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金融风险管理师FRM模拟题练习

来源：高顿网校 2014-12-22

　　1. In the approaches for weight data points in LDA model which one is incorrect？

　　A.Split loss is the loss affects more than one business line， each business line needs to be weighed.

　　B.Scale bias is caused by the possibility that larger firms could have large loss.

　　C.Data capture bias is caused by the fact that banks do not collect data below a given threshold.

　　D.To deal with data capture bias， the analysis can increase the probabilities of smaller losses and decrease the possibility of larger losses.

　　Answer：C

　　Data capture bias is caused by a correlation between the probability of a loss been reported and the size of the loss.

　　2. Which of the following reasons does not help explain the problems of LTCM in August and September 1998：

　　A.A spike in correlations

　　B.An increase in stock index volatilities

　　C.A drop in liquidity

　　D.An increase in interest rates on on-the-run Treasuries

　　Answer： D

　　Increased volatility and higher correlations led to substantial losses in LTCM‘s highly-leveraged portfolio. A significant drop in market liquidity forced LTCM to liquidate these highly-leveraged positions at substantial discounts. An increase in the spread between U.S. treasury rates and Russian government rates resulted in significant losses.

　　3. Which of the following is NOT one of the three traits common to past major financial shocks？

　　A.Reliance on overly complex pricing models.

　　B.A lack of market liquidity.

　　C.A sharp decline in asset prices due to a triggering event.

　　D.Leverage concerns.

　　Answer： A

　　The three common traits associated with past major financial shocks are： a triggering event leads to a sharp decline in asset prices. liquidity pressures. leverage concerns.

　　4. Two NY-based banks entered into a credit derivative contract to compensate the actual credit loss suffered by one party in consideration of annual fee paid by it to the second party. In this situation， which of the following is correct？

　　A. As per UK law， this is a wager and so the contract is void.

　　B. As per the State of NY Insurance Department， this is an insurance contract.

　　C. As per the State of NY Insurance Department， this is not an insurance contract， but a financial derivative.

　　D. None of the above.

　　Correct answer： B

　　Since this contract seeks to compensate the actual loss， this is an insurance contract， as payment is contingent on BOTH the credit event happening AND the party suffering loss. In credit derivative， the payment is contingent ONLY on credit event happening.

　　5. A trader buys one wheat contract (underlying = 5，000 bushels) at a price of $1.89 per bushel. The initial margin on the contract is $4，800 and the maintenance margin is $3，200. At what price will the trader receive a maintenance margin call？

　　A. $1.25.

　　B. $1.57.

　　C. $2.21.

　　D. $2.53.

　　Correct answer： B

　　The trader would have to post a margin of $4，800 at the outset and would receive a margin call if the value of this margin fell to $3，200. Thus the margin call would come when the contract lost $1，600 (= $4，800 - $3，200) of is value. This translates in to a price level = Current price Dollar loss/Underlying quantity = $1.89 - $1，600 / 5，000 = $1.57.

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