2007年FRM真题及答案.doc

You are the new CFO of Global Insurance Inc. You have asked a task force to report to you on how to structure an enterprise risk management program (ERM) with the objective of ensuring that your firm has the optimal level of risk for its level of capital. The task force has made the following recommendations. Which recommendation would hinder your ERM program from achieving its objective? Management should estimate the amount of capital required to support the risk of its operations given the firm’s target rating. Management should allocate the amount of capital determined to support the risk of its operations with the objective that units with better accounting performance receive more capital. Management should measure firm-level risk by aggregation risks across the firm consistently. Management should first determine the firm’s risk appetite and the general rules for capital allocation. Which of the following statements regarding hypothesis testing is incorrect? Type II error refers to the failure to reject the null hypothesis when it is actually false. Hypothesis testing is used to make inferences about the parameters of a given population on the basis of statistics computed foe a sample that is drawn from that population. All else being equal, the decrease in the chance of making a Type I error comes at the cost of increasing the probability of making a Type II error. The p-value decision rule is to reject the null hypothesis if the p-value is greater than the significance level. Your firm’s fixed-income portfolio has interest-only bonds(IO), callable corporate bonds, inverse floaters, noncallable corporate bonds. Your boss wants to know which of the following securities can lose value as yields decline. Callable corporate only Inverse floater only IO and callable corporate bond IO and noncallable corporate bond You are asked by your boss to estimate the exposure of a hedge fund to the SP 500. Though the fund claims to mark to market weekly, it does not do so a