FRM资讯

FRM 其它课程 金程教育 · 金色前程 · 在你我手中

考试题库课程直播资料

【操作风险管理与测量】FRM二级每日试题精选

发表时间:2015-03-16 来源: 告诉小伙伴:
【编者按】
【操作风险管理与测量】FRM二级每日试题精选
A firm’s financial planning department reports that a project’s proposed risk-adjusted return on capital (RAROC) is 13 percent, the risk-free rate is 3 percent, the market return is 11 percent 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:
  1. Accept the project because its expected ARAROC is higher than the market’s excess return.
  2. Reject the project because its expected ARAROC is lower than the market’s excess return.
  3. Accept the project because its expected ARAROC is lower than the market’s excess return.
  4. Reject the project because its expected ARAROC is higher than the market’s excess return.

Answer: B

ARAROC = (0.13 - 0.03) / 1.3 = 0.0769 = 7.69%

The project should be rejected because the ARAROC of 7.69 percent is less than the excess return on the market: 11%-3% = 8%.

400-700-9596
(每日9:00-21:00免长途费 )

©2014金程网校保留所有权利

TOP
X

注册金程网校

同意金程的《用户协议》

已有账号,马上登录