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FRM真题练习,只为2015年FRM考试冲刺

发表时间:2015-05-04 来源: 告诉小伙伴:
【编者按】为了帮助广大学员在2015年FRM备考中取得良好的成绩,金程网校为大家开设了FRM考试真题,每天分享老师精心带来的FRM历年真题以及考试答案的详细解析,帮助学员在学习中快速的提升考试成绩,加强练习。

金程frm小编从FRM历年真题中精选了FRM风险管理、定量分析基础试题供大家练习。

亲爱的考生,为了帮助广大学员在2015年FRM备考中取得良好的成绩,金程网校为大家开设了FRM考试真题,每天分享老师精心带来的FRM历年真题以及考试答案的详细解析,帮助学员在学习中快速的提升考试成绩,加强练习,分享 FRM考试经验供大家交流、学习。

1、Over the past year, the Fund A had a return of 7.5%, while its benchmark, the S&P 500 index, had a return of 6.7%. Over this period, the S&P index';s volatility was 10.7% and the fund';s TEV was 1.8%. Assume a risk-free rate of 5%. What is the information Ratio for the Fund A?

  A.     0.480

  B.     0.444

  C.     0.234

  D.     1.389

Answer: B

金程frm解析:IR=(7.5%-6.7%)/1.8%=0.4444

2、Which of the following statements about the Sharpe Ratio is correct?

  I.The Sharpe Ratio considers both the systematic and unsystematic risks of a portfolio.

  II.The Sharpe Ratio is equal to the excess return of a portfolio over the risk-free rate divided by the total risk of the portfolio.

  III.The Sharpe Ratio cannot be used to evaluate relative performance of undiversified portfolios.

  IV.The Sharpe Ratio is derived from the Capital Market Line.

  A.I,II and III

  B.I,II and IV

  C.II,III and IV

  D.All of the above

  Answer: B

金程frm解析:The SR considers total risk, which includes systematic and unsystematic risks, so I. and II. are correct statements, and incorrect answers. Similarly, the SR is derived from the CML, which states that the market is mean-variance efficient and hence has the highest Sharpe Ratio of any feasible portfolio. Finally, the SR can be used to evaluate undiversified portfolios precisely, because it includes idiosyncratic risk.

3、What is the most appropriate interpretation of a slope coefficient estimate equal to 10.0?

 

  A.         The predicted value of the dependent variable when the independent variable is zero is 10.0.

  B.         The predicted value of the independent variable when the dependent variable is zero is 0.1.

  C.         For every one unit change in the independent variable the model predicts that the dependent variable will change by 0.1 units.

  D.         For every one unit change in the independent variable the model predicts that the dependent variable will change by 10 units.

  Answer: D

金程frm解析:Explanation: The slope coefficient is best interpreted as the predicted change in the dependent variable for a 1-unit change in the independent variable. If the slope coefficient estimate is 10.0 and the independent variable changes by one unit, the dependent variable will change by 10 units. The intercept term is best interpreted as the value of the dependent variable when the independent variable is equal to zero.

4、Which of the following statements are wrong?

  I            Type I error occurs when the null hypothesis is not rejected when it is actually false.

  II           Type II error occurs when the null hypothesis is rejected when it is actually true.

  III          Type I error occurs when the alternate hypothesis is wrongly accepted.

  IV         Minimizing the probability of Type I error maximizes the power of the test.

  A.         I and II

  B.         I and III

  C.         II and IV

  D.         I, II and IV

  Answer: D

  金程frm解析:In hypothesis testing we accept the alternate hypothesis if the null hypothesis has been rejected. Type I error happens if the null hypothesis is rejected when it is actually true. Type II error happens if the null hypothesis is accepted when it is actually false. The power of the test is the probability of correctly rejecting the null hypothesis (when it is false), so minimizing Type II (not Type I) errors would maximize the power of the test.

金程网校邀请了历年来金程的优秀学员来分享他们的FRM考试经验,希望通过老师对考试的解说,优秀学员的经验分享,让大家FRM备考工作可以进行的更加的顺利。

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