FRM一级_风险管理基础_定量分析答案(★★)

金程教育专业·领先·增值专业来自百分百的投入1-301.1FOUNDATIONOFRISKMANAGEMENT1.Financialriskmanagement:A.seekstoeliminateallfinancialrisks.B.onlyfocusesonmanagingmarket-relatedfinancialrisks.C.istheprocessofreactingtofinanciallossesinordertominimizelosses.D.Istheprocessofdetecting,assessing,andmanagingfinancialrisks.Answer:D2.Theriskofsustainingsignificantlossesduetotheinabilitytotakeorexitapositionatafairpriceismostlikely:A.marketriskB.liquidityriskC.operationalriskD.crediteventriskAnswer:BLiquidityriskistheriskofsustainingsignificantlossesduetotheinabilitytotakeorexitapositionatafairprice.3.Riskmanagementtoreducetheprobabilityoffinancialdistress:A.alwaysincreasesfirmvalueB.canincreasefirmvaluebecausefinancialdistresshasmeasurablecostsC.iseasilyreplicatedbyindividualshareholdersD.cannotreducetheweightedaveragecostofcapitalAnswer:BFinancialdistresswilltakeupmanagementtimeandenergyandpossiblyleadtostrictertermsfromsuppliersandlossofcustomers.Therefore,reducingtheprobabilityoffinancialdistresscanincreasefirmvalue.4.Whichofthefollowingstrategiesmayincreasefirmvaluebydecreasingthecostsofbankruptcyandfinancialdistress?I.Reducingthepotentialcostsoffinancialdistressandbankruptcy.II.Reducingtheweightedaveragecostofcapital.III.Improvingmanagementincentives.IV.Reducinginformationasymmetries.A.ⅠonlyB.ⅠandⅢonlyC.Ⅰ,ⅡandⅣonlyD.ⅠandⅡonlyAnswer:DStrategiesⅠandⅡbothsuggestriskmanagementtoreducethecostofbankruptcyandfinancialdistressmaybevalueenhancing.5.TheroleofriskmanagementdoesNOTinvolveperformingwhichofthefollowingtasks?A.Makesurethatthefirmtakesgreaterthanthenecessaryamountofrisk.B.Assessallrisksfacedbythefirm.C.Communicatetheseriskstorisk-takingdecisionmakers.D.Monitorandmanagetheserisks.Answer:ATheroleofriskmanagementinvolvesperformingthefollowingtasks:(1)Assessallrisksfacedbythefirm.(2)Communicatetheseriskstorisk-takingdecisionmakers.And(3)Monitorandmanagetheserisks(makesurethatthe金程教育专业·领先·增值专业来自百分百的投入2-30firmonlytakesthenecessaryamountofrisk)6.JimSheehanmanagesadiversifiedportfoliocontainingfortystocks.Theportfoliobetais1.05.JimisconsideringaddingthestockofABCInc.totheportfolio,andwouldfundthepurchasewithcashalreadyintheportfolio.ABCInc.hasabetaof1.20,andiscurrentlynotpartoftheportfolio.WhichstatementabouttheresultingportfolioisTRUE?A.Systematicriskwouldincrease,buttheunsystematicriskwouldbeunchanged.B.Systematicriskwoulddecrease,buttheunsystematicriskwouldbeunchanged.C.Bothsystematicriskandunsystematicriskwouldbeunchanged.D.Bothsystematicriskandunsystematicriskwouldbothincease.Answer:ASincetheportfolioiswelldiversified,theassumedlevelofunsystematicriskiszero.TheadditionofABCInc.willincreasetheportfoliobeta,and,hence,thelevelofsystematicrisk.1.2CapitalAssetPricingModel(CAPM)7.Inthecontextofthecapitalassetpricingmodel(CAPM),systematicriskisbestdescribedasthepartoftotalrisk:A.thatisuncorrelatedwiththemarketB.thatcanbereducedthroughdiversificationC.forwhichinvestorscanexpecttobecompensatedD.forwhichinvestorscannotexpecttobecompensatedCorrectanswer:CSolutionInthecontextoftheCAPM,systematicriskiscorrelatedwithmarket,cannotreducethroughdiversificationandtheinvestorcanexpecttobecompensated.8.Whichofthefollowingstatementsaboutportfolioriskanddiversificationisleastaccurate?A.Notallriskisdiversifiable.B.Unsystematicriskcanbesubstantiallyreducedbydiversification.C.Systematicriskcanbeeliminatedbyholdingsecuritiesinawell-diversifiedinternationalstockportfolio.D.Noneofabove.Correctanswer:CSolutionSystematic(market-related)riskcannotbeeliminatedbydiversification.Unsystematic(unique,company-specific)riskcanbereducedbydiversification,Diversificationbenefitswilloccuranytimesecurityreturnshavelessthanperfectpositivecorrelations.9.AllofthefollowingareassumptionsoftheCapitalAssetPricingModelEXCEPTA.Eachinvestorseekstomaximizetheexpectedutilityofwealthattheendofthatinvestor’shorizon.B.Investorscanborrowandlendatthesamerisk-freerate.C.Investorshavethesameexpectationsconcerningreturns.D.Thetimehorizonsofinvestorsarenormallydistributed.Answer:DTheCAPMassumesthatinvestorsallhavethesamehorizon(aswellasexpectations).Thismeansthatthedistributionofthehorizonsisnotnormalbecausenormalityimpliesabell-shapedcurvedistribution,whichwouldhaveapositivevarianceand,hence,dispersion.10.MarkowitzPortfolioTheoryisnotaccuratelydescribedasincludinganassumptionthat:A.riskismeasuredbytherangeofexpectedreturnsB.foragivenrisklevel,investorpreferhigherreturnstolowerreturnsC.investorsbasealltheirdecisionsonexpectedreturnandriskD.investorsfocusonutilitymaximization金程教育专业·领先·增值专业来自百分百的投入3-30Correctanswer:AMPT假设包括：Returnsdistribution，Utilitymaximization，Riskisvariability，Risk/return，Riskaversion,风险由方差度量，另外注意把CAPM的假设作为MPT的干扰选项。11.GreggGoebelandMasonErikssonarestudyingfortheFRMexamination.TheyhavejuststartedthesectiononPortfolioManagementandErikssonishavingdifficultywiththeequationsforthecovariance(cov1,2)andthecorrelationcoefficient(r1,2)fortwo-stockportfolios.GoebelisconfidentwiththematerialandcreatesthefollowingquizforEriksson.Usingtheinformationint