FRM一级易错题汇总.docx

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1、如有侵权，请联系网站删除，仅供学习与交流FRM一级易错题汇总【精品文档】第 15 页Omitted variable bias occurs when the omitted variable is correlated with the included regressor and is a determinant of the dependent variable.volatilityShort hedge position=Long the basisHedging is to for sure that the change of the interest rate will not

2、infect the value of the contract. Benefit依次是：0、0.5、1、0.5利率由前一个swap date决定6-month LIBOR的表示方法，依然是年华的，需要折算Current balance is the PV of the pool.Option value is 300000, option quantity is 100000张.续Put call parity中的所有项，都是0时刻的PV续17. The chief risk officer of an international bank is instructing his direct

3、 reports on best practices for conducting country risk analysis and presenting the findings to senior executives. Which of the following recommendations would be considered the most questionable?A. Risk analysis should be consistent, using rigorous frameworks that allow for valid cross-county compar

4、ison.B. Risk reports should be concise, with easy to understand conclusion that have sufficient detail to make them meaningful.C. Risk reports should be informative, providing the end user the rationable behind any assessment without and “black boxes that are difficult to understand.D. Risk analysis

5、 should be open ended, presenting several scenarios and taking no particular position on any issue that could bias decision-makers.变的-不变的*conversion factor(对应的) quote:clean price，但实际买卖(settlement)按照dirty price100M*6.9*1bp=94.062/100*0.1M*9.1*N*1bpBonds are also classified according to the type of se

6、curity that backs them up. A mortgage bond is backed by the issuers pledge of buildings ,land, and equipment as security. A debenture bond is backed only by the issuers promise to pay when the interest and principal are due（没有抵押物）Role and Responsibilities of CRO􀁸 Providing the overall leade

7、rship, vision, and direction for enterprise risk management;􀁸 Establishing an integrated risk management framework for all aspects of risks across the organization;􀁸 Developing risk management policies, including the quantification of the firms risk appetite through specific risk l

8、imits;􀁸 Implementing a set of risk indicators and reports, including losses and incidents, key risk exposures, and early warning indicators;􀁸 Allocating economic capital to business activities based on risk, and optimizing the companys risk portfolio through business activities and

9、 risk transfer strategies;􀁸 Communicating the companys risk profile to key stakeholders such as the board of directors, regulators, stock analysts, rating agencies, and business partners; 􀁸 Developing the analytical, systems, and data management capabilities to support the risk management program.The internal should mimic the external.100M*6.9*1bp=94.062/100*0.1M*9.1*N*1bpOption value=delta*S(underlying)Delta不要欠考虑Confidence level不包含端点；significance level包含端点