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FRM一二级练习试题及答案1

发表时间:2015-02-27 来源:金程frm 告诉小伙伴:
【编者按】FRM一二级练习试题及答案,FRM二级每日一题 【操作风险管理与测量】,FRM一级每日一题 【估值与风险模型】

参与2015年5月FRM考试的考生可按照复习计划有效进行,另外金程FRM官网考试辅导高清课程,专题直播课程都可方便FRM考生的复习备考。同时还可免费索取FRM考试通关秘籍资料及试题,针对性地讲解、训练、答疑、模考,对学习过程进行全程跟踪、分析、指导,可以帮助考生全面提升备考效果。

FRM一级每日一题 【估值与风险模型】

Consider two portfolios. One with USD 100 million credit exposure to a single B-rated counterparty. The second with Euro 100 million on credit exposure split evenly between 50 B-rated counterparties. Assume that default probabilities and recovery rates are the same for all B-rated counterparties. Which of the following statements is not wrong?
A.       The expected loss of the first portfolio is greater than the expected loss of the second portfolio and the unexpected loss of the first portfolio is greater than the unexpected loss of the second portfolio.
B.        The expected loss of the first portfolio is greater than the expected loss of the second portfolio and the unexpected loss of the first portfolio is equal to the unexpected loss of the second portfolio.
C.        The expected loss of the first portfolio is equal to the expected loss of the second portfolio and the unexpected loss of the first portfolio is equal to the unexpected loss of the second portfolio.
D.       The expected loss of the first portfolio is equal to the expected loss of the second portfolio and the unexpected loss of the first portfolio is greater than the unexpected loss of the second portfolio.
Answer: D
Unexpected loss is the volatility of the expected loss. Therefore, there is diversified effect.

 

FRM二级每日一题 【操作风险管理与测量】
 
The chief Risk Officer of your bank has put you in charge of operational risk management. As a first step, you collect internal data to estimate the frequency and severity of operational-risk-related losses. The table below summarizes your findings:

Frequency Distribution

Severity Distribution

Probability

Frequency

Probability

Severity

0.6

0

0.5

USD 1,000

0.3

1

0.4

USD 100,000

0.1

2

0.1

USD 1,000,000

Based on this information, what is your estimate of the expected loss due to operational risk?

A.     USD 20,000

B.     USD 70,250

C.     USD 130,600

D.     USD 140,500

Answer: B

Scenario

Loss

Probability

Loss×Probability

0

-

0.60

-

1

1,000

0.15

150

1

100,000

0.12

12,000

1

1,000,000

0.03

30,000

2

2,000

0.03

50

2

200,000

0.02

3,200

2

2,000,000

0.00

2,000

2

101,000

0.04

4,040

2

1,001,000

0.01

10,010

2

1,100,000

0.01

8,800

 

 

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