12年FRM一级百题班讲义
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2012年经济师考试-商业实务-习题班讲义-全(中级)
声明：本资料由大家论坛经济师考试专区/forum-186-1.html收集整理，转载请注明出自更多经济师考试信息，考试真题，模拟题：/forum-186-1.html大家论坛，全免费公益性经济师考试论坛，等待您的光临！2012年经济师考试-商业实务-习题班讲义-全（中级）第一章商品流通理论第一章商品流通理论，考试题型主要为单选题、多选题，平均分值7分左右（2011年）。
第一节商品流通概述2011年考点分值共3 分【例题1·单选题】以货币为媒介的商品交换过程被称为（）。
A.商品价值运动B.商品实体运动C.商品增值运动D.商品流通过程[答疑编号3674010101]『正确答案』D『答案解析』一般而言，商品流通，是以货币为媒介的商品交换过程。
【例题2·2007年单选题】商品流通能调节社会资源合理流动，实现社会资源合理配置。
这体现了商品流通的（）。
A.实现功能B.中介功能C.调节功能D.加工功能[答疑编号3674010102]『正确答案』C『答案解析』商品流通能调节社会资源合理流动，实现社会资源合理配置。
这体现了商品流通的调节功能。
【例题3·2008年单选题】商品流通使生产过程和消费过程得以衔接，也使社会再生产过程的连续性得以保证。
这体现了商品流通的（）功能。
A.实现B.配置C.调节D.中介[答疑编号3674010103]『正确答案』D『答案解析』商品流通使生产过程和消费过程得以衔接，也使社会再生产过程的连续性得以保证。
这体现了商品流通的中介功能。
【例题4·2011年多选题】关于商流过程的说法，正确的有（）。
A.商流是商品价值形态的转化过程B.商流是商品使用价值形态的转化过程C.商流主要完成供需关系的实现D.商流过程主要完成买卖活动E.商流活动可以克服生产与消费的时空差异[答疑编号3674010104]『正确答案』ACD『答案解析』商流过程是商品价值形态的转化过程，也即商品价值的实现过程。
frm一级二级资料
frm一级二级资料frm一级资料：金融市场frm二级资料：金融市场的分类、金融市场的功能、金融市场的参与者、金融市场的监管金融市场是指进行金融交易的场所或平台，是金融系统的重要组成部分。
金融市场的分类主要分为货币市场和资本市场两大类。
货币市场是指短期债务证券的交易市场，其特点是交易期限短、流动性高、风险较低。
货币市场的主要功能是提供短期的融资工具，如商业票据、银行承兑汇票等。
货币市场的参与者主要是金融机构，如商业银行、中央银行等。
货币市场的监管主要由中央银行和金融监管机构负责。
资本市场是指长期债务和股权证券的交易市场，其特点是交易期限长、风险较高。
资本市场的主要功能是为企业提供长期融资渠道，如股票、债券等。
资本市场的参与者包括企业、投资者、证券公司等。
资本市场的监管主要由证券监管机构负责，如证券监督管理委员会。
金融市场的功能主要包括资金融通、风险管理和价格发现。
首先，金融市场通过将资金从闲置的资金供给者转移到资金需求者，实现了资金的融通。
其次，金融市场提供了多样化的金融工具，帮助投资者进行风险管理。
例如，投资者可以通过购买期权、期货等衍生品来规避风险。
最后，金融市场通过交易活动，使得资产的价格得以形成，实现了价格的发现。
金融市场的参与者包括金融机构、企业和个人投资者。
金融机构是金融市场的重要参与者，包括商业银行、证券公司、保险公司等。
企业可以通过金融市场融资，满足其资金需求。
个人投资者可以通过金融市场进行投资，实现财富增值。
金融市场的监管是保障金融市场稳定运行的重要环节。
监管机构负责规范金融市场的交易行为，维护市场秩序。
监管机构通过制定相关法律法规，监督金融机构的经营活动，防范金融风险。
金融市场是进行金融交易的场所，主要包括货币市场和资本市场。
金融市场的功能包括资金融通、风险管理和价格发现。
金融市场的参与者包括金融机构、企业和个人投资者。
金融市场的监管由相关监管机构负责，以维护市场稳定运行。
2012年一级真题
FRM一级真题（二）1 .You have been asked to estimate the VaR of an investment in Big Pharma Inc. The company's stock is tradingat USD 23 and the stock has a daily volatility of l.5Yo. Using the delta-normal method.theVaR at the 95% confidence level of a long position in an at-the-money put on this stock with a delta of -0.5 0ver a l-day holding period is closest to which of the following choices?a. USD 0.28b. USD 0.40c. USD 0.57d. USD 2.842 .Alan bought a futures contract on a commodity on the New York Commodity Exchange on June l. The futures price was USD 500 per unit and the contract siZe was 100 units per contract. Alan set up a margin account with initial margin of USD 2.000 per contract and maintenance margin of USD l.000 per contract. The futures price of the commodity varied as shown below. What was the balance in Alan's margin account at end of June 5?┏━━━━┳━━━━━━━━━━━┓┃Day ┃ Futures Price (USD) ┃┣━━━━╋━━━━━━━━━━━┫┃June 1 ┃ 497.30 ┃┃June 2 ┃ 492.70 ┃┃June 3 ┃ 484.20 ┃┃June 4 ┃ 471.70 ┃┃June 5 ┃ 468.80 ┃┗━━━━┻━━━━━━━━━━━┛a. USD -1,120b. USD OC. USD 880d USD l.7103 .Gregory is analyzing the historical performance of two commodity funds tracking the Reuters/_letferies-CRBo Index (CRB) as benchmark. He collatadtha data on the monthly returns and decidad to use the informationratio (IR) to assess which fund achieved higher returns more efficiently and presented his findings.What is the information ratio for each fund and what conclusion can be drawn?4 .A trading portfolio consists of two bonds, A and B. Both have modified duration of three years and face valueof USD 1000, but A }s a zero -coupon bond and its current price is USD 900, and bond B pays annual coupons and is priced at par. What do you expect will happen to the market prices of A and B if the risk-free yield curve moves up by l basis point?a. Both bond priceswill move up by roughly the same amount.b. Both bond priceswill move up. but bond B will gain more than bond A.c. Both bond priceswill move down by roughly equal amounts.d. Both bond priceswill move down, but bond B will lose more than bond A5 .You have a portfolio of USD 50 million and you have to hedge it using index futures. The correlation coefficient between the portfolio and index futures being used is 0.65. The standard deviation of the portfolio is 7% and that of the hedging instrument is 6%. The price of the index futures is USD 150 and one contract size is 100 futures. Among the following positions.which position reduces the risk the most?a. Long 3364 futures contractsb. Short 3364 futures contractsc . Long 2527 futures contractsd . Short 2527 futures contracts。
FRM一级考试通过经验及各科目重点详细介绍!
FRM一级考试通过经验及各科目重点详细介绍！因为自己就读金融工程, 所以较初接触FRM一级的时候, 翻看高顿的复习资料, 可以说内心中还是充满了欣喜与放松。
因为FRM知识点中很多的内容都是那么熟悉, 比如量化分析技巧, 概率论与数理统计, 期货期权的内容以及资本市场的相关知识。
我曾经在那么一瞬间觉得这门考试似乎就能轻松应对, 甚至萌发了在考前两周再“加班”的想法。
真正想要征服FRM, 就要按照FRM的规则出牌, 不能想当然。
我相信很多金融或者财务领域出身的人, 甚至已经通过CFA考试的人会与我有过同样的经历:自诩“科班出身”, 想当然的藐视一切, 殊不知金融行业虽然本质相近, 但是行为各异, 甚至很多名词的叫法也都不一样。
分析科目侧重点在运用高顿的内容来学习的过程中, 可以发现老师们将FRM考试的备考主要分为四大部分:风险管理基础, 量化分析, 金融市场和金融产品, 估值与风险模型。
在这当中, 风险管理基础和量化分析两个部分占比较少, 而金融市场和金融产品与估值风险模型两个部分占比较大。
其实这也为我们提供了一个很好的学习备考侧重点。
相信有一定数理基础的同学, 能够很快学习掌握量化分析部分, 对于概率论和数理统计的内容, 其实只要掌握了技法, 就可以应对任何类似的问题。
因为这个部分不管数字怎么变, 考法其实很单调。
无非就是“用古典概率分布计算概率”, “用几何概型估算概率”, “用关键值判断假设是否成立”等等。
第YI阶段我们可以自己总结规律:对于均值, 它是一阶的特征, 因此在进行均值的假设检验的时候, 就要采用一阶的分布进行检验, 也就是t分布或者正态分布。
其中正态分布是近似于“万金油”的分布, 根据大数定律来看, 当样本量足够的时候, 分布都会或多或少趋近于正态。
对于方差, 是二阶的特征, 因此在进行方差的假设检验的时候, 要采用二阶的分布进行检验, 也就是卡方分布。
其他的特征检验以此类推, 这样有助于记忆。
frm 最后的轻语 讲义
frm 最后的轻语讲义（实用版）目录1.介绍 frm 考试和最后的轻语讲义2.最后的轻语讲义的主要内容3.最后的轻语讲义的价值和适用对象4.如何有效利用最后的轻语讲义备考 frm正文frm（Financial Risk Manager）是全球金融风险管理领域最具权威的专业资格认证，而最后的轻语讲义则是针对 frm 考试的一本高质量的备考资料。
本文将对最后的轻语讲义进行详细的介绍和分析，帮助考生更好地利用这本讲义备考 frm。
最后的轻语讲义主要包括 frm 考试的两个级别：一级和二级。
其中，一级讲义涵盖了风险管理基础、数量分析、金融市场与产品、估值与风险建模等四个模块；二级讲义则包括市场风险管理、信用风险管理、操作风险管理、风险管理与投资管理等四个模块。
这本讲义对每个模块的知识点进行了系统、全面的梳理，并附有丰富的例题和习题，旨在帮助考生全面掌握 frm 考试所需的知识和技能。
最后的轻语讲义的价值在于，它为考生提供了一个清晰、有序的学习框架，使考生能够迅速了解 frm 考试的重点和难点，从而有针对性地进行复习。
此外，讲义中的例题和习题涵盖了 frm 考试的常见题型，考生通过练习可以有效提高解题能力和应试技巧。
最后，这本讲义适用于所有准备参加 frm 考试的考生，无论你是零基础还是已经有一定金融风险管理知识，都可以从这本讲义中受益。
要想有效利用最后的轻语讲义备考 frm，首先要对讲义进行全面、系统的阅读，理解其中的知识点和概念。
在此基础上，可以通过做习题和模拟试题来巩固所学知识，并及时发现自己的薄弱环节。
同时，建议与其他考生进行交流和讨论，分享彼此的学习心得和经验，以便更好地理解和掌握 frm 考试的知识。
总之，最后的轻语讲义是一本非常实用的 frm 备考资料，考生可以通过这本讲义全面了解 frm 考试的知识体系，并提高自己的应试能力。
FRM考试范围分析及解析
专注国际财经教育FRM考试范围分析及解析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。
FRM一级：LEVELⅠ（共100题）1．Foundations of Risk Management风险管理基础（20%）2．Quantitative Analysis数量分析（20%）3．Financial Markets and Products金融市场与金融产品（30%）4．Valuation and Risk Models估值与风险建模（30%）FRM二级：LEVELⅡ（共80题）1．Market Risk Measurement and Management市场风险管理与测量（25%）2．Credit Risk Measurement and Management信用风险管理与测量（25%）3．Operational and Integrated Risk Management操作及综合风险管理（25%）4．Risk Management and Investment Management投资风险管理（15%）5．Current Issues in Financial Markets金融市场前沿话题（10%）。
frm一级中文教材
frm一级中文教材
frm一级中文教材
frm一级中文教材
FRM一级中文教材是一本介绍金融风险管理的教材。
本书包括五个主题，分别是风险管理，投资组合管理，市场风险测量和管理，信用风险测量和管理，操作风险测量和管理。
每个主题都包括多个章节，讲述了该主题的概念、理论、实践和案例。
本书内容深入、全面，适合从事金融风险管理的人员、金融从业人员、投资者、学生等阅读。
同时，本书还包括了大量的例题、练习题和模拟考试题，帮助读者巩固所学知识和检测自己的掌握情况。
- 1 -。
20110122FRM一级金融市场与产品_程黄维
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1313-138
Examples
EXAMPLE 3: FRM EXAM 2006—QUESTION 75 A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. What is the closest value for its modified duration? A. 9 B. 10 C. 99 D. 100 EXAMPLE 4: FRM EXAM 2007—QUESTION 115 A portfolio manager has a bond position worth USD 100 million. The position has a modified duration of eight years and a convexity of 150 years. Assume that the term structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points? A. USD −2,046,875 B. USD −2,187,500 C. USD −1,953,125 D. USD −1,906,250
8-138
Price-Yield Relationship
Ct P =∑ t t=1 (1 + y)
where: Ct = the cash flow (coupon or principal) in period t t = the number of periods (e.g., half-years) to each payment T = the number of periods to final maturity y = the discounting rate per period
1313-138
Examples
EXAMPLE 3: FRM EXAM 2006—QUESTION 75 A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. What is the closest value for its modified duration? A. 9 B. 10 C. 99 D. 100 EXAMPLE 4: FRM EXAM 2007—QUESTION 115 A portfolio manager has a bond position worth USD 100 million. The position has a modified duration of eight years and a convexity of 150 years. Assume that the term structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points? A. USD −2,046,875 B. USD −2,187,500 C. USD −1,953,125 D. USD −1,906,250
8-138
Price-Yield Relationship
Ct P =∑ t t=1 (1 + y)
where: Ct = the cash flow (coupon or principal) in period t t = the number of periods (e.g., half-years) to each payment T = the number of periods to final maturity y = the discounting rate per period
frm一级备考资料
frm一级备考资料备考FRM一级，哎呀，说起来就感觉脑袋都要爆炸了。
说真的，备考这个东西，谁都想轻松点，可是现实一巴掌把你打醒。
你看，FRM一级嘛，虽然有点难，但也没那么让人望而生畏，关键是怎么抓住重点，把那些看起来像“天书”的知识点搞定。
你别看书上都是那些密密麻麻的公式和理论，实际上只要你不慌不忙，一点一点咀嚼，慢慢消化，也就能顺利过关。
可能你现在觉得很头大，尤其是看到那些个“金融市场与产品”什么的，瞬间觉得自己是不是选错了路。
不过没关系，大家都从零开始。
反正考前那段时间，谁不是“东张西望，心情焦虑”呢？首先呢，你得知道FRM一级的考试其实分得挺清楚的，大家最怕的就是抓不住重点，总觉得每个章节都很重要，每个内容都得刷一遍，但这明显不现实嘛！你看看那些考试大纲，就像是一本“闹剧手册”，里头啥都有，真是有点让人头大。
不过你知道吗，其实其中有一些内容真的是重点中的重点，基本上能占到大部分分数。
比如说风险管理基础，市场风险、信用风险、操作风险啥的，虽然它们的名字看起来像是金融界的“老大哥”，但实际上也没那么难。
你把这些基本的概念弄明白了，考试的时候就能省不少事。
再说说那些看似枯燥的公式和计算题。
哎呀，别以为自己能避开它们，那简直是不可能的任务。
不过你也不用被它们吓到。
你只要理解了背后的原理，做题的时候顺手就能写出来。
比如那什么VaR（价值atrisk），一开始看到这几个字，我也脑袋一片空白，甚至以为自己是不是脑袋坏了。
但是慢慢地，你发现，其实这就是一种“前瞻性”的风险控制方法，简单说就是预测一个时间段内，市场可能给你带来多大的亏损。
搞明白这些，你做题的时候就能游刃有余。
再加上多做几道题，手感一熟，你就知道这些公式的套路了。
别忘了，每当你觉得做不下去，或者手中的笔开始不听使唤，别担心，这也是备考的必经之路。
其实备考的过程，真是一个“自我挑战”的过程。
你不断去超越自己，总是觉得有点力不从心，结果做完一套题之后，突然发现自己进步了。
frm一级资料
frm一级资料（实用版）目录1.介绍 FRM 一级考试的背景和重要性2.FRM 一级考试的主要内容和考试形式3.FRM 一级考试的备考策略和建议4.总结 FRM 一级考试的价值和意义正文FRM（Financial Risk Manager）一级考试是金融风险管理领域一项重要的资格认证考试。
随着我国金融市场的快速发展，金融风险管理越来越受到重视，FRM 一级考试也逐渐成为金融从业者提升自身素质、拓展职业发展的重要途径。
本文将详细介绍 FRM 一级考试的背景、主要内容、考试形式以及备考策略，帮助考生更好地应对考试。
一、FRM 一级考试的背景和重要性FRM 一级考试是由全球风险管理协会（GARP）举办的一项金融风险管理领域的专业认证考试。
FRM 认证分为两个级别，一级为知识体系的考试，二级为实务操作的考试。
通过 FRM 一级考试，考生可以全面了解金融风险管理的基本知识、理论体系和实务操作，提升自己在金融风险管理领域的专业素养。
此外，FRM 一级考试的全球认可度较高，对于金融从业者来说，通过 FRM 一级考试有助于提升个人职业品牌和市场竞争力。
二、FRM 一级考试的主要内容和考试形式FRM 一级考试主要涵盖金融市场与金融产品、风险管理基础、数量分析、金融工具与衍生品、信用风险、市场风险、操作风险和风险管理与投资管理等领域。
考试形式为计算机考试，考试时间为 4 小时，共 100 道选择题，每题 1 分，满分 100 分，60 分为及格线。
三、FRM 一级考试的备考策略和建议1.制定合理的学习计划：考生应根据自己的实际情况，合理安排学习时间，确保在考试前系统地完成所有知识点的学习。
2.掌握重点难点：FRM 一级考试的知识点较多，考生应重点掌握金融市场与金融产品、风险管理基础、数量分析等基础性知识点，同时关注市场风险、信用风险等高频考点。
3.多做练习题和模拟试题：通过做题，考生可以检验自己的学习成果，及时发现和弥补知识盲点。
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lowing is not considered a failure of risk management? A. Incorrect measurement of known risks B. Failure in communicating risk issues to top management C. Failure to minimize losses on credit portfolios D. Failure to use appropriate risk metrics
Create Value
Reduce Probability of Debt Overhang Reduce Information Asymmetries
4.
To benefit shareholders, a firm with a debt overhang that has exhausted its sources of internal financing will: A. Raise additional equity capital. B. Issue more debt. C. Replace riskier projects with lower risk projects. D. Replace low risk projects with higher risk projects and/or not take on additional projects.
Liquidity Risk (流动性风险)
Asset-liquidity risk Funding liquidity risk
Model risk People risk Legal risk
Create Value with Risk Management
1.
There are both absolute risk (measured without reference to a benchmark) and relative risk (measured against a benchmark) measures of market risk. Which of the following is an absolute measure of market risk? A. Tracking error B. Volatility of total returns C. Correlation with a benchmark portfolio D. Deviations from a benchmark index
Risk Financial Risks Market Risk (市场风险) Business Risks Measured by VAR Credit Risk (信用风险) Operational Risk (操作风险)
Absolute risk Probability of Default Relative risk Credit Exposure Directional risks Loss Given Default Non-directional risks Basis risk Volatility risk
2-93 专业来自百分百的投入
金程教育
专业·领先·增值
benchmark. Deviation from the benchmark index is a consideration in measuring relative risk.
2.
Jennifer Durrant is evaluating the existing risk management system of Silverman Asset Management. She is asked to match the following events to the corresponding type of risk. Identify each numbered event as a market risk, credit risk, operational risk, or legal risk event. Event Insufficient training leads to misuse of order management system. Credit spreads widen following recent bankruptcies. Option writer does not have the resources required to honor a contract. Credit swaps with counterparty cannot be netted because they originated in multiple jurisdictions. 1: legal risk. 2: credit risk. 3: operational risk. 4: credit risk 1: operational risk. 2: credit risk. 3: operational risk. 4: legal risk 1: operational risk. 2: market risk. 3: credit risk. 4: legal risk 1: operational risk. 2: market risk. 3: operational risk. 4: legal risk
Key Point: Creating Value with Risk Management
3-93 专业来自百分百的投入
金程教育
专业·领先·增值
Reduce Potential Costs of Financial Distress & Bankruptcy
Reduce Volatility of Taxable Income Reduce Weighted Average Cost of Capital Reduce Diversifiable Risk Improve Management Incentives
金程教育
专业·领先·增值
2012 FRM Level I
百题巅峰班讲义
讲师：程黄维 FRM
2012 年 05 月
1-93 专业来自百分百的投入
金程教育
专业·领先·增值
Part 1 Fundamentals of Risk Management
Answer: D Explanation: When a firm has a large amount of debt, it can make investment decisions that benefit shareholders but negatively affect the firm’s total value. This is debt overhang. Shareholders that face debt overhang would prefer high risk projects since a loss tends not to affect them, but they would benefit from the upside, or large profit.
Answer: B Explanation: Market risk is the risk of losses from movements in market prices. Absolute risk measures these changes in terms of the volatility of total returns. Tracking error is a relative measure of market risk defined as the deviation from a benchmark index. Correlation refers to a
Introduction of Risk Management
Creating Value with Risk Management
Portfolio Management Theory
Financial Disasters
GARP Code of Conduct
Key Point: types of Risk
5.
For a firm that has both debt and equity outstanding, the existence of which of the following typically would not be a sufficient incentive to implement costly risk management practices by itself? A. Graduated corporate tax rates (累进税率) B. Bankruptcy costs C. Financial distress costs D. Cash flow volatility
Answer: D Explanation: Shareholders are diversified; they have no reason to care about diversifiable risks. Therefore, they are not willing to discount expected cash flow at a lower rate if the firm makes cash flow less risky by eliminating diversifiable risk. The tax argument for risk management is straight forward: If it moves a dollar away from a possible outcome in which the taxpayer is subject to a high tax rate and shifts it to a possible outcome where the taxpayer incurs a low tax rate, a firm or investor reduces the present value of taxes to be paid. The tax rationale for risk
Create Value
Reduce Probability of Debt Overhang Reduce Information Asymmetries
4.
To benefit shareholders, a firm with a debt overhang that has exhausted its sources of internal financing will: A. Raise additional equity capital. B. Issue more debt. C. Replace riskier projects with lower risk projects. D. Replace low risk projects with higher risk projects and/or not take on additional projects.
Liquidity Risk (流动性风险)
Asset-liquidity risk Funding liquidity risk
Model risk People risk Legal risk
Create Value with Risk Management
1.
There are both absolute risk (measured without reference to a benchmark) and relative risk (measured against a benchmark) measures of market risk. Which of the following is an absolute measure of market risk? A. Tracking error B. Volatility of total returns C. Correlation with a benchmark portfolio D. Deviations from a benchmark index
Risk Financial Risks Market Risk (市场风险) Business Risks Measured by VAR Credit Risk (信用风险) Operational Risk (操作风险)
Absolute risk Probability of Default Relative risk Credit Exposure Directional risks Loss Given Default Non-directional risks Basis risk Volatility risk
2-93 专业来自百分百的投入
金程教育
专业·领先·增值
benchmark. Deviation from the benchmark index is a consideration in measuring relative risk.
2.
Jennifer Durrant is evaluating the existing risk management system of Silverman Asset Management. She is asked to match the following events to the corresponding type of risk. Identify each numbered event as a market risk, credit risk, operational risk, or legal risk event. Event Insufficient training leads to misuse of order management system. Credit spreads widen following recent bankruptcies. Option writer does not have the resources required to honor a contract. Credit swaps with counterparty cannot be netted because they originated in multiple jurisdictions. 1: legal risk. 2: credit risk. 3: operational risk. 4: credit risk 1: operational risk. 2: credit risk. 3: operational risk. 4: legal risk 1: operational risk. 2: market risk. 3: credit risk. 4: legal risk 1: operational risk. 2: market risk. 3: operational risk. 4: legal risk
Key Point: Creating Value with Risk Management
3-93 专业来自百分百的投入
金程教育
专业·领先·增值
Reduce Potential Costs of Financial Distress & Bankruptcy
Reduce Volatility of Taxable Income Reduce Weighted Average Cost of Capital Reduce Diversifiable Risk Improve Management Incentives
金程教育
专业·领先·增值
2012 FRM Level I
百题巅峰班讲义
讲师：程黄维 FRM
2012 年 05 月
1-93 专业来自百分百的投入
金程教育
专业·领先·增值
Part 1 Fundamentals of Risk Management
Answer: D Explanation: When a firm has a large amount of debt, it can make investment decisions that benefit shareholders but negatively affect the firm’s total value. This is debt overhang. Shareholders that face debt overhang would prefer high risk projects since a loss tends not to affect them, but they would benefit from the upside, or large profit.
Answer: B Explanation: Market risk is the risk of losses from movements in market prices. Absolute risk measures these changes in terms of the volatility of total returns. Tracking error is a relative measure of market risk defined as the deviation from a benchmark index. Correlation refers to a
Introduction of Risk Management
Creating Value with Risk Management
Portfolio Management Theory
Financial Disasters
GARP Code of Conduct
Key Point: types of Risk
5.
For a firm that has both debt and equity outstanding, the existence of which of the following typically would not be a sufficient incentive to implement costly risk management practices by itself? A. Graduated corporate tax rates (累进税率) B. Bankruptcy costs C. Financial distress costs D. Cash flow volatility
Answer: D Explanation: Shareholders are diversified; they have no reason to care about diversifiable risks. Therefore, they are not willing to discount expected cash flow at a lower rate if the firm makes cash flow less risky by eliminating diversifiable risk. The tax argument for risk management is straight forward: If it moves a dollar away from a possible outcome in which the taxpayer is subject to a high tax rate and shifts it to a possible outcome where the taxpayer incurs a low tax rate, a firm or investor reduces the present value of taxes to be paid. The tax rationale for risk