2011年FRM一级模考题第一套答案.pdf

FRM 一级模考试题（一）——答案 1. Answer: D The Monte Carlo approach allows for whatever relationships the VAR modeler would like to take into account It is the most flexible method for generating VAR; however, it comes at a cost of requiring substantial computing power, especially when the model used to generate portfolio relationships is complex. 2. Answer: A To obtain the d(1.0) discount factor, first solve for d(0.5), In the equation below, the price for Bond A is equated to its terminal cash flow in six months, which is the principal plus the semiannual coupon of $3.00. 101.182 = 103.00×d(0.5) d(0.5) = 0.9823 Next use the price and cash flows of Bond B to calculate the d(l .0) discount factor. The cash flow in six months is the semiannual coupon of $6.00 and is discounted by d(0.5). The cash flow in one year is the principal plus the semiannual coupon of $6.00. 102.341 = 6.00×d(0.5) + 106.00 ×d(1.0) 102.341 = 6.00×0.9823 + 106.00 ×d(1.0) d(1.0) = 0.9099 3. Answer: C Stop-loss limits are easy to calculate and can be aggregated across assets. Notional limits are easy to calculate but cannot be aggregated across assets. Exposure limits are difficult to calculate and cannot be aggregated across assets. 4. Answer: A According to Standards 2.1 and 2.2. GARP Members shall act fairly in all situations and must fully disclose any actual or potential conflict to all affected parties. GARP Members should also make full and fair disclosure of all matters that could reasonably be expected to impair independence and objectivity or interfere with respective duties to their employer, clients, and prospective clients. Harrow should disclose to Dominion conflicts that reasonably could be expected to interfere with his inde