做过的题你都能拿分吗？
临近考试，大战在即，不知道大家复习的怎么样呢？
小编先来安利一波终极助考神器，那就是传说中的品职喜茶课——千人计划，可能还是有很多人不知道是什么？在这里我们还是要简单介绍一下，就是疗效超神奇的价值千元的FRM一级二级总复习课程，只需要19.9元就可以轻松获取，具体内容可以详见👇的文章。（小编温馨提示一下，截止到5月11号截止哦，拖延症患者们赶紧行动起来）
【限时4天】终极助考神器：品职FRM千人计划已被你成功召唤，翻盘就看这个了！
快速参与通道：如果已经了解本计划的，可以直接扫码回复【FRM千人】获取参与方式。
临近考前，小编相信大家都开始启用“题海”战术，疯狂刷题，可是你现在做过的题，你考场碰到都能做对吗？
同为备考党的我，小编只想说，如果只做过一遍，那怕是有点难。
我相信大家都是从题海战术里走出来的朋友们，其实刷题就是一个熟能生巧的事情，即使可能你对某个知识点不理解，但是同一个题型你做完3次后，就有一种闭着眼睛我都能认出你的熟悉感，剥掉题干的外壳，其实都是同一个套路。
那么到底哪些题目是有典型考法，哪些知识点是易错的点，哪些是协会的惯用套路，这就是大家考前需要拿个小本本记下来的事情。
看到这里，是不是大家都有一种蠢蠢欲动，要赶紧去做笔记的想法？
知道目前大家都在争分多秒学习，贴心的品职教研组的小哥哥、小姐姐们也是熬夜赶工（心疼一下），帮大家整理了FRM一级、二级学科的错题本，希望在最后的时候能给大家起到助力的作用。
在接下来的这周，我们在每天都会发布一级、二级学科各一门的高频问答，希望对大家的备考有所帮助。今天一级放上风险管理基础的错题本，大家一起来看看这些题都会做吗？
精选问答1
题干
Jimi Chong is a risk analyst at a mid-sized financial institution. He hasrecently come across an article that described the enterprise risk management(ERM) process.
Chong does not believe this is a well-written article, and heidentified four statements that he thinks are incorrect. Which of the followingstatements identified by Chong is actually correct?
选项A
One of the drawbacks of a fullycentralized ERM process is over-hedging risks and taking out excessiveinsurance coverage.
选项B
Effective ERM has three key benefits:improved business performance, better risk reporting, and stronger stakeholdermanagement.
选项C
Managing downside risk and earningsvolatility are optional ERM strategies.
选项D
A prudent ERM strategy allows a firm toaccept more of the profitable risks.
答案解析
D is correct. A strong ERM strategy allows a firm to accept more of theprofitable risks and reject unprofitable risks.
Over-hedging risks and taking out excessiveinsurance coverage are issues faced by companies that do not have an integrated ERM strategy.
In addition to improved business performance and better riskreporting, the third benefit of effective ERM is improved organizationaleffectiveness.
Managing downside risk and earnings volatility are strategiestypical of companies with a defensive approach to risk management, whereaseffective ERM focuses on optimizing performance, influencing pricing, andallocating resources effectively.
解题思路
本题应该选D。在D选项中，prudent的意思是谨慎，而并非厌恶。所谓谨慎，并不是说就不接受风险了，而是说对待风险的态度更审慎。题目中有profitable的修饰：去接受会带来盈利的风险，是可以的。
A选项中的over-hedging：over-headging指过多的风险对冲。因为一个公司内部，将所有业务线合并起来，有一些业务线之间本身就可以形成对冲，ERM好的公司，就会让这些业务形成天然对冲。
如果ERM不好、综合化程度不高，每个业务部门都自己对冲，那业务线之间的天然对冲就没法形成，这样过多的对冲就会带来更高的成本。所以ERM好的公司，是不会有这种drawback的。
C选项：传统的风险管理中，企业是对风险进行单独管理的，比如这里的下限风险和收入的不确定。而企业的全面风险管理，是对风险进行综合地管理，目标是使得公司整体的业绩最优化等等，而不是仅仅、单独地管理下限风险和收入的不确定。
精选问答2
题干
An analyst at CAPM Research Inc. is projecting a return of 21% onPortfolio A. The market risk premium is 11%, the volatility of the marketportfolio is 14%, and the risk-free rate is 4.5%.
Portfolio A has a beta of1.5. According to the capital asset pricing model, which of the followingstatements is true?
选项A
The expected return of Portfolio A isgreater than the expected return of the market portfolio.
选项B
The expected return of Portfolio A isless than the expected return of the market portfolio.
选项C
The return of Portfolio A has lowervolatility than the market portfolio.
选项D
The expected return of Portfolio A isequal to the expected return of the market portfolio.
答案解析
A is correct. According to the CAPM, the required return on Portfolio Rf +β*[E( R M )− R F ] = 4.5 %+ 1.5*11% = 21% indeed. Because the beta isgreater than 1, it must be greater than the expected return on the market, whichis 15.5%. Note that the question has a lot of extraneous information.
解题思路
market portfolio的系统性风险贝塔等于1。在CAPM的模型下，根据CAPM:R=Rf+β（Rm-Rf），对于Portfolio A和Market Portfolio而言，公式的其它变量都是一致的，唯一的区别是组合a的β是1.5，市场组合的β是1，由于β后面的MarketPremium是正数，必然导致组合A的期望收益大于市场组合的期望收益。
易错点分析：
本题可以根据β直接做判断。
精选问答3
题干
AN ANALYST HAS ESTIMATED THAT THE RETURNS FOR AN ASSET, CONDITIONAL ON THEPERFORMANCE OF THE OVERALL ECONOMY, ARE:
Also, the conditional expected returns onthe market portfolio are:
According to the CAPM, if the risk-freerate is 5% and the risky asset has a beta of 1.1, with respect to the marketportfolio, the analyst should:
选项A
sell (or sell short) the risky assetbecause its expected return is less than equilibrium expected return on themarket portfolio.
选项B
buy the risky asset because the analystexpects the return on it to be higher than its required return in equilibrium.
选项C
sell (or sell short) the risky assetbecause its expected return is not sufficient to compensate for its systematicrisk.
选项D
buy the risky asset because the analystexpects the return on it to be lower than its required return in equilibrium.
答案解析
C is correct. The analyst’s forecast of the expected return on the riskyasset is 5%*0.2+10%*0.4+ 14%*0.4 =10.6%. The expected/equilibrium return on themarket portfolio is 2%*0.2+10%*0.4+15%*0.4 = 10.4%.
The CAPM equilibrium expected return(required return in equilibrium) on the risky asset is 5%+ 1.1*(10.4%-5%) =10.94%.
Since the analyst’s forecast return on the risky asset is less itsrequired return in equilibrium, the asset is overpriced and the analyst wouldsell if he owned it and possibly sell it short.
解题思路
10.6%是分析师预期的资产的收益率。10.4%是market portfolio的收益率（market portfolio经过了充分的分散化；它就是CAPM公式里的那个E(Rm）。10.94%是用CAPM算出来的asset的合理收益率。
CAPM算出来的合理收益率是10.94%，而预期收益只有10.6%。它的预期收益率比合理收益率低，说明它的价格是偏高的，所以应该卖出。
精选问答4
题干
In which of the following situations would the existence or addition of anindependent risk management department add value to a bank?
选项A
When there is a low cost to the bank ofhaving incremental risk above the optimal level.
选项B
When there are multiple business unitswithin a bank, all guided by specific risk objectives of their respectiveunits.
选项C
When the risk management process isflexible and consistently succeeds in managing the bank’s risk below the setacceptable threshold level.
选项D
When the fixed costs of having a riskmanagement department outweigh the benefits.
答案解析
B The total amount of risk that the bank is able to take is dependent onall of the risks taken by the various business units.
As a result, the riskmanagement function can add value by requiring the business units to take theperspective of the entire bank when making decisions regarding risks.
If there is a very high cost of havingincremental risk above the optimal level, then there is value in having a riskmanagement department to ensure compliance with specific risk limits.
If thereis a very low cost of having incremental risk above the optimal level, then thefixed costs of having a risk management department may outweigh the benefits,thereby destroying value for the bank.
If a bank has a risk management processthat is very inflexible in order to manage the bank’s risk below a setacceptable threshold level, it may end up controlling risk but not allowing forany value creation.
解题思路：
A选项：题目问的是说，在何种情况下，银行再增加一个风险管理部门会带给银行带来收益。A选项意思是当增加风险，需要较低成本时。很明显，只要当需要更高成本时，银行才会再增加风控部门。
B选项：因为公司由很多风险各异的业务条线存在，在考虑risk apappetite等因素的时候要站在公司整体风险的角度考量，这时候一个独立的风险管理部门可以统筹完善风险的分配等问题，因此会add value。
C选项：银行的风险已经在可以接受的风险门槛之下了，风险过低的情况下，那么银行的盈利性就会降低。此时再一味地增加风险管理部门，那么只能继续控制风险，而不能带来value creation。
易错点分析
此题偏定性理解，其余三选项误选的同学较多。
精选问答5
题干
Which of the following statements regarding the amount of risk taken by abank and the impact on the value of a bank is most likely correct?
选项A
Banks need to take on a small amountrisk in order to maximize shareholder value while satisfying the constraintsimposed by bank regulators.
选项B
Banks that are conservative in practiceand take on less risk will always end up generating more value because theyavoid incurring losses that would be associated with taking on more risk.
选项C
Banks that are valued for their abilityto provide liquid investments to their customers should take on less risk inorder to maximize value.
选项D
Banks that are conservative in practicetypically assume an optimal amount of risk of zero.
答案解析
C is correct. When a bank is valued for its ability to provide safe andliquid investments to its customers, it should not take on too much riskbecause that may impair its ability to provide safe and liquid investments andmay ultimately reduce the value of the bank.
A bank needs to take on an optimalamount of risk in order to maximize shareholder value while satisfying theconstraints imposed by bank regulators.
In theory, the optimal amount may bezero, although in practice, that is rarely the case. If a bank takes on toolittle risk, it may fail to capitalize on enough profitable opportunities and,therefore, generate suboptimal returns for its shareholders. Ultimately, toolittle risk may lower the value of the bank.
解题思路：
A选项：A选项错在银行承担最优规模的风险，在满足监管要求的前提下来实现股东价值最大化，而不是small amount。
B选项：太保守、只愿意承担更少风险的银行是没法赚更多钱的，流动性、安全性、盈利性是一组trade-off。B选项从end up generating moremoney开始都错。
D选项：即使一家银行风格再保守，但它也是要盈利的，而要想盈利的话就势必会承担风险。D选项在本题中不是最佳选项。
易错点分析：
本题跟上题一样，另外三个选项误选同学较多。一级这门课的特点就是这样，考察比较宏观，需要一些在风控方面的common sense。
精选问答6
题干
A portfolio manager returns 10% with a volatility of 20%. The benchmarkreturns 8% with risk of 14%. The correlation between the two is 0.98. Therisk-free rate is 3%. Which of the following statements is correct?
选项A
The portfolio has higher SR than thebenchmark.
选项B
The portfolio has negative IR.
选项C
The IR is 0.35.
选项D
The IR is 0.29
答案解析
The Sharpe ratios of the portfolio and benchmark are (10% - 3%)/20% = 0.35and (8% - 3%)/14% = 0.36, respectively. So the SR of the portfolio is lowerthan that of the benchmark; answer A is incorrect.
The TEV is the square rootof 20 % ^2 +14 % ^2 −2×0.98×20%×14% , which is 0.00472^0.5 = 6.87%. So,the IR of the portfolio is (10% - 8%)/6.87% = 0.29. This is positive, so answerB is incorrect. Answer C is the SR of the portfolio, not the IR, so it isincorrect.
解题思路：
TEV代表了主动风险，它的计算公式为TEV＝standard deviation of (Rp-Rb)。算出来是6.87%。
主动收益/主动风险=信息比率IR,题目算得IR=0.29，而非0.35。解答第二段算得夏普比率才应该是0.29，所以D正确。
