2014 金融风险管理师练习题 FRM Practice Exam

1

A fund holds a portfolio of principal-only strips of mortgage-backed securities. AII other things being equal, which of the following will most likely reduce the weighted average maturity of the portfolio?

A. An increase in interest rates.
B. An increase in prepayment speed.
C. A small decrease in the value of the homes backing the mortgage pool.
D. small decrease in the real incomes of the underlying mortgage holders.

答案B

解释：

• 选项A，折现率不影响到期时长（maturity）
• 选项C，房地产的价值下降本身并不缩短抵押池（mortgage pool）的资金支付到期时长，抵押贷款要求支付的金额属于契约要求
• 选项D，债券人的收入水平变化本身并不会影响抵押池的支付到期时长

Q：为什么提前偿还（prepayment）会影响抵押池的支付到期时长？

• 房地产抵押贷证券存在提前偿还风险（prepayment risk）
• 提前偿还（prepayment）会缩短按揭贷款的到期时长

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2

Which of the following statements concerning Asian options is correct?

A. Asian options are not suitable for hedging positions on underlying assets that trade very frequently.
B. Asian options tend to be more expensive than otherwise comparable vanilla options.
C. Asian options are not suitable for hedging exposures that involve regular cashflows.
D. Asian options tend to have payoffs that are less volatile than those of comparable European options.

答案D

解释：

• 亚洲期权的执行价格（strike Price）是一段时间内的平均价格
• 常规期权：
  • 美式期权（American option）
  • 欧式期权（European option）
• 常见的奇异期权类型（包括但不限于）：
  • 障碍期权（barrier option）
  • 亚洲期权（Asian option）
  • 百慕大期权（Bermuda option）

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3

A consultant has recommended using copulas to better account for dependencies in a portfolio. Which of the following statements about copula approaches is correct?
A. Copulas can be used to join marginal distributions to construct a multivariate distribution.
B. Copulas can only be used with mixtures of normal distributions.
C. Copulas require the estimation of only one parameter.
D. Copulas necessarily provide better estimates of tail dependence than correlation estimates for multivariate distributions.

【不了解】
答案A

耦合(copulas)

4

A risk manager is analyzing a 1-day 98% VaR model. Assuming 252 days in a year, what is the maximum number of daily losses exceeding the 1-day 98% VaR that is acceptable in a 1-year backtest to conclude, at a 95% confidence level, that the model is calibrated correctly?

A. 5
B. 9
C. 11
D. 12

答案B

解释：

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5

Which of the following is not a VaR mapping method for fixed-income portfolios?

A. Principal mapping.
B. Duration mapping.
C. Convexity mapping.
D. Cash mapping.

【不了解】
答案C

List and describe the three methods of mapping portfolios of fixed income securities