frm一級_風險管理基礎 定量分析答案

1、金程教育專業(yè)領先增值專業(yè)來自百分百的投入1301.1FOUNDATIONOFRISKMANAGEMENT1.Financialriskmanagement:A.seekstoeliminateallfinancialrisks.B.onlyfocusesonmanagingmarketrelatedfinancialrisks.C.istheprocessofreactingtofinanciallossesindertominimiz

2、elosses.D.Istheprocessofdetectingassessingmanagingfinancialrisks.Answer:D2.Theriskofsustainingsignificantlossesduetotheinabilitytotakeexitapositionatafairpriceismostlikely:A.marketriskB.liquidityriskC.operationalriskD.cr

3、editeventriskAnswer:BLiquidityriskistheriskofsustainingsignificantlossesduetotheinabilitytotakeexitapositionatafairprice.3.Riskmanagementtoreducetheprobabilityoffinancialdistress:A.alwaysincreasesfirmvalueB.canincreasefi

4、rmvaluebecausefinancialdistresshasmeasurablecostsC.iseasilyreplicatedbyindividualshareholdersD.cannotreducetheweightedaveragecostofcapitalAnswer:BFinancialdistresswilltakeupmanagementtimeenergypossiblyleadtostricterterms

5、fromsupplierslossofcustomers.Therefereducingtheprobabilityoffinancialdistresscanincreasefirmvalue.4.WhichofthefollowingstrategiesmayincreasefirmvaluebydecreasingthecostsofbankruptcyfinancialdistressI.Reducingthepotential

6、costsoffinancialdistressbankruptcy.II.Reducingtheweightedaveragecostofcapital.III.Improvingmanagementincentives.IV.Reducinginfmationasymmetries.A.ⅠonlyB.ⅠⅢonlyC.ⅠⅡⅣonlyD.ⅠⅡonlyAnswer:DStrategiesⅠⅡbothsuggestriskmanagemen

7、ttoreducethecostofbankruptcyfinancialdistressmaybevalueenhancing.5.TheroleofriskmanagementdoesNOTinvolveperfmingwhichofthefollowingtasksA.Makesurethatthefirmtakesgreaterthanthenecessaryamountofrisk.B.Assessallrisksfacedb

8、ythefirm.C.Communicatetheseriskstorisktakingdecisionmakers.D.Monitmanagetheserisks.Answer:ATheroleofriskmanagementinvolvesperfmingthefollowingtasks:(1)Assessallrisksfacedbythefirm.(2)Communicatetheseriskstorisktakingdeci

9、sionmakers.(3)Monitmanagetheserisks(makesurethatthe金程教育專業(yè)領先增值專業(yè)來自百分百的投入330Crectanswer:AMPT假設包括：Returnsdistribution，Utilitymaximization，Riskisvariability，Riskreturn，Riskaversion風險由方差度量，另外注意把CAPM的假設作為MPT的干擾選項。11.GreggGoebe

10、lMasonErikssonarestudyingftheFRMexamination.TheyhavejuststartedthesectiononPtfolioManagementErikssonishavingdifficultywiththeequationsfthecovariance(cov12)thecrelationcoefficient(r12)ftwostockptfolios.Goebelisconfidentwi

11、ththematerialcreatesthefollowingquizfEriksson.UsingtheinfmationinthetablebelowheasksEricksontofillinthequestionmarks.PtfolioJPtfolioKPtfolioLNumberofStocks222Covariancecov12=0.020cov12=0.003Crelationcoefficientr12=0.750R

12、iskmeasureStock1Std.Deviation1=0.08Std.Deviation1=0.20Std.Deviation1=0.18RiskmeasureStock2Std.Deviation2=0.18Std.Deviation2=0.12Variance2=0.09WhichofthefollowingchoicescrectlygivesthecovariancefPtfolioJthecrelationcoeffi

13、cientsfPtfoliosKLPtfolioJPtfolioKPtfolioLA.1.6800.0020.076B.0.0110.0020.076C.0.0110.8330.056D.1.6800.8330.056Crectanswer:CSolutionThecalculationsareasfollows:PtfolioJcovariance=cov12=(r12)(s1)(s2)=0.750.080.18=0.01080.01

14、1.PtfolioKcrelationcoefficient=(r12)=cov12[(s1)(s2)]=0.02(0.200.12)=0.833.PtfolioLcrelationcoefficient=(r12)=cov12[(s1)(s2)12]=0.003(0.180.0912)=0.003(0.180.30)=0.056.12.UsingtheMarkowitzmodelcalculationoftheptfoliostard

15、deviationdoesnotrequirethe:A.expectedrateofreturnonthemarketptfolioB.varianceofeachindividualassetintheptfolioC.covariancebetweenreturnsfallassetsincludedintheptfolioD.allofaboveCrectanswer:ASolutionTheMarkowitzfmulafthe

16、starddeviationofaptfoliodoesnotrequireanyinfmationaboutthemarketptfolio.13.Aninvesthasasameamountinvestedineachofthefollowingfoursecurities:SecurityExpectedannualrateofreturnW0.10X0.12Y0.16Z0.22TheinvestplanstosellSecuri

17、tyYusetheproceedstopurchaseanewsecuritythathassameexpectedreturnasthecurrentptfolio.Theexpectedreturnftheinvest’snewptfoliocomparedtothecurrentptfoliowillbe:A.lowerregardlessofanychangeinthestarddeviationoftheptfolioB.th