2010年5月FRM1级第一部分风险管理基础课堂练习题(仅含试题).pdfVIP

2010 FRM Part 1 - Foundations of Risk Management Mock Exam 1. Portfolio Q has a beta of 0.7 and an expected return of 12.8%. The market risk premium is 5.25%. The risk free rate is 4.85%. Calculate Jensen’s Alpha measure for Portfolio Q. A. 7.67% B. 2.7% C. 5.73% D. 4.27% 2. 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 (FRM) 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 FRM program from achieving its objective? a) Management should estimate the amount of capital required to support the risk of its operations given the firm’s target rating. b) 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. c) Management should measure firm-level risk by aggregating risks across the firm consistently. d) Management should first determine the firm’s risk appetite and the general rules for capital allocation. 3. All the following are operational risk loss events, except: a. An individual shows up at a branch presenting a check written by a customer for an amount substantially exceeding the customers low checking account balance. When the bank calls the customer to ask him for the funds, the phone is disconnected and the bank cannot recover the funds. b. A bank, acting as a trustee for