FRM一级易错题汇总.docx

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1、Omittedvariablebiasoccurswhentheomittedvariableiscorrelatedwiththeincludedregressorandisadeterminantofthedependentvariable.volatilityShorthedgeposition=LongthebasisHedgingistoforsurethatthechangeoftheinterestratewillnotinfectthevalueofthecontract.Benefit依

2、次是：0、0.5、1、0.5利率由前一个swapdate决定6-monthLIBOR的表示方法，依然是年华的，需要折算CurrentbalanceisthePVofthepool.Optionvalueis＄300000,optionquantityis100000张.续Putcallparity中的所有项，都是0时刻的PV续17.Thechiefriskofficerofaninternationalbankisinstructinghisdirectreportsonbestpracticesforc

3、onductingcountryriskanalysisandpresentingthefindingstoseniorexecutives.Whichofthefollowingrecommendationswouldbeconsideredthemostquestionable?A.Riskanalysisshouldbeconsistent,usingrigorousframeworksthatallowforvalidcross-countycomparison.B.Riskreportsshou

4、ldbeconcise,witheasytounderstandconclusionthathavesufficientdetailtomakethemmeaningful.C.Riskreportsshouldbeinformative,providingtheendusertherationablebehindanyassessmentwithoutand“blackboxes’thataredifficulttounderstand.D.Riskanalysisshouldbeopen–ended,

5、presentingseveralscenariosandtakingnoparticularpositiononanyissuethatcouldbiasdecision-makers.变的-不变的*conversionfactor(对应的)quote:cleanprice，但实际买卖(settlement)按照dirtyprice100M*6.9*1bp=94.062/100*0.1M*9.1*N*1bpBondsarealsoclassifiedaccordingtothetypeofsecurit

6、ythatbacksthemup.Amortgagebondisbackedbytheissuer'spledgeofbuildings,land,andequipmentassecurity.Adebenturebondisbackedonlybytheissuer'spromisetopaywhentheinterestandprincipalaredue（没有抵押物）RoleandResponsibilitiesofCRO?Providingtheoverallleadership,vision,a

7、nddirectionforenterpriseriskmanagement;?Establishinganintegratedriskmanagementframeworkforallaspectsofrisksacrosstheorganization;?Developingriskmanagementpolicies,includingthequantificationofthefirm'sriskappetitethroughspecificrisklimits;?Implementingaset

8、ofriskindicatorsandreports,includinglossesandincidents,keyriskexposures,andearlywarningindicators;?Allocatingeconomiccapitaltobusinessactivitiesbasedonrisk,andoptimizingthecompany'sriskportfoliothroughbusinessactivi