FRM一级练习题(2)答案11953.pdf

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1、 财经网络教育领导品牌 _ 高顿网校 All Rights Reserved 版权所有 复制必究 1 FRM 一级练习题（2）答案 1.If the daily,95%confidence level value at risk(VaR)of a portfolio is correctly estimated to be USD 10,000,one would expect that 95%of the time(19 out of 20),the portfolio will lose less than USD 10,000;equivalently,5%of the time(1 o

2、ut of 20)the portfolio will lose USD 10,000 or more.(A)Incorrect.Portfolio value will decline by USD 10,000 or more.(B)Incorrect.In 1 out of 20 days,portfolio value will decline by USD 10,000 or more.(C)Incorrect.1 out of 95 days would provide a 98.9%confidence level.(D)Correct.2.In imperfect market

3、s,deadweight costs of financial distress or bankruptcy caused by debt financing cannot be hedged by the firms shareholders in the capital markets.Hence it pays for the firm to hedge its cash flow uncertainty via the use of derivatives contracts.The present value of its more stable cash flows in the

4、presence of hedging is greater than the present value of its uncertain expected cash flows in the absence of hedging.Transaction costs for capital markets bearing this risk are sufficiently low in forward markets.Answers (A),(C),and(D)are incorrect because they contradict the correct answer,(B).3.Ac

5、cording to CAPM,the expected return of the portfolio=0.045+1.5(0.11)=21%,and the expected return of the market portfolio is the risk premium plus the risk-free rate,or 11%+4.5%=15.5%.Therefore,portfolio A is expected to outperform the market.From the preceding,(B)and(D)are clearly incorrect.(C)is in

6、correct since beta greater than 1.0 implies portfolio A is riskier than the market portfolio.4.Jensens measure of a portfolio=ap=E(Rp)RF x E(RM)RF=8%5%0.5 x(10%5%)=0.5%(A)is incorrect.This is P*maP=0.5*0.20=10%.(B)is incorrect.This is the Black-Treynor ratio:P/P=0.005/0.5=1%.(D)is incorrect.This is

7、the Sharpe ratio:(E(Rp)RF)/smaP=0.03/0.2=15%.5.The answer is(B),since statement(B)is incorrect.An oil market move from a state of normal backwardation to contango and margin calls created a major cash crunch for Metallgesellschaft.6.Existing risk models generally fail to capture the distribution of

8、large losses over extended horizons.The 财经网络教育领导品牌 _ 高顿网校 All Rights Reserved 版权所有 复制必究 2 other statements are correct.7.As we know,cov(X,Y1+Y2)=cov(X,Y1)+cov(X,Y2).So cov(z,x+y)=cov(z,x)+cov(z,y).That means cov(z,x)+cov(z,y)=0.So if cov(z,x)=1,cov(z,y)=1,(A)and (B)are incorrect;if cov(z,x)=cov(z,y)

9、=0,(C)is incorrect.8.From the given information,there is a 77%chance that stock X increases and a 61%chance that stock Y increases.Since we have no additional information about the distributions,we know the maximum possible probability that both increases cannot be greater than 61%,since stock Y dec

10、reases 39%of the time.Suppose whenever Y increases,X increases as well,which is possible because X increases 77%of the time,in which case the probability both increase is 61%.This is the maximum possible probability that both increase.(B)is 0.61*0.77=0.4697.(C)is the maximum probability that both de

11、crease.(D)is the probability that X increases.9.Use Bayes Theorem:P(Neutral|Constant)=P(Constant|Neutral)*P(Neutral)/P(Constant)=0.2*0.3/(0.1*0.2+0.2*0.3+0.15*0.5)=0.387 10.Age and experience are highly correlated and would lead to multicollinearity.In fact,low t-statistics but a high R2 do suggest this problem also.Answers(A),(B),and(C)are not likely causes and are therefore incorrect.参与FRM 的考生可按照复习计划有效进行，另外高顿网校官网考试辅导高清课程已经开通，还可索取FRM考试通关宝典，针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。更多详情可登录高顿网校官网进行咨询。更多FRM 考试资讯，请关注官方微信公众号：gaodunfrm