FRM一级考前必做100真题
1、An operational risk manager uses the Poisson distribution to estimate the frequency of losses in excess of USD 2 million during the next year. It is observed that the frequency of losses greater than USD 2 million is three per year on average over the last 10 years. Assuming that this observation is indicative of future occurrences and that the probability of one event occurring is independent of all other events, what is the probability of five losses in excess of USD 2 million occurring during the next two years?
A.10.08%
B.14.04%
C.14.62%
D.16.06%
Answer: D
2. A growing regional bank has added a risk committee to its board. One of the first recommendations of the risk committee is that the bank should develop a risk appetite statement. What best represents a primary function of a risk appetite statement?
A.To quantify the level of variability for each risk metric that a firm is willing to accept.
B.To state specific new business opportunities a firm is willing to pursue.
C.To assign risk management responsibilities to specific internal staff members.
D.To state a broad level of acceptable risk to guide the allocation of the firm’s resources. Answer: D
3. A bank uses a 4-grade scale for its internal credit model. The 1-year rating transition probabilities for this model are given by:
If a newly issued bond is rated “A” by this model, what is the probability that it will be rated “B”or lower two years from now?
A.9%
B.10%
C.18%
D.19%
Answer: C
4. A risk analyst observes that an emerging market stock index has hit a new all-time high with
a value of 10,000, measured in the emerging market’s currency. The analyst suggests buying futures on the index as a hedge on the firm’s short exposure to this market. If the interest rate is 4% annually in this market and the average annualized dividend yield on the index for the next six months is 1%, what is the approximate price of a 6-month futures contract on the index in the emerging market’s currency?
A.9,700
B.9,850
C.10,150
D.10,300
Answer: C
5、You are evaluating the historical performance of four equity funds benchmarked to the BSE
SENSEX Index, as shown in the table below:
Which fund has the highest information ratio?
A.Fund A
B.Fund B
C.Fund C
D.Fund D
Answer: B
6. A risk analyst is analyzing several indicators for a group of countries. If he specifically considers the Gini coefficient in his analysis, in which of the following factors is he most interested?
A.Standard of living.
B.Peacefulness.
C.Perceived corruption.
D.Income inequality
Answer: D
7. Credit risk analysts at an investment bank are preparing a report on a company. After concluding their research, they estimate a 60% probability that the company will have its credit rating downgraded within one year by a major agency. If including in the report, which of the following would be a violation of the GARP code of Conduct?
A. A discussion of a possible trade in the debt of two competing firms that could potentially be
acquired by the company.
B.An analysis of trading in the company’s debt by its major bondholders.
C. A statement that the company’s debt is almost certain to be downgraded.
D. A valuation matrix projecting several potential valuations for the company’s debt based on
potential credit ratings at the end of one year.
Answer: C
8. A portfolio manager holds USD 25 million in various US Treasury securities and is concerned
