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2015年11月FRM考试倒计时：二级常见错题汇总

来源：高顿网校 2015-09-22

　　距离2015年11月还有两个月的时间，考生们在复习冲刺时一定要注重练习。做题，不光是要做的多，及时回顾也非常重要。高顿网校FRM小编整理了高顿题库FRM part 2 中学员们错误率较高的试题，供大家参考。

　　1.Extreme value theory (EVT) states that:

　　A. the exponential distribution is an appropriate method for modeling operational loss severity for a heavy-tailed distribution.

　　B. the exponential distribution is an appropriate method for modeling operational loss severity for a thin-tailed distribution.

　　C. the lognormal distribution is an appropriate method for modeling operational loss severity for a thin-tailed distribution.

　　D. the lognormal distribution is an appropriate method for modeling operational loss severity for a heavy-tailed distribution.

　　2.Which of the following statements regarding risk thresholds is (are) CORRECT?

　　I Risk thresholds represent probabilities.

　　II Risk thresholds are often arrived at through formalized means based on detailed research.

　　III Setting risk thresholds transforms risk management into risk measurement.

　　A. I only.

　　B. I and II.

　　C. II and III.

　　D. I, II and III.

　　3.A bank decides to reduce the default risk associated with part of its loan portfolio by selling these transactions to the investment banking sector for the re-packaging of these loans to investors. This process is known as:

　　A. securitization.

　　B. reintermediation.

　　C. recapitalization.

　　D. disintermediation.

　　4.Which of the following is NOT an accurate statement regarding the key rate shift approach in analyzing nonparallel shifts in the yield curve?

　　A. Key rates are mostly affected by the few rates closest to it.

　　B. A linear relationship incorporates key changes in rates across key rates.

　　C. A parallel shift across the yield curve results.

　　D. Key rate effects are smooth.

　　Answer:

　　1.B

　　EVT states that the exponential distribution is an appropriate method for modeling operational loss severity for a thin-tailed distribution.

　　2.A

　　Risk thresholds are often arrived at through informal means. Setting risk thresholds transforms risk measurement into risk management (and not the other way around).

　　3.B

　　Reintermediation is introducing an intermediary between the original bank and its clients by selling off loans to other companies. By selling the loans, the end client now has an obligation to a new company: ‘the intermediary’.

　　Note that in a securitization only the cash flows from the loans, not the loans themselves are sold off. This means the client relationship is still with the original bank.

　　4.A

　　A key rate is only affected by the interest rate change at that key rate maturity. A key rate is NOT affected by any interest rate changes at other maturities. However, interest rates at maturities between key rate maturities are affected by a combination of the key rates closest to it.

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