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FRM金融分析公式大全

FRM金融分析公式大全FRM（金融风险管理师）考试涵盖了各种金融领域的知识，包括金融市场、投资组合、衍生品、风险管理等。

在备考FRM考试过程中，了解并掌握一些重要的金融分析公式是非常重要的。

下面是一些常用的FRM金融分析公式。

1.投资组合理论- 总风险：Total Risk = 市场风险 + 独特风险 (Total Risk = Market Risk + Unique Risk)- 投资组合预期收益率：Portfolio Expected Return =∑(Weight_i * Return_i)- 投资组合方差：Portfolio Variance = ∑(Weight_i^2 * Variance_i) + ∑(∑(Weight_i * Weight_j * Covariance_i,j)) - 投资组合标准差：Portfolio Standard Deviation =sqrt(Portfolio Variance)- 夏普比率：Sharpe Ratio = (Expected Portfolio Return -Risk-Free Rate) / Portfolio Standard Deviation2.金融市场与证券分析- 预期收益率：Expected Return = (Dividend / Initial Price) + (Ending Price - Initial Price) / Initial Price- 股票价格增长率：Growth Rate = (Ending Price - Initial Price) / Initial Price- 股息支付率：Dividend Payout Ratio = Dividend paid / Earnings- 股票收益率：Stock Return = (Ending Price - Initial Price + Dividend) / Initial Price- 股票的风险溢价：Equity Risk Premium = Expected Stock Return - Risk-Free Rate3.衍生品定价与风险管理- 看涨期权定价（欧式期权）：Call Option Price = S_0 * N(d_1) - X * e^(-r*T) * N(d_2)其中d_1 = (ln(S_0 / X) + (r + σ^2/2) * T) / (σ * sqrt(T))d_2 = d_1 - σ * sqrt(T)- 看跌期权定价（欧式期权）：Put Option Price = X * e^(-r*T) * N(-d_2) - S_0 * N(-d_1)其中d_1和d_2同上面的公式- 未来合约价格（期货/远期）：Futures/Forward Price = Spot Price * (1 + Risk-Free Rate)^T- 期权的Delta：Delta = N(d_1) for call options / -N(-d_1) for put options4.金融风险管理- VaR（Value at Risk）：VaR(alpha) = - (Expected Portfolio Return - α * Portfolio Standard Deviation)- CVaR（Conditional Value at Risk）：CVaR(alpha) = - (Expected Portfolio Return - α * VaR)- 发债期权定价：Bond Option Price = Call Option Price - Put Option Price- 隐含波动率：Implied Volatility- 多头风险和空头风险：Long Position Risk = Position Size * (Stock Price - Stop Loss Price)Short Position Risk = Position Size * (Stop Loss Price - Stock Price)以上是一些FRM考试中常用的金融分析公式。

FRM CRM

注册风险管理师认证考试：120-180分钟的中文机考，单项选择题。综合评估考试后10个工作日提交《论文》
成绩公布期
考试之后2个月左右
考试之后1个月左右
考试期限及补考规定
生必须在Part I没有通过之后的4年内进行重考，否则将以新考生的身份重新缴纳注册费。考生必须在Part I通过之后的4年内通过Part II，否则将以新考生的身份重新缴纳注册费。
项目认证开始时间为2012年
主办机构
美国“全球风险管理专业人士协会”（GARP）
中国企业联合会；人力资源和社会保障部中国高级公务员培训中心
报考条件
没有学历与行业上的限制，大学在校学生亦可报考
1、研究生以上，从事相关工作2年
2、大学本科，从事相关工作3年
3、大专，从事相关工作5年
考试费用
一次性考完两级8500元左右（报名费、教材费、第一次注册费），考试报名时间分三个阶段，越早报名越便宜。
补考费用：290元/次
过关率
考试通过率50%左右
考试之前有模拟题，做好模拟题，过关率能达到80%
证书取得
取得 FRM 需要通过FRM考试；具有两年金融风险管理相关的工作经验（考生必须在5年内向GARP协会的Resume Builder提交2年的工作经验证明，否则必须重新参加FRM考试。）；按时缴纳会费，参加 GARP 会员以及签署职业道德公约。
考试时间及地点
从2010年开始，FRM考试将会分为两级，并分别在每年的5月与11月中下旬举行。FRM考试在中国北京、上海、广州、成都、南京、武汉、香港和台湾设有考点
每年举行4次，时间分别为3,6,9,12月。考生在报考机构所在地参加全国统一考试，具体地点由当地培训机构通知。
考试方式

2024frm二级考点变化

2024frm二级考点变化
2024年FRM二级考试的变化可能涉及到考试内容、考试形式、考试范围等方面。

首先，考试内容可能会根据行业发展和监管要求进行更新和调整。

这可能包括新的金融工具、风险管理模型、监管法规等方面的内容。

其次，考试形式可能会有所调整，可能会增加案例分析、实际操作等考察方式，以更好地评估考生的实际能力。

此外，考试范围可能会有所扩大或者缩小，涉及到不同领域的重点和比重可能会有所变化。

除此之外，2024年FRM二级考试的变化还可能涉及考试的难易程度、通过率等方面。

考试难易程度的变化可能会受到考试内容和形式的影响，而通过率的变化也可能会受到考试难易程度和考生整体水平的影响。

总的来说，2024年FRM二级考试的变化可能是多方面的，包括内容、形式、范围、难易程度、通过率等方面。

考生需要密切关注考试动态，及时了解相关信息，做好充分的准备。

香港证券资格考试详解

⾹港证券资格考试详解⼀、引⾔⾹港作为全球⾦融中⼼，其证券市场的发展⼀直备受瞩⽬。

为了确保证券市场的稳健运⾏，提⾼从业⼈员的专业素养和技能，⾹港特区政府及监管机构推出了⼀系列证券资格考试。

本⽂将对⾹港证券资格考试进⾏详解，帮助读者更好地了解这⼀领域的考试要求、考试内容及考试形式。

⼆、⾹港证券资格考试的种类1.证券从业资格考试证券从业资格考试是进⼊证券⾏业的基本⻔槛。

通过此类考试的⼈员可获得从业资格，从事证券公司的相关⼯作。

此类考试⼀般涉及证券市场基础知识、证券交易、证券投资分析等⽅⾯的内容。

2.注册国际投资分析师（CIIA）考试注册国际投资分析师考试是由国际注册投资分析师协会（ACIIA）主办的⼀项全球性资格考试。

该考试旨在培养具备全球视野和跨市场投资分析能⼒的专业⼈才。

考试涉及宏观经济、财务分析、资产评估、投资组合管理等多个领域。

3.⾦融⻛险管理师（FRM）考试⾦融⻛险管理师考试是由美国全球⻛险协会（GARP）主办的⼀项国际性资格考试。

该考试主要针对⾦融⻛险管理领域，涉及⻛险识别、量化和控制等⽅⾯的知识和技能。

通过FRM考试的⼈员可获得⾦融⻛险管理师的认证。

三、⾹港证券资格考试的报名条件与流程1.报名条件⼀般来说，⾹港证券资格考试的报名条件主要包括以下⼏点：具有⾼中及以上学历；⽆专业限制，但⾦融、经济等相关专业背景可提供⼀定程度的优势；具备⼀定的英语⽔平，如阅读理解能⼒等。

1.报名流程⾹港证券资格考试的报名流程⼀般包括以下步骤：登录相关机构⽹站或前往其官⽅报名地点；填写报名表并提交所需材料；缴纳考试费⽤；等待审核结果，审核通过后获得准考证。

四、⾹港证券资格考试的形式与内容1.考试形式⾹港证券资格考试⼀般采⽤机考或笔试形式。

机考形式需要在计算机上完成考试，⽽笔试形式则需要考⽣在纸上作答。

具体形式可能会根据不同的考试⽽有所差异。

2.考试内容以注册国际投资分析师（CIIA）考试为例，该考试主要考察以下内容：经济学：包括微观经济学、宏观经济学等⽅⾯的知识和技能；⾦融学：涉及⾦融市场、⾦融机构、⾦融⼯具等⽅⾯的知识和技能；会计学：包括财务会计、管理会计等⽅⾯的知识和技能；投资组合管理：涉及投资策略、资产配置等⽅⾯的知识和技能；财务分析：包括财务报表分析、财务⽐率分析等⽅⾯的知识和技能。

金融行业几个比较热门的证书

金融行业几个比较热门的证书在金融行业中，持有相关的证书可以提升职业竞争力并且为个人带来更多的发展机会。

本文将介绍金融行业中几个比较热门的证书，包括CFA、FRM和CPA。

1. CFA(Chartered Financial Analyst)特许金融分析师CFA是全球金融业普遍认可的职业资格证书之一，由CFA学会(CFA Institute)颁发。

CFA证书分为三个级别，需要通过一系列考试才能获得。

考试科目CFA考试主要涵盖以下几个方面的内容： - 伦理与专业准则 - 投资工具 - 资产估值 - 证券分析和组合管理 - 金融市场和投资组合管理持有CFA证书可以展示您在投资领域的专业知识和技能，帮助您在金融机构或投资公司中寻求更好的职业发展。

同时，CFA是很多国际知名金融机构招聘的重要条件之一，对于拓宽职业视野也具有积极的作用。

2. FRM(Financial Risk Manager)金融风险管理师FRM是风险管理领域的国际专业证书，由全球风险管理协会(Global Association of Risk Professionals)颁发。

FRM考试涵盖金融风险管理的各个方面。

考试科目FRM考试主要包括以下几个科目： - 市场风险测量与管理 - 信用风险测量与管理 - 操作风险与投资管理 - 风险管理与投资组合管理持有FRM证书说明您具有全面的金融风险管理知识和技能，对于担任金融机构的风控岗位或相关风险管理职位非常有吸引力。

FRM证书也是很多银行和保险公司重要的招聘要求之一。

3. CPA(Certified Public Accountant)注册会计师CPA是全球公认的会计领域最具权威性的证书，由各个国家或地区的会计协会颁发。

CPA证书对于从事会计、审计和税务等工作的人员来说极为重要。

考试科目CPA考试涵盖的科目包括： - 财务会计与报告 - 管理会计与报告 - 税务 - 审计与确认持有CPA证书可以展示您具备高度专业的会计和财务知识，对于从事审计、税务等相关工作非常有竞争力。

FRM,SOA等资料介绍

FRM简介（1）什么是FRM FRM （Financial Risk Manager）是全球金融风险管理领域的一种国际资格认证，由美国“全球风险管理协会”（GARP）设立。

GARP是一个拥有来自超过150个国家的85000名会员的世界最大的金融协会组织之一，主要分别服务于5000多家银行、证券公司、学术研究机构、政府管理机构、资产管理机构、保险公司及非金融性公司等。

其主要职能是通过信息交换，实施教育计划，提高全世界金融风险管理领域的标准。

FRM考试始于1997年。

截至2009年底，全球约有2万多名人员获得FRM头衔。

FRM考试在中国北京、上海、香港和台湾设有考点，目前中国（包括香港、台湾）已取得FRM证书的大约在1000人左右，属于极度稀缺的金融高级人才。

从某种意义上讲，金融学就是研究如何从时间和风险两个维度上对资产进行最优配置的一门学科。

因此，“风险”作为金融领域的核心变量，有着举足轻重的地位。

近10年来，随着金融工程学、金融计量经济学和计算金融等金融前沿学科的快速发展，金融风险管理技术等到了前所未有的重视，FRM考试也因此迅速地发展，已经得到华尔街和众多欧美著名金融机构、大型公司风险管理部门以及各国政府监管层和金融监管部门的认同，并已经初步成为全世界金融风险管理领域最权威的认证。

目前，FRM考试实行分级考试，分为一级和二级（Part Ⅰ和Part Ⅱ），对金融风险管理感兴趣的或正在从事相关工作的朋友，可以通过参加FRM考试提高自己的风险管理知识水平，又可为职场发展和事业开拓增加一个重磅筹码。

（2）GARP简介 2010年起，由全球风险管理协会（）举办的金融风险管理师（FRM）考试将于每年5月和11月中下旬在全球四十多个城市同时举行。

GARP是一个拥有150个国家的85000多名会员的世界规模最大、最具权威的风险管理国际组织。

GARP是一个非盈利独立机构，是国际清算银行在风险管理方面的主要咨询机构之一，其宗旨是促进风险管理方面的信息交流、开展风险管理的资格认证考试、制定金融风险管理领域的技术规范和评价标准。

GARP官方对FRM的报考条件说明

GARP官方对于FRM的报考条件有如下说明：What qualifications do I need to register for the FRM Program?（我需要什么资格才能注册FRM考试?）There are no educational or professional prerequisites needed to register.（注册(FRM 考试)没有教育或专业的先决条件。

）大致意思就是说，FRM的报考条件比较宽松，只要想报名就能报名，不过由于FRM考试只提供美式英语试卷，因此，FRM学习还是要具备一定英语基础的。

FRM考试形式为笔试，因此，考生能够读懂金融英语即可。

正常来说，英语有四级以上水平就可以学习FRM的，在备考之前可以先学习专业类词汇。

FRM涉及数学知识，一般为经济学专业考研数学难度，主要是概率与统计的内容偏多。

了解了FRM的报考条件，再来分析一下FRM的考试内容。

PART I（共100题）1．Foundations of Risk Management风险管理基础（20%）2．Quantitative Analysis数量分析（20% ）3．Financial Markets and Products 金融市场与金融产品（30% ）4．Valuation and Risk Models估值与风险建模（30%）PART II（共80题）1.Market risk measurement and management市场风险测量与管理（20%）2.Credit risk measurement and management信用风险测量与管理（20%）3.Operational Risk and Resiliency 操作风险和弹性（20%）4.Liquidity and Treasury Risk Measurement and Management流动性和资金风险计量与管理（15%）5.Risk management and investment management风险管理与投资管理（15%）6.Current issues in financial markets当前金融市场的问题（10%）自2010年起，FRM考试分为PART I 和PART II两级，考生可以同时报考PART I和PART II 的考试，但必须通过PART I考试，PART II才会被评分，两级都通过后并达到其他要求方可取得证书。

FRM 金融风险管理师考试大纲

Quantitative Analysis Readings:
1. Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Credit and Operational Risk: The Value At Risk Approach (Oxford: Blackwell Publishing, 2004). Chapter 2 – Quantifying Volatility in VaR Models th John Hull, Options, Futures, and Other Derivatives, 6 ed. (New York: Prentice Hall, 2006). Chapter 19 – Estimating volatilities and correlations rd Philippe Jorion, Value at Risk: The New Benchmark for Managing Financial Risk, 3 ed. (New York: McGraw-Hill, 2007). Chapter 9 – Forecasting risk and correlations Chapter 12 – Monte Carlo Methods Lampros Kalyvas and Ioannis Akkizidis, Integrated Market, Credit and Operational Risk: A Complete Guide for Bankers and Risk Professionals (London: Risk Books, 2006). Chapter 4 – Extreme Value Theory and in Risk Management Murray R. Spiegel, John Schiller, and R. Alu Srinivasan, Probability and Statistics, Schaum’s Outlines, 2nd ed. (New York: McGraw-Hill, 2000). Chapter 1 – Basic Probability Chapter 2 – Random Variables and Probability Distributions Chapter 3 – Mathematical Expectation Chapter 4 – Special Probability Distributions Chapter 5 – Sampling Theory Chapter 6 – Estimation Theory Chapter 7 – Tests of Hypotheses and Significance Chapter 8 – Curve Fitting, Regression, and Correlation NOTE: Candidates should not memorize formulas of distributions but should understand when it is appropriate to use a particular type of distribution.

FRM一级_金融市场与产品&估值和风险模型习题及答案(★★)

Financial Markets and Products & Valuation and Risk Models1.In managing a portfolio of domestic corporate bonds, which of the following risksis least important?A.Interest rate risksB.Concentration risksC.Spread risksD.Foreign exchange risksAnswer: De a stated rate of 9% compounded periodically to answer the following threequestions. Select the choice that is the closest to the correct answer.(1) The semi-annual effective rate is:A.9.00%B.10.25%C.9.20%D.9.31%Answer: C(2) The quarterly effective rate is:A.9.00%B.9.31%C.9.20%D.9.40%Answer: B(3) The continuously compounded rate is:A.9.42%B.9.20%C.9.45%D.9.67%Answer: A3.The following Treasury zero rates are exhibited in the marketplace: 6 months = 1.25% 1 year = 2.35%1.5 years =2.58% 2 years = 2.95%Assuming continuous compounding, the price of a 2-year Treasury bond that paysa 6 percent semiannual coupon is closest to:A.105.20B.103.42C.108.66D.105.90Answer: D4. A two-year zero-coupon bond issued by corporate XYZ is currently rated A. Oneyear from now XYZ is expected to remain at A with 85% probability, upgraded to AA with 5% probability, and downgraded to BBB with 10% probability. The risk free rate is flat at 4%. The credit spreads are flat at 40, 80, and 150 basis points for AA, A, and BBB rated issuers, respectively. All rates are compounded annually.Estimate the expected value of the zero-coupon bond one year from now (for USD 100 face amount). Fixed Income Securities:D 92.59D 95.33D 95.37D 95.42Answer: C5.Assuming the long-term yield on a perpetual note is 5%, compute the dollar valueof a 1 bp. Increase in the yield (DV01) for a perpetual note paying a USD 1,000,000 annual coupon.A.-20,000B.-30,000C.-40,000D.-50,000Answer: C6.Given the following portfolio of bonds:What is the value of the portfolio’s DV01 (Dollar value of 1 basis point)?A.8,019B.8,294C.8,584D.8,813Answer: C7.Assuming other things constant, bonds of equal maturity will still have differentDV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value:A.Premium bonds, par bonds, zero coupon bondsB.Zero coupon bonds, Premium bonds, par bondsC.Premium bonds, zero coupon bonds, par bondsD.Zero coupon bonds, par bonds, Premium bondsAnswer: A8.Which of the following statements about standard fixed rate government bondswith no optionality is TRUE?I.Higher coupon implies shorter duration.II.Higher yield implies shorter duration.III.Longer maturity implies larger convexity.A.I and II onlyB.II and III onlyC.I and III onlyD.I, II, and IIIAnswer: D9.Which of the following is not a property of bond duration?A.For zero-coupon bonds, Macaulay duration of the bond equals its years tomaturity.B.Duration is usually inversely related to the coupon of a bond.C.Duration is usually higher for higher yields to maturity.D.Duration is higher as the number of years to maturity for a bond selling atpar or above increases.Answer: C10.Estimated price changes using only duration tend to:A.Overestimate the increase in price that occurs with a decrease in yield forlarge changes in yield.B.Underestimate the decrease in price that occurs with a increase in yield forlarge changes in yield.C.Overestimate the increase in price that occurs with a decrease in yield forsmall changes in yield.D.Underestimate the increase in price that occurs with a decrease in yield forlarge changes in yield.Answer: D11.A portfolio consists of two positions: One position is long $100M of a two yearbond priced at 101 with a duration of 1.7; the other position is short $50M of a five year bond priced at 99 with a duration of 4.1. What is the duration of the portfolio?A.0.68B.0.61C.-0.68D.-0.61Answer: D12.A zero-coupon bond with a maturity of 10 years has an annual effective yield of10%. What is the closest value for its modified duration?A.9B.10C.100D.Insufficient InformationAnswer: A13.A portfolio manager uses her valuation model to estimate the value of a bondportfolio at USD 125.482 million.The term structure is ing the same model,she estimates that the value of the portfolio would increase to USD 127.723 million if all the interest rates fell by 30bp and would decrease to USD 122.164 million if all the interest rates rose by ing these estimates,the effective duration of the bond is closest to :A. 8.38B. 16.76C. 7.38D. 14.77Answer: C14.A portfolio manager has a bond position worth USD 100 million. The position hasa modified duration of eight years and a convexity of 150 years. Assume that theterm structure is flat. By how much does the value of the position change if interest rates increase by 25 basis points?D -2,046,875D -2,187,500D -1,953,125D -1,906,250Answer: C15.An investment in a callable bond can be analytically decomposed into a:A.Long position in a non-callable bond and a short position in a put optionB.Short position in a non-callable bond and a long position in a call optionC.Long position in a non-callable bond and a long position in a call optionD.Long position in a non-callable and a short position in a call optionAnswer: D16.A European bank exchanges euros for USD, lends them at the U.S. risk-free rate,and simultaneously enters into a forward contract to sell the loan proceeds for euros at loan maturity. If the net effect of these transactions is to earn the risk-free euro rate, it is an example of:A.ArbitrageB.Spot-forward equalityC.Interest rate parityD.The law of one priceAnswer: C17.At the inception of a six-month forward contract on a stock index, the value of theindex was $1,150, the interest rate was 4.4%, and the continuous dividend was1.8%. Three months later, the value of the index is $1,075. Which of the followingstatement is True? The value of the:A.long position is $82.41.B.long position is $47.56.C.short position is $47.56.D.long position is -$82.41.Answer: D18.Assuming the 92-day and 274 day interest rate is 8% (act/360, money market yield)compute the 182-day forward rate starting in 92 days (act/360, money market yield).A.7.8%B.8.0%C.8.2%D.8.4%Answer: B19.The 1-year US dollar interest rate is 3% and the 1-year Canadian dollar interestrate is 4.5%. The current USD/CAD spot exchange rate is 1.5000. Calculate the 1-year forward rate.A. 1.5225B. 1.5218C. 1.5207D. 1.5199Answer: B20.The price of a three-year zero coupon government bond is 85.16. The price of asimilar four-year bond is 79.81. What is the one-year implied forward rate form year 3 to year 4?A. 5.4%B. 5.5%C. 5.8%D. 6.7%Answer: D21.The clearinghouse in a futures contract performs all but which of the followingroles? The clearing house:A.guarantees traders against default from another party.B.splits each trade and acts as a buyer to futures sellers and as a seller tofutures buyers.C.allows traders to reverse their position without having to contract the otherside of the position.D.guarantees the physical delivery of the underlying asset to the buyer offuture contracts.Answer: D22.A weakening of the basis is a consequence of the:A.Spot price increasing faster than the futures price over time.B.Spot price moving according to hyper-arithmetic Brownian motion.C.Futures price increasing faster than the spot price over time.D.Futures price moving according to hyper-arithmetic Brownian motion. Answer: C23.Which of the following statements best describes marking-to-market of a futurescontract? At the:A.End of the day, the maintenance margin is increased for traders who lost anddecreased for traders who gained.B.Conclusion of each trade, the gains or losses from all previous trades in thefutures contract are tallied.C.Maturity of the futures contract, the gains or losses are tallied to the trader’saccount.D.End of the day, the gains or losses are tallied to the trader’s account. Answer: D24.A trader buys one wheat contract (underlying = 5,000 bushels) at a price of $3.05per bushel. The initial margin on the contract is $4,500 and the maintenance margin is $3,750. At what price will the trader receive a maintenance margin call?A.$2.30B.$2.90C.$3.20D.$3.80Answer: B25.The S&P 500 index is trading at 1,025. The S&P 500 pays an expected dividendyield of 1.2% and the current risk-free rate is 2.75%. The value of a 3-month futures contract on the S&P 500 index is closest to:A.$1,028.98B.$1,108.59C.$984.86D.$1,025.00Answer: A26.The current spot price of gold is $325/oz and the price of 90-day gold futurescontract (nominal amount of 100 oz) is $315. If 90-day Treasury bills are trading at yields of 3.55% - 3.58% and storage and delivery costs are ignored, what is the potential arbitrage profit per contract?A.$1,266B.$1,286C.$1,334D.$1,344Answer: C27.Which of the following statements describing the role of a convenience yield inpricing commodity futures is true? The convenience yield:I.will cause contango in the futures pricing relationship.II.Effectively reduces the cost of carry in the futures pricing relationship.III.Eliminates the potential for arbitrage between the futures and spot price.IV.Accounts for additional costs for storing an asset in the futures pricing relationship.A.I onlyB.II onlyC.II, III, and IV onlyD.I and II onlyAnswer: B28.A firm is going to buy 10,000 barrels of West Texas Intermediate Crude Oil. Itplans to hedge the purchase using the Brent Crude Oil futures contract. The correlation between the spot and futures prices is 0.72. The volatility of the spot price is 0.35 per year. The volatility of the Brent Crude Oil futures price is 0.27 per year. What is the hedge ratio for the firm?A. 0.9333B. 0.5554C. 0.8198D. 1.2099Answer: A29.The hedge ratio is the ratio of derivatives to a spot position (or vice versa thatachieves an objective such as minimizing or eliminating risk. Suppose that the standard deviation of quarterly changes in the price of a commodity is 0.57, the standard deviation of quarterly changes in the price of a futures contract on the commodity is 0.85, and the covariance between the two changes is 0.3876. What is the optimal hedge ratio for a 3.-month contract?A.0.1893B.0.2135C.0.2381D.0.2599Answer: D30.Consider an equity portfolio with market value of USD 100M and a beta of 1.5with respect to the S&P 500 Index. The current S&P 500 index level is 1000 and each futures contract is for delivery of USD 250 times the index level. Which of the following strategy will reduce the beta of the equity portfolio to 0.8?A.Long 600 S&P 500 futures contractsB.Short 600 S&P 500 futures contractsC.Long 280 S&P 500 futures contractsD.Short 280 S&P 500 futures contractsAnswer: D31.Corporates normally use FRAs to:A.Lock-in the cost of borrowing in the futureB.Lock-in the cost of lending in the futureC.Hedge future currency exposuresD.Create future currency exposuresAnswer: A32.An investor has entered into a forward rate agreement(FRA) where she hascontracted to pay a fixed rate of 5 percent on $5,000,000 based on the quarterly rate in three months. If interest rates are compounded quarterly, and the floating rate is 2 percent in three months, what is the payoff at the end of the sixth month?The investor will:A.make a payment of $37,500.B.receive a payment of $37,500.C.make a payment of $75,000.D.receive a payment of $75,000.Answer: A33.Consider the following 6x9 FRA ，Assume the buyer of the FRA agrees to acontract rate of 6.35% on a notional amount of 10 million USD ，Calculate the settlement amount of the seller if the settlement rate is 6.85%. Assume a 30/360 day count basis.A.–12,500B.–12,290C.+12,500D.+12,290Answer: B34.XYZ Corporation plans to issue a 10-year bond 6 months from now. XYZ wouldlike to hedge the risk that interest rates might rise significantly over the next 6 months. In order to effect this, the treasurer is contemplating entering into a swap transaction. Under the swap, she should:A.Pay fixed and receive LIBORB.Pay LIBOR and receive fixedC.Either swap (a or b above) will workD.Neither swap (a or b above) will workAnswer: A35.Consider the following plain vanilla swap. Party A pays a fixed rate 8.29% perannum on a semiannual basis (180/360), and receives from Party B LIBOR+30 basis point. The current six-month LIBOR rate is 7.35% per annum. The notional principal is $25M. What is the net swap payment of Party AA.$20,000B.$40,000C.$80,000D.$110,000Answer: C36.A trader executes a $420 million 5-year pay fixed swap（duration 4.433） with oneclient and a $385 million 10year receive fixed swap（duration 7.581） with another client shortly afterwards. Assuming that the 5-year rate is 4.15 % and 10-year rate is 5.38 % and that all contracts are transacted at par, how can the trader hedge his net delta position?A.Buy 4,227 Eurodollar contractsB.Sell 4,227 Eurodollar contractsC.Buy 7,185 Eurodollar contractsD.Sell 7,185 Eurodollar contractsAnswer: B37.Assume an investor with a short position is about to deliver a bond and has fourbonds to choose from which are listed in the following table. The last settlement price is $95.75 (this is the quoted futures price). Determine which bond is the cheapest-to-deliver.Bond Quoted Bond Price Conversion Factor1 99 1.012 125 1.243 103 1.064 115 1.14A. Bond 1B. Bond 2C. Bond 3D. Bond 4Answer: C38.What is the lower pricing bound for a European call option with a strike price of80 and one year until expiration? The price of the underlying asset is 90, and the1-year interest rate is 5% per annum. Assume continuous compounding of interest.A.14.61B.13.90C.10.00D. 5.90Answer: B39.According to Put-Call parity, buying a call option on a stock is equivalent to:A.Writing a put, buying the stock, and selling short bonds (borrowing).B.Writing a put, selling the stock, and buying bonds (lending).C.Buying a put, selling the stock, and buying bonds (lending).D.Buying a put, buying the stock, and selling short bonds (borrowing). Answer: D40.Jeff is an arbitrage trader, and he wants to calculate the implied dividend yield ona stock while looking at the over-the-counter price of a 5-year put and call (bothEuropean-style) on that same stock. He has the following data:• Initial stock price = USD 85• Strike price = USD 90• Continuous risk-free rate = 5%• Underlying stock volatility = unknown• Call price = USD 10• Put price = USD 15What is the continuous implied dividend yield of that stock?A. 2.48%B. 4.69%C. 5.34%D.7.71%Answer: C41.The current price of a stock is ＄55. A put option with ＄50 strike price thatexpires in 3 months is available. If N(d1)=0.8133, N(d2)=0.7779, the underlying stock exhibits an annual standard deviation of 25 percent, and current risk free rates are 3.25 percent, the Black-Scholes value of the put is closet to:A.$0.75B.$1.25C.$1.50D.$5.00Answer: A42.Which of the following is the riskiest form of speculation using options contracts?A.Setting up a spread using call optionsB.Buying put optionsC.Writing naked call optionsD.Writing naked put optionsAnswer: C43.A long position in a put option can be synthetically produced by:A.Long position in the underlying and a short position in a call.B.Short position in the underlying and a long position in a call.C.Long position in the underlying and a long position in a put.D.Short position in the underlying and a short position in a put.Answer: B44.ABEX Corporation common stock is selling for ＄50.00 per share. Both anAmerican call option and a European call option are available on ABEX common, and each have identical strike prices and expiration dates. Which of the following statements concerning these two options is TRUE?A.Because the American and European options have identical terms and arewritten against the same common stock, they will have identical optionpremiums.B.The greater flexibility allowed in exercising the American option willnormally result in a higher market value relative to an otherwise identicalEuropean option.C.The American option will have a higher option premium, because theAmerican security markets are larger than the European markets.D.The European option will normally have a higher option premium because oftheir relative scarcity compared to American options.Answer: B45.Put option values increase as a result of increases in which of the followingfactors?I.V olatilityII.DividendsIII.Stock PriceIV.Time to expirationA.I, II, and IV onlyB.I, III, and IV onlyC.II and IV onlyD.I and III onlyAnswer: A46.Your firm has no prior derivatives trades with its counterparty Super Bank. Yourboss wants you to evaluate some trades she is considering. in particular, she wants to know which of the following trades will increase your firm’s credit risk exposure to Super Bank:I.Buying a put optionII.Selling a put optionIII.Buying a forward contractIV.Selling a forward contractA.I and II onlyB.II and IV onlyC.III and IV onlyD.I, III, and IV onlyAnswer: D47.Which of the following statements about a floor is true?A.floor is a put option and protects against a fall in interest ratesB.floor is a call option and protects against a fall in interest ratesC.floor is a put option and protects against a rise in interest ratesD.floor is a call option and protects against a rise in interest ratesAnswer: A48.You are given the following information about a call option:• Time to maturity = 2 years• Continuous risk-free rate = 4%• Continuous dividend yield = 1%• N(d1) = 0.64Calculate the delta of this option.A.-0.64B.0.36C.0.63D.0.64Answer: C49.Call and put option values are most sensitive to changes in the volatility of theunderlying when:A.both calls and puts are deep in-the-money.B.both puts and calls are deep out-of-the-money.C.calls are deep out-of-the-money and puts are deep in-the-money.D.both calls and puts are at-the-money.Answer: D50.What is the reason for undertaking a Vega hedging? To minimize the:A.Possibility of counterparty default risk.B.Potential loss as a result of a change in the volatility of the underlying sourceof risk.C.Adverse effect due to the government regulation.D.Potential loss as a result of a large movement in the underlying source ofrisk.Answer: B51.Suppose an existing short option position is delta-neutral, but has a gamma of−600. Also assume that there exists a traded option with a delta of 0.75 and a gamma of 1.50. In order to maintain the position gamma-neutral and delta-neutral, which of the following is the appropriate strategy to implement?A. Buy 400 options and sell 300 shares of the underlying asset.B. Buy 300 options and sell 400 shares of the underlying asset.C. Sell 400 options and buy 300 shares of the underlying asset.D. Sell 300 options and buy 400 shares of the underlying asset.Answer: A52.W hich of the following is not an assumption of the BS options pricing model?A. The price of the underlying moves in a continuous fashionB. The interest rate changes randomly over timeC. The instantaneous variance of the return of the underlying is constantD. Markets are perfect,i.e.short sales are allowed,there are on transaction costs or taxes,andmarkets operate continuously.Answer: B53.If risk is defined as a potential for unexpected loss, which factors contribute to therisk of a short call option position?A.Delta, vega, rhoB.Vega, rhoC.Delta, vega, gamma, rhoD.Delta, vega, gamma, theta, rhoAnswer: C54.If risk is defined as a potential for unexpected loss, which factors contribute to therisk of a long straddle position?A.Delta, vega, rhoB.Vega, rhoC.Delta, vega, gamma, rhoD.Delta, vega, gamma, theta, rhoAnswer: B55.Long a call on a stock and short a call on the same stock with a higher strike priceand same maturity is called:A. A bull spreadB. A bear spreadC. A calendar spreadD. A butterfly spreadAnswer: A56.Consider a bullish spread option strategy of buying one call option with a $30exercise price at a premium of $3 and writing a call option with a $40 exercise price at a premium of $1.50. If the price of the stock increases to $42 at expiration and the option is exercised on the expiration date, the net profit per share at expiration (ignoring transaction costs) will be:A.$8.50B.$9.00C.$9.50D.$12.50Answer: A57.An investor sells a June 2008 call of ABC Limited with a strike price of USD 45for USD 3 and buys a June 2008 call of ABC Limited with a strike price of USD40 for USD 5. What is the name of this strategy and the maximum profit and lossthe investor could incur?A.Bear Spread, Maximum Loss USD 2, Maximum Profit USD 3B.Bull Spread, Maximum Loss Unlimited, Maximum Profit USD 3C.Bear Spread, Maximum Loss USD 2, Maximum Profit UnlimitedD.Bull Spread, Maximum Loss USD 2, Maximum Profit USD 3Answer: D58.Which of the following actions would be most profitable when a trader expects asharp rise in interest rates?A.Sell a payer swaption.B.Buy a payer swaption.C.Sell a receiver swaption.D.Buy a receiver swaption.Answer: B59.Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades atUSD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer shouldA.sell 2,602 sharesB.sell 1,493 sharesC.purchase 1,493 sharesD.purchase 2,602 sharesAnswer: D60.A risk manager for bank XYZ, Mark is considering writing a 6 month American put optionon a non-dividend paying stock ABC. The current stock price is USD 50 and the strike price of the option is USD 52. In order to find the no-atbitrage price of the option, Mark uses a two-step binomial tree model. The stock price can go up or down by 20% each period. Mark’s view is that the stock price has an 80% probability of going up each period and a 20% probability of going down. The risk-free rate is 12% per annum with continuous compounding.What is the risk-neutral probability of the stock price going up in a single step?A. 34.5%B. 57.6%C. 65.5%D. 80.0%Answer: B61.Given the following 30 ordered simulated percentage returns of an asset, calculatethe VaR and expected shortfall (both expressed in terms of returns) at a 90% confidence level.-16, -14, -10, -7, -7, -5, -4, -4, -4, -3, -1, -1, 0, 0, 0, 1, 2, 2, 4, 6, 7, 8, 9, 11, 12, 12, 14, 18, 21, 23A.VaR (90%) = 10, Expected shortfall = 14B.VaR (90%) = 10, Expected shortfall = 15C.VaR (90%) = 14, Expected shortfall = 15D.VaR (90%) = 18, Expected shortfall = 22Answer: B62.What is the correct interpretation of a $3 million overnight VaR figure with 99%confidence level?A.The institution can be expected to lose at most $3 million in 1 out of next100 days.B.The institution can be expected to lose at least $3 million in 95 out of next100 days.C.The institution can be expected to lose at least $3million in 1 out of next 100days.D.The institution can be expected to lose at most $6 million in 2 out of next100 days.Answer: C63.In the presence of fat tails in the distribution of returns, VaR based on thedelta-normal method would (for a linear portfolio):A.underestimate the true VaRB.be the same as the true VaRC.overestimate the true VaRD.cannot be determined from the information providedAnswer: A64.Value at risk (VaR) measures should be supplemented by portfolio stress testingbecause:A.VaR does not indicate how large the losses will be beyond the specifiedconfidence level.B.stress testing provides a precise maximum loss level.C.VaR measures are correct only 95% of the time.D.stress testing scenarios incorporate reasonably probable events.Answer: A65.Assume we calculate a one-week VaR for a natural gas position by rescaling thedaily VaR using the square-root rule. Let us now assume that we determine the “true” gas price process to be mean reverting and recalculate the VaR. Which of the following statements is true?A.The recalculated VaR will be less than the original VaRB.The recalculated VaR will be equal to the original VaRC.The recalculated VaR will be greater than the original VaRD.There is no necessary relation between the recalculated VaR and the originalVaRAnswer: A66.If a portfolio with a VaR of 200 is combined with a portfolio with a VaR of 500,the VaR of the combination could be:I.Less than 200.II.Less than 500.III.More than 200.IV.More than 500.A.I and IIB.III and IVC.I, II and IVD.II, III and IVAnswer: D67.Consider the following portfolio consisting only of stock Alpha. Stock Alpha has amarket value of $635,000 and an annualized volatility of 28%. Calculate the VaR assuming normally distributed returns with a 99% confidence interval for a 10-day holding period and 252 business days in a year. The daily expected return is assumed to be zero.A.$56,225B.$69,420C.$82,525D.$96,375Answer: C68.Babson Bank is interested in knowing the risk exposure of their assets for variousprobabilities and time horizons. Babson has estimated that the annual variance (based on a 250 day year) of their $638 million asset portfolio is 151.29. If Z1%, Z5%, Z10%, are 2.32, 1.65, and 1.28, respectively, which of the following statements is false? The maximum dollar loss that can be expected to be exceeded:A.5% of the time in any six month period is $64.74 millionB.1% of the time on any given day is $11.51 millionC.10% of the time in any given quarter is $50.22 millionD.1% of the time in any given week is $25.25 millionAnswer: A69.The VaR on a portfolio using a 1-day horizon is USD 100 million. The VaR usinga 10-day horizon is:D 316 million if returns are not independently and identically distributedD 316 million if returns are independently and identically distributedD 100 million since VaR does not depend on any day horizonD 31.6 million irrespective of any other factorsAnswer: B70.If stock returns are independently, identically, normally distribution and the annualvolatility is 30%, then the daily VaR at the 99% confidence level of a stock market portfolio is approximately。

2021frm一级考试答案

2021frm一级考试答案1. 以下哪项是金融风险管理中市场风险的主要类型？A. 利率风险B. 信用风险C. 操作风险D. 流动性风险答案：A2. 在计算VaR（Value at Risk）时，通常使用的历史模拟法和蒙特卡洛模拟法的主要区别是什么？A. 历史模拟法使用过去的数据，而蒙特卡洛模拟法使用随机生成的数据B. 蒙特卡洛模拟法使用过去的数据，而历史模拟法使用随机生成的数据C. 两者都使用随机生成的数据D. 两者都使用过去的数据答案：A3. 以下哪项不是信用风险管理中的关键步骤？A. 信用评级B. 信用限额设定C. 市场风险评估D. 违约概率估计答案：C4. 以下哪项是操作风险的量化方法？A. 损失分布法B. 极值理论C. 敏感性分析D. 压力测试答案：A5. 金融衍生品的主要功能是什么？A. 提供流动性B. 风险转移C. 增加市场波动性D. 投机答案：B6. 以下哪项是利率衍生品？A. 股票期权B. 利率互换C. 信用违约互换D. 外汇远期合约答案：B7. 在计算债券的久期时，以下哪项是正确的？A. 久期是债券现金流的时间加权平均值B. 久期是债券现金流的金额加权平均值C. 久期是债券现金流的现值加权平均值D. 久期是债券现金流的利率加权平均值答案：C8. 以下哪项是市场风险管理中的关键因素？A. 风险识别B. 风险评估C. 风险监控D. 所有以上选项答案：D9. 以下哪项是流动性风险管理的主要策略？A. 资产负债匹配B. 信用风险管理C. 操作风险控制D. 市场风险评估答案：A10. 以下哪项是信用风险度量中的关键指标？A. 违约概率B. 预期损失C. 非预期损失D. 所有以上选项答案：D。

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FRM考试等同于获得硕士学位:经过独立的鉴定和评估,FRM课程被认可为相当于硕土学位课程。

由此可见FRM证书是一个全球性的风险管理认证,并且已经广受认可。

接下来我们了解下FRM考试内容吧。

FRM考试一共分为两级。

一级与二级的考试内容分別由以下十大部分：1、风险管理基础2、数量分析3、金融市场与金融产品4、估值与风险模型5、市场风险测量与管理6、市场风险测量与管理7、操作及综合风险管理8、流动风险9、投资风险管理10、金融市场问题。

FRM一级四门科目,FRM二级六门科目,考生需要考完FRM一级和二级并且在考完FRM二级的五年内积累两年的工作经验才能申请FRM证书！。