FRM2025年风险管理模拟测试试卷（含答案）.docxVIP

FRM2025年风险管理模拟测试试卷（含答案）

考试时间：______分钟总分：______分姓名：______

试卷

1.AbankusesahistoricalsimulationapproachtocalculateValueatRisk(VaR)atthe95%confidencelevel.Basedon250daysofdailyportfolioreturns,the5thpercentileofthereturndistributionis-1.2%.Theone-dayVaRat95%isclosestto:

a)1.2%oftheportfoliovalue.

b)1.7%oftheportfoliovalue.

c)2.4%oftheportfoliovalue.

d)-1.2%oftheportfoliovalue.

2.WhichofthefollowingisgenerallyconsideredalimitationoftheBasicBaselAccordscapitaladequacyframework?

a)Itdoesnotaccountfortheinterconnectednessbetweenfinancialinstitutions.

b)Itrequiresbankstoholdcapitalbasedsolelyoneconomiccapitalestimates.

c)Itprovidesarisk-neutralperspectiveforcapitalrequirementcalculations.

d)Itreliesheavilyonsubjectiveinternalratings.

3.Ariskmanagerisevaluatingthediversificationbenefitsofaddinganewassettoaportfolio.Whichofthefollowingmetricswouldbemostusefulforassessingthecorrelationbetweenthenewassetsreturnsandtheexistingportfolioreturns?

a)ValueatRisk(VaR)

b)ConditionalValueatRisk(CVaR)

c)Correlationcoefficient

d)Betacoefficient

4.Whichofthefollowingmethodsismostappropriateforestimatingtheexpectedloss(EAD)componentinacreditriskmodelforaspecificcounterparty?

a)Historicaldefaultrateofthecounterpartysindustry.

b)Notionalamountoftheexposure.

c)ProbabilityofDefault(PD)multipliedbyLossGivenDefault(LGD)andExposureatDefault(EAD).

d)Averagerecoveryrateobservedinpastdefaults.

5.Abankimplementsalimitonthemaximumexposuretoanysinglecounterparty.Thislimitprimarilyaddresseswhichtypeofrisk?

a)Marketrisk

b)Creditrisk

c)Liquidityrisk

d)Operationalrisk

6.Whichofthefollowingstatementsaccuratelydescribesoperationalrisk?

a)Itarisesfrom