6 million in 2 out of next100 days.Answer: C63.In the presence of fat tails in the distribution of returns, VaR based on thedelta-normal method would (for a linear portfolio):A.underestimate the true VaRB.be the same as the true VaRC.overestimate the true VaRD.cannot be determined from the information providedAnswer: A64.Value at risk (VaR) measures should be supplemented by portfolio stress testingbecause:A.VaR does not indicate how large the losses will be beyond the specifiedconfidence level.B.stress testing provides a precise maximum loss level.C.VaR measures are correct only 95% of the time.D.stress testing scenarios incorporate reasonably probable events.Answer: A65.Assume we calculate a one-week VaR for a natural gas position by rescaling thedaily VaR using the square-root rule. Let us now assume that we determine the “true” gas price process to be mean reverting and recalculate the VaR. Which of the following statements is true?A.The recalculated VaR will be less than the original VaRB.The recalculated VaR will be equal to the original VaRC.The recalculated VaR will be greater than the original VaRD.There is no necessary relation between the recalculated VaR and the originalVaRAnswer: A66.If a portfolio with a VaR of 200 is combined with a portfolio with a VaR of 500,the VaR of the combination could be:I.Less than 200.II.Less than 500.III.More than 200.IV.More than 500.A.I and IIB.III and IVC.I, II and IVD.II, III and IVAnswer: D67.Consider the following portfolio consisting only of stock Alpha. Stock Alpha has amarket value of $635,000 and an annualized volatility of 28%. Calculate the VaR assuming normally distributed returns with a 99% confidence interval for a 10-day holding period and 252 business days in a year. The daily expected return is assumed to be zero.A.$56,225B.$69,420C.$82,525D.$96,375Answer: C68.Babson Bank is interested in knowing the risk exposure of their assets for variousprobabilities and time horizons. Babson has estimated that the annual variance (based on a 250 day year) of their $638 million asset portfolio is 151.29. If Z1%, Z5%, Z10%, are 2.32, 1.65, and 1.28, respectively, which of the following statements is false? The maximum dollar loss that can be expected to be exceeded:A.5% of the time in any six month period is $64.74 millionB.1% of the time on any given day is $11.51 millionC.10% of the time in any given quarter is $50.22 millionD.1% of the time in any given week is $25.25 millionAnswer: A69.The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR usinga 10-day horizon is:D 316 million if returns are not independently and identically distributedD 316 million if returns are independently and identically distributedD 100 million since VaR does not depend on any day horizonD 31.6 million irrespective of any other factorsAnswer: B70.If stock returns are independently, identically, normally distribution and the annualvolatility is 30%, then the daily VaR at the 99% confidence level of a stock market portfolio is approximately。

frm考试试卷考试时间：120分钟一、选择题（每题2分，共20分）1. 以下哪项不是金融风险管理师（FRM）考试的科目？A. 风险管理基础B. 量化分析C. 投资组合管理D. 信用风险测量与管理2. 根据FRM考试要求，以下哪项是风险管理的核心原则？A. 风险规避B. 风险转移C. 风险识别D. 风险接受3. 在FRM考试中，市场风险通常不包括以下哪项？A. 利率风险B. 汇率风险C. 信用风险D. 商品价格风险4. 以下哪项不是FRM考试中讨论的衍生品类型？A. 期权B. 期货C. 债券D. 掉期5. 根据FRM考试内容，以下哪项是风险管理流程的第一步？A. 风险识别B. 风险评估C. 风险监控D. 风险报告6. 在FRM考试中，以下哪项是操作风险的来源？A. 市场波动B. 信用违约C. 人为错误D. 自然灾害7. FRM考试中，以下哪项不是风险度量的方法？A. 价值在险（VaR）B. 期望损失C. 压力测试D. 资产负债表分析8. 以下哪项不是FRM考试中讨论的信用评级机构？A. 标准普尔B. 穆迪C. 惠誉D. 道琼斯9. 根据FRM考试要求，以下哪项是风险管理的最终目标？A. 增加收益B. 降低成本C. 确保资产安全D. 创造风险10. 在FRM考试中，以下哪项不是风险管理策略？A. 风险规避B. 风险转移C. 风险接受D. 风险创造二、简答题（每题10分，共30分）1. 请简述风险管理在金融行业中的重要性。

2. 描述FRM考试中所讨论的资本充足率（CAR）的作用及其计算方法。

3. 解释FRM考试中提到的风险价值（VaR）的概念，并说明其在风险管理中的应用。

三、案例分析题（每题25分，共50分）1. 假设你是一家银行的风险管理部门负责人，你发现银行的贷款组合中存在较高的信用风险。

请分析可能的原因，并提出相应的风险管理策略。

2. 你所在的金融机构计划进入一个新的市场，但该市场的市场风险较高。