文档介绍：财经网络教育领导品牌
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FRM 一级练****题（1）
1、An investment manager is given the task of beating a benchmark. Hence the risk should be measured in
terms of
A. Loss relative to the initial investment
B. Loss relative to the expected portfolio value
C. Loss relative to the benchmark
D. Loss attributed to the benchmark
2、Based on the risk assessment of the CRO, Bank United's CEO decided to make a large investment in a levered
portfolio of CDOs. The CRO had estimated that the portfolio had a 1% chance of losing $1 billion or more over
one year, a loss that would make the bank insolvent. At the end of the first year the portfolio has lost $2 billion
and the bank was closed by regulator. Which of the following statement is correct?
A. The outcome demonstrates a risk management failure because the bank did not eliminate the possibility of
financial distress.
B. The outcome demonstrates a risk management failure because the fact that an extremely unlikely outcome
occurred means that the probability of the outcome was poorly estimated.
C. The outcome demonstrates a risk management failure because the CRO failed to go to regulators to stop the
shutdown.
D. Based on the information provided, one cannot determine whether it was a risk management failure.