FRM 一级考前必做100 真题 1、 An operational risk manager uses the Poisson distribution to estimate the frequency of losses in excess of USD 2 million during the next year. It is observed that the frequency of losses greater than USD 2 million is three per year on average over the last 10 years. Assuming that this observation is indicative of future occurrences and that the probability of one event occurring is independent of all other events, what is the probability of five losses in excess of USD 2 million occurring during the next two years? A. 10.08% B. 14.04% C. 14.62% D. 16.06% Answ er: D 2. A growing regional bank has added a risk committee to its board. One of the first recommendations of the risk committee is that the bank should develop a risk appetite statement. What best represents a primary function of a risk appetite statement? A. To quantify the level of variability for each risk metric that a firm is willing to accept. B. To state specific new business opportunities a firm is willing to pursue. C. To assign risk management responsibilities to specific internal staff members. D. To state a broad level of acceptable risk to guide the allocation of the firm’s resources. Answ er: D 3. A bank uses a 4-grade scale for its internal credit model. The 1-year rating transition probabilities for this model are given by: Rating Form Rating To A B C D A 90% 10% 0% 0% B 10% 81% 8% 1% C 0% 5% 80% 15% D 0% 0% 0% 100% If a newly issued bond is rated “A” by this model, what is the probability that it will be rated “B” or lower two years from now? A. 9% B. 10% C. 18% D. 19% Answ er: C 4. A risk analyst observes that an emerging market stock index has hit a...
