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FRM一级备考冲刺：考生易错题详解

来源：高顿网校 2015-09-30

　　小编导读：对于FRM一级考试，考点众多，在冲刺期间需要多做练习来巩固。高顿网校FRM小编整理了考生们常见的易错题以及正确率较低的试题，供考生们参考。

　　1.Factor push testing on interest rates is NOT appropriate for which of the following circumstances?

　　A. Fixed income and equities in normal conditions.

　　B. Fixed income and equities in bear market conditions.

　　C. Fixed income and equities in bull market conditions.

　　D. Fixed income and equities in inflationary market conditions.

　　2.Which of the following statements most accurately describe enterprise risk management (ERM)?

　　A.ERM decisions are made on an overall basis.

　　B.ERM separately manages individual risks within an organization.

　　C.ERM monitors risks from all sources for the purpose of increasing the organization’s long-term value.

　　D.ERM takes an integrated approach to the total return process.

　　3.An analyst is trying to estimate the beta for a fund. The analyst estimates a regression equation in which the fund returns are the dependent variable and the Wilshire 5000 is the independent variable, using monthly data over the past five years. The analyst finds that the correlation between the square of the residuals of the regression and the Wilshire 5000 is 0.2. Which of the following is most accurate, assuming a 0.05 level of significance? There is:

　　A. no evidence that there is conditional heteroskedasticity or serial correlation in the regression equation.

　　B. evidence of conditional heteroskedasticity and serial correlation in the regression equation.

　　C. evidence of conditional heteroskedasticity but not serial correlation in the regression equation.

　　D. evidence of serial correlation but not conditional heteroskedasticity in the regression equation.

　　Answer:

　　1.B

　　During bear market conditions, equities and bonds move in opposite directions while in all other cases, the asset classes tend to move together. Hence, pushing each factor in its "worst case" direction does not capture the negative correlation in bear markets.

　　2.A

　　ERM takes an integrated, big-picture approach to the risk management process, which is a departure from separately managing individual risks within an organization. Decisions are made on an overall basis and therefore, it positively impacts decision-making throughout the organization. ERM is defined as the discipline by which an organization in any industry assesses, controls, exploits, finances, and monitors risks from all sources for the purpose of increasing the organization’s short- and long-term value to its stakeholders.

　　3.A

　　The test for conditional heteroskedasticity involves regressing the square of the residuals on the independent variables of the regression and creating a test statistic that is n × R2, where n is the number of observations and R2 is from the squared-residual regression. The test statistic is distributed with a chi-squared distribution with the number of degrees of freedom equal to the number of independent variables. For a single variable, the R2 will be equal to the square of the correlation; so in this case, the test statistic is 60 × 0.22 = 2.4, which is less than the chi-squared value (with one degree of freedom) of 3.84 for a p-value of 0.05. There is no indication about serial correlation.

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