12年FRM一级百题班讲义

金程教育专业·领先·增值1-93专业来自百分百的投入2012FRMLevelI百题巅峰班讲义讲师：程黄维FRM2012年05月金程教育专业·领先·增值2-93专业来自百分百的投入Part1FundamentalsofRiskManagementKeyPoint:typesofRiskRiskBusinessRisksFinancialRisksMarketRisk(市场风险)LiquidityRisk(流动性风险)CreditRisk(信用风险)OperationalRisk(操作风险)AbsoluteriskRelativeriskDirectionalrisksNon-directionalrisksBasisriskVolatilityriskProbabilityofDefaultCreditExposureLossGivenDefaultModelriskPeopleriskLegalriskAsset-liquidityriskFundingliquidityriskMeasuredbyVARCreateValuewithRiskManagement1.Therearebothabsoluterisk(measuredwithoutreferencetoabenchmark)andrelativerisk(measuredagainstabenchmark)measuresofmarketrisk.Whichofthefollowingisanabsolutemeasureofmarketrisk?A.TrackingerrorB.VolatilityoftotalreturnsC.CorrelationwithabenchmarkportfolioD.DeviationsfromabenchmarkindexAnswer:BExplanation:Marketriskistheriskoflossesfrommovementsinmarketprices.Absoluteriskmeasuresthesechangesintermsofthevolatilityoftotalreturns.Trackingerrorisarelativemeasureofmarketriskdefinedasthedeviationfromabenchmarkindex.CorrelationreferstoaIntroductionofRiskManagementPortfolioManagementTheoryCreatingValuewithRiskManagementGARPCodeofConductFinancialDisasters金程教育专业·领先·增值3-93专业来自百分百的投入benchmark.Deviationfromthebenchmarkindexisaconsiderationinmeasuringrelativerisk.2.JenniferDurrantisevaluatingtheexistingriskmanagementsystemofSilvermanAssetManagement.Sheisaskedtomatchthefollowingeventstothecorrespondingtypeofrisk.Identifyeachnumberedeventasamarketrisk,creditrisk,operationalrisk,orlegalriskevent.Event1.Insufficienttrainingleadstomisuseofordermanagementsystem.2.Creditspreadswidenfollowingrecentbankruptcies.3.Optionwriterdoesnothavetheresourcesrequiredtohonoracontract.4.Creditswapswithcounterpartycannotbenettedbecausetheyoriginatedinmultiplejurisdictions.A.1:legalrisk.2:creditrisk.3:operationalrisk.4:creditriskB.1:operationalrisk.2:creditrisk.3:operationalrisk.4:legalriskC.1:operationalrisk.2:marketrisk.3:creditrisk.4:legalriskD.1:operationalrisk.2:marketrisk.3:operationalrisk.4:legalriskAnswer:CExplanation:A.BandCareincorrect.Ciscorrect.1.Insufficienttrainingleadstomisuseofordermanagementsystemisanexampleofoperationalrisk.2.Wideningofcreditspreadsrepresentsanincreaseinmarketrisk.3.Anoptionwriternothonoringtheobligationinacontractisacreditriskevent.4.Whenacontractisoriginatedinmultiplejurisdictionsleadingtoproblemswithenforceability,thereislegalrisk.3.Whichofthefollowingisnotconsideredafailureofriskmanagement?A.IncorrectmeasurementofknownrisksB.FailureincommunicatingriskissuestotopmanagementC.FailuretominimizelossesoncreditportfoliosD.FailuretouseappropriateriskmetricsAnswer:CExplanation:Ifthefirm’smanagementchoosestoignoretheadviceofriskmanagementandfollowariskystrategy,thisisnotnecessarilyafailureofriskmanagement.KeyPoint:CreatingValuewithRiskManagement金程教育专业·领先·增值4-93专业来自百分百的投入ReducePotentialCostsofFinancialDistress&BankruptcyReduceVolatilityofTaxableIncomeReduceWeightedAverageCostofCapitalReduceDiversifiableRiskImproveManagementIncentivesReduceProbabilityofDebtOverhangReduceInformationAsymmetriesCreateValue4.Tobenefitshareholders,afirmwithadebtoverhangthathasexhausteditssourcesofinternalfinancingwill:A.Raiseadditionalequitycapital.B.Issuemoredebt.C.Replaceriskierprojectswithlowerriskprojects.D.Replacelowriskprojectswithhigherriskprojectsand/ornottakeonadditionalprojects.Answer:DExplanation:Whenafirmhasalargeamountofdebt,itcanmakeinvestmentdecisionsthatbenefitshareholdersbutnegativelyaffectthefirm’stotalvalue.Thisisdebtoverhang.Shareholdersthatfacedebtoverhangwouldpreferhighriskprojectssincealosstendsnottoaffectthem,buttheywouldbenefitfromtheupside,orlargeprofit.5.Forafirmthathasbothdebtandequityoutstanding,theexistenceofwhichofthefollowingtypicallywouldnotbeasufficientincentivetoimplementcostlyriskmanagementpracticesbyitself?A.Graduatedcorporatetaxrates(累进税率)B.BankruptcycostsC.FinancialdistresscostsD.CashflowvolatilityAnswer:DExplanation:Shareholdersarediversified;theyhavenoreasontocareaboutdiversifiablerisks.Therefore,theyarenotwillingtodiscountexpectedcashflowatalowerrateifthefirmmakescashflowlessriskybyeliminatingdiversifiablerisk.Thetaxargumentforriskmanagementisstraightforward:Ifitmovesadollarawayfromapossibleoutcomeinwhichthetaxpayerissubjecttoahightaxrateandshiftsittoapossibleoutcomewherethetaxpayerincursalowtaxrate,afirmorinvestorreducesthepresentvalueoftaxestobepaid.Thetaxrationaleforrisk金程教育专业·领先·增值5-93专业来自百分百的投入managementapplieswheneverincomeistaxedatdifferentlevels.Bothbankruptcyandfinancialdistresscostsreducefirmvalueandcannotbeeliminatedbyhomemaderiskmanagementandforwhichtheriskmanagementirrelevancetheoremdoesnothold.6.Therearemanyreasonswhyriskmanagementincreasesshareholderwealth.Whichofthefollowingriskmanagementpoliciesisleastlikelytoincreaseshareholderwealth?A.Hedgingstrategiestolowertheprobabilityoffinancialdistressandbankruptcy.B.Riskmanagementpoliciesdesignedtoreducetheprobabilityofdebtoverhang.C.Well-designedcompensationstructureformanagersthatsetsincentivesfo