2004 年FRM 考题回顾.pdfVIP

2004 年FRM考題回顧 Session I (此處之題號僅為序號，並非FRM 考試之原題號) 1. Two independent variables X and Y, E(X) = 4, E(Y) = 3, E(XY) = 11, Cov(X, Y) = ? A) –1 B) 0 C) 11 D) 12 ※此題的題目可能出錯，因為獨立的隨機變數間相關係數應為0 。 2. Two traders: Brown and Parker: Brown earned a profit of 5 million with a volatility of 14%, while Parker’s profit is 6 million with a volatility of 16%. Whose performance is better in RAROC with 99% confidence level? A) Brown B) Parker C) The same. 3. A 公司第一年的probability of default = 0.03% ，第二年為0.04% ，第三年為0.06%