我相信大家都是從FRM題海戰(zhàn)術(shù)里走出來的朋友們，其實刷題就是一個熟能生巧的事情，即使可能你對某個知識點不理解，但是同一個題型你做完3次后，就有一種閉著眼睛我都能認出你的熟悉感，剝掉題干的外殼，其實都是同一個套路。
那么到底哪些題目是有典型考法，哪些知識點是易錯的點，哪些是協(xié)會的慣用套路，這就是大家FRM考前需要拿個小本本記下來的事情。
看到這里，是不是大家都有一種蠢蠢欲動，要趕緊去做筆記的想法?
知道目前大家都在爭分多秒學習，貼心小編幫大家整理了FRM一級、二級學科的錯題本，希望在最后的時候能給大家起到助力的作用。
精選問答1
題干
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?
選項A
One of the drawbacks of a fullycentralized ERM process is over-hedging risks and taking out excessiveinsurance coverage.
選項B
Effective ERM has three key benefits:improved business performance, better risk reporting, and stronger stakeholdermanagement.
選項C
Managing downside risk and earningsvolatility are optional ERM strategies.
選項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.
解題思路
本題應該選D。在D選項中，prudent的意思是謹慎，而并非厭惡。所謂謹慎，并不是說就不接受風險了，而是說對待風險的態(tài)度更審慎。題目中有profitable的修飾：去接受會帶來盈利的風險，是可以的。
A選項中的over-hedging：over-headging指過多的風險對沖。因為一個公司內(nèi)部，將所有業(yè)務(wù)線合并起來，有一些業(yè)務(wù)線之間本身就可以形成對沖，ERM好的公司，就會讓這些業(yè)務(wù)形成天然對沖。
如果ERM不好、綜合化程度不高，每個業(yè)務(wù)部門都自己對沖，那業(yè)務(wù)線之間的天然對沖就沒法形成，這樣過多的對沖就會帶來更高的成本。所以ERM好的公司，是不會有這種drawback的。
C選項：傳統(tǒng)的風險管理中，企業(yè)是對風險進行單獨管理的，比如這里的下限風險和收入的不確定。而企業(yè)的全面風險管理，是對風險進行綜合地管理，目標是使得公司整體的業(yè)績較優(yōu)化等等，而不是僅僅、單獨地管理下限風險和收入的不確定。
精選問答2
題干
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?
選項A
The expected return of Portfolio A isgreater than the expected return of the market portfolio.
選項B
The expected return of Portfolio A isless than the expected return of the market portfolio.
選項C
The return of Portfolio A has lowervolatility than the market portfolio.
選項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.
解題思路
market portfolio的系統(tǒng)性風險貝塔等于1。在CAPM的模型下，根據(jù)CAPM:R=Rf+β(Rm-Rf)，對于Portfolio A和Market Portfolio而言，公式的其它變量都是一致的，唯一的區(qū)別是組合a的β是1.5，市場組合的β是1，由于β后面的MarketPremium是正數(shù)，必然導致組合A的期望收益大于市場組合的期望收益。
易錯點分析：
本題可以根據(jù)β直接做判斷。
精選問答3
題干
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:
選項A
sell (or sell short) the risky assetbecause its expected return is less than equilibrium expected return on themarket portfolio.
選項B
buy the risky asset because the analystexpects the return on it to be higher than its required return in equilibrium.
選項C
sell (or sell short) the risky assetbecause its expected return is not sufficient to compensate for its systematicrisk.
選項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.
解題思路
10.6%是分析師預期的資產(chǎn)的收益率。10.4%是market portfolio的收益率(market portfolio經(jīng)過了充分的分散化;它就是CAPM公式里的那個E(Rm)。10.94%是用CAPM算出來的asset的合理收益率。
CAPM算出來的合理收益率是10.94%，而預期收益只有10.6%。它的預期收益率比合理收益率低，說明它的價格是偏高的，所以應該賣出。
精選問答4
題干
In which of the following situations would the existence or addition of anindependent risk management department add value to a bank?
選項A
When there is a low cost to the bank ofhaving incremental risk above the optimal level.
選項B
When there are multiple business unitswithin a bank, all guided by specific risk objectives of their respectiveunits.
選項C
When the risk management process isflexible and consistently succeeds in managing the bank’s risk below the setacceptable threshold level.
選項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.
解題思路：
A選項：題目問的是說，在何種情況下，銀行再增加一個風險管理部門會帶給銀行帶來收益。A選項意思是當增加風險，需要較低成本時。很明顯，只要當需要更高成本時，銀行才會再增加風控部門。
B選項：因為公司由很多風險各異的業(yè)務(wù)條線存在，在考慮risk apappetite等因素的時候要站在公司整體風險的角度考量，這時候一個獨立的風險管理部門可以統(tǒng)籌完善風險的分配等問題，因此會add value。
C選項：銀行的風險已經(jīng)在可以接受的風險門檻之下了，風險過低的情況下，那么銀行的盈利性就會降低。此時再一味地增加風險管理部門，那么只能繼續(xù)控制風險，而不能帶來value creation。
易錯點分析
此題偏定性理解，其余三選項誤選的同學較多。
精選問答5
題干
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?
選項A
Banks need to take on a small amountrisk in order to maximize shareholder value while satisfying the constraintsimposed by bank regulators.
選項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.
選項C
Banks that are valued for their abilityto provide liquid investments to their customers should take on less risk inorder to maximize value.
選項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.
解題思路：
A選項：A選項錯在銀行承擔較優(yōu)規(guī)模的風險，在滿足監(jiān)管要求的前提下來實現(xiàn)股東價值最大化，而不是small amount。
B選項：太保守、只愿意承擔更少風險的銀行是沒法賺更多錢的，流動性、安全性、盈利性是一組trade-off。B選項從end up generating moremoney開始都錯。
D選項：即使一家銀行風格再保守，但它也是要盈利的，而要想盈利的話就勢必會承擔風險。D選項在本題中不是較佳選項。
易錯點分析：
本題跟上題一樣，另外三個選項誤選同學較多。FRM一級這門課的特點就是這樣，考察比較宏觀，需要一些在風控方面的common sense。
精選問答6
題干
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?
選項A
The portfolio has higher SR than thebenchmark.
選項B
The portfolio has negative IR.
選項C
The IR is 0.35.
選項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.
解題思路：
TEV代表了主動風險，它的計算公式為TEV=standard deviation of (Rp-Rb)。算出來是6.87%。
主動收益/主動風險=信息比率IR,題目算得IR=0.29，而非0.35。解答第二段算得夏普比率才應該是0.29，所以D正確。
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