2025年FRM一级风险管理模拟试卷（含答案）.docxVIP

2025年FRM一级风险管理模拟试卷（含答案）

考试时间：______分钟总分：______分姓名：______

一、选择题（请选择最合适的答案）

1.Theprimaryobjectiveofriskmanagementforafinancialinstitutionisto:

A.Maximizeprofitsatallcosts.

B.Minimizealltypesofriskexposure.

C.Ensurethesurvivalandlong-termstabilityoftheinstitution.

D.Complysolelywithregulatoryrequirements.

2.Whichofthefollowingisgenerallyconsideredamarketriskfactor?

A.Creditratingdowngradeofacounterparty.

B.Changesininterestrates.

C.Fraudcommittedbyanemployee.

D.Unexpectedbankruptcyofamajorclient.

3.Theprocessofestimatingthepotentiallossduetoariskeventoveraspecifictimehorizonundernormalmarketconditionsisbestdescribedas:

A.ValueatRisk(VaR).

B.StressTesting.

C.ExpectedShortfall(ES).

D.ProbabilityofDefault(PD).

4.InthecontextoftheCapitalAssetPricingModel(CAPM),whichfactorrepresentstheexpectedreturnonthemarketportfoliominustherisk-freerate?

A.Beta(β).

B.Alpha(α).

C.MarketRiskPremium.

D.StandardDeviation(σ).

5.AbankuseshistoricalsimulationtocalculateVaR.Whichofthefollowingstatementsismostaccurate?

A.Itassumesreturnsarenormallydistributed.

B.Itreliessolelyonmarketdatafromthepast.

C.ItrequirescomplexMonteCarlosimulations.

D.ItisprimarilyusedforcalculatingES.

6.Whichregulatoryframeworksetsspecificcapitalrequirementsforbanksbasedontheirrisk-weightedassetsandintroducesconceptslikeBaselIIandIII?

A.Dodd-FrankWallStreetReformandConsumerProtectionAct.

B.SolvencyII.

C.BaselAccords.

D.MiFIDII.

7.Thedurationofabondmeasuresitssensitivitytochangesinwhichmarketfactor?

A.Creditspread.

B.Interestrates.

C.Volatility.

D.Foreignexchangerate.

8.Afinancialinstrumentwhosevalueisderivedfromanunderlyingassetisknownasa: