2015-frm-历年真题(来自handbook).doc

FRM历年真题 - 来自 Handbook PRAT ONE Foundations of Risk Management1.Question 5-13(2008)Portfolio Q has a beta of 0.7, an expected return of 12.8%, and an equity risk premium of5.25%. The risk-free rate is 4.85%. Calculate Jensens alpha measure for portfolio Q.A.B.C.D.7.67%2.70%5.73%4.27%2.Question 1-11(2009)Based on the risk assessment of the CRO, Bank United’s CEO decided to make a largeinvestment in a levered portfolio of CDOs. The CRO had estimated that the portfolio had a1% chance of losing $1 billion or more over one year, a loss that would make the banki