05frm二級易錯題精編-協(xié)議教育

1、1.協(xié)議1.1.RWA1.1.1.問題描述：如題1.1.2.題目Ame a bdetermines credit risk-weighted assets (credit RWA) of $10 million, a marketrisk charge (MRC) of $300,000 and an operational risk charge (ORC) of $500,000. To meetBasel III requirements, the bhas determined it holds $2.0 million in eligible total (Tier 1plus Ti

2、er 2) regulatory capital. What is the bs total capital ratio?A.5.0 %B.6.25%C.8.0%D.10.0%Correct Answer：D1.2.Diversification1.2.1.問題描述：如題1.2.2.題目Which of the following sements would be considered a drawback of Basel II/III?A.Procyclicality is a concern, and no countercyclical buffer is provided.B.It

3、does not consider diversification effects among risk classes.C.Level 1 diversification benefits are not acknowledged.D.There are no detailed disclosure requirements for risk management policies concerningcredit risk.Correct Answer：B1-8解答：Capital 與Risk weighted assets 的比例是 1：12.5RWA = $10,000,000 + $

4、300,000 12 5 + $500,000 12.5 = $20,000,000 RWA;$2 MM / $20 MM = 10.0%1.3.Captial Requirement1.3.1.問題描述：如題1.3.2.題目Thrift Bcarries risk-weighted assets (RWA) of $40.0 billion. In regard to its eligibleregulatory capital, the bholds:$2.8 billion of Common Equity Tier 1 Capital (“Core Tier 1”)$0.2 billi

5、on of Additional Tier 1 Capital$1.4 billion of Tier 2 Capital (“Gone concern”)Does Thrift Bmeet the Basel III capital requirements?A.No, because Tier 1 Capital is noleast 8.5%B.No, because Total Capital is noleast 10.5%C.Yes, because Tier 1 iseast 4.0%D.Yes, because Tier 2 iseast 2.5%Correct Answer：

6、A2-8解答：No, because Tier 1 Capital is noleast 8.5%Basel III requires Core Tier 1 (Common Equity) of 7.0%, Tier 1 of 8.5%, and Tobal Capital of解答：Basel II/III 僅考慮了 Level 1 diversification benefits.各等級 diversification benefits 如下：Level 1Within specific class of risk.（考慮風險）Within a specific line of busi

7、ness.（考慮業(yè)務條線）Level 2aWithin specific class of risk. （考慮風險）Across specific lines of business.（不同業(yè)務條線考慮） Level 2b:Across specific classes of risk.（不同風險之間） Within a definiegal entity.（一個法律實體） Level 3:Across definite classes of risk.（不同風險之間） Across legal entities.（不同法律實體之間）1.4.Market Risk Capital Requir

8、ements1.4.1.問題描述：如題1.4.2.題目As a result of the credit crisis, the Basel Committee revised the market risk framework androduced a stressed VaR requirement. A buses theernal ms approach for marketrisk and has generated the following risk measures (in USD million) for the current tradingbookitions:The s

9、upervisory authority has set the multiplication factors for both the VaR and Stressed VaRvalues to three. What is the capital requirement feneral market risk?A.USD 2,316 millionB.USD 4,794 millionC.USD 6,321 millionD.USD 6,480 millionCorrect Answer：B3-8解答：LevelLatest Available 10-day VaRLatest Avail

10、able 10-day Stressed VaRAverage 10-day VaR of Previous 60 DaysAverage 10- day Stressed VaR of Previous 60Days95%21058819857499%4071275390120899.9%59310.5%:Core Tier 1 (Common Equity) ratio ofeast 7.0% = 4.5% + 2.5% Conservation Buffer. Thrift Bholds exactly sufficient Common Equity: 2.8/40.0 =7.0%.T

11、ier 1 (Common Equity + Additional Tier 1) ratio ofeast 8.5% = 6.0% Tier 1 + 2.5% Conservation buffer.Thrift Bonly holds Tier 1:3.0/40.0 = 7.5%Total Capital ratio of 10.5% = 8.0% total capital + 2.5% Conversation Buffer. Thrift BholdsTotal Capital:4.4/40.0 = 11.0%1.5.Capital Conservation Buffer1.5.1.

12、問題描述：如題1.5.2.題目The capital conservation buffer:A.Will provide an extra 2.5% Common Equity Tier 1 capital bufferimes of stress.B.Will be used exclusively to protect bs from the losses garnered from OTCderivatives trading.C.Is required only for bs with inadequaiquidity coverage and net stable fundings

13、ource ratios.D.Is coveredhe increased Common Equity Tier 1 capital to risk-weighted assetsratiot will increase to 4.5% from the current 2% over the next few years.Correct Answer：A1.6.Countercyclical Buffer1.6.1.問題描述：如題1.6.2.題目Which is true about the countercyclical buffer?A.The countercyclical buffe

14、r is primarily a micro-prudential measureB.The countercyclical buffer can only be zero (0%) during the phase-in period,aseventually it achieves a constant of 2.5% regardless of environment4-8解答：資本留存超額資本固定是 2.5%，該超額資本在經(jīng)濟的時候不用交，可以使用。平時不交或少交會根據(jù)少交的比例限制股利。市場風險資本金度量，度量要求：除 IRC 部分，是 1 年 99.9% 置信水平外，其余都是 10

15、day 99%置信水平。對于地，僅考慮 VaR 和 Stress VaR 的計算公式， Max(407,3390)+Max（1275,31208）=4794C.Its primary goal is to avoid destabilizing lossebsequent toriod of exscredit growthD.A bwill be required to maahis buffer it the bfalls under a jurisdictionidentified and designated by the Basel CommitteeCorrect Answer：C

16、1.7.Leverage Ratio1.7.1.問題描述：如題1.7.2.題目The CFO at a bis preparing a report to thof directors on its compliance with Baselrequirements. The bs average capital and total exure for the most recent quarter is asfollows:Using the Basel III framework, which of the following is the best estimate of the bs

17、currentleverage ratio?5-8REGULATORY CAPITALUSD MILLIONTotal Common Equity TIer 1 Capital108Additional TIer 1 Capital28Prior to regulatory adjustments34Regulatory adjustments6Total TIer 1 Capital136TIer 2 Capital36Prior to regulatory adjustments45Regulatory adjustments9Total Capital172Total Average E

18、xure3678解答：反周期超額資本，0%2.5%，具體由 層規(guī)定，不滿足要求會被限制股利 、股票回購和股權激勵。A 錯，是一個宏觀的度量；B 錯，并不是 constant；D 錯，由 當局規(guī)定。A.2.94%B.3.70%C.4.68%D.5.08%Correct Answer: B1.8.Basel III1.8.1.問題描述：如題1.8.2.題目Each of the following was both (i) a deficiency or omisof Basel II but is, at the same time,(ii) explicitly addressed by ne

19、w requirement in Basel III except forA.Basel II did not formally include liquidity risk, but Basel III explicitly covers liquidityriskB.Basel II could arguably create a procyclical effect, but Basel III explicitly adds a buffer toaddress thisC.Basel II did not require external credit ratings, but Ba

20、sel III seeks to increase the relianceon external ratingsD.Basel II allowed many bs to show strong risk-based regulatory capital ratios despitehigh on- and oalanheet leverage; Basel III adds a simple leverage ratio to aabackstop to the risk-based capital ratioCorrect Answer: C1.9.FRTB6-8解答：Basel II

21、在度量信用風險資本金的時候非常依賴外部，Basel III 自從經(jīng)濟過后，降低對外部的依賴。其他都是正確的。解答：FRM 里面，leverage ratio= Tier 1 Capital/Total Exure = 136/3,678 = 3.70%1.9.1.問題描述：如題1.9.2.題目Which of the following sements regarding the differenbetn Basel I, Basel II.5,and the Fundamental Review of the Trading Book (FRTB) for market risk capit

22、alcalculations is incorrect?A.Both Basel I and Basel II.5 require calculation of VaR wi99%erval.B.FRTB requires the calculation of expected shortfall wi97.5%erval.C.FRTB requires adding a stressed VaR measure to complement the expected shortfallcalculation.D.The 10-day time horizon for market risk c

23、apital proed under Basel I incorporatesa recent period of time, which typically ranges from one to four years.Correct Answer：C1.10. LCR & NSFR1.10.1. 問題描述：如題1.10.2. 題目According to the Basel Committee, “During the early liquidity phase of the finanlcrisis, many bs-despite adequate capital levelsstill

24、 experienced difficulties becausethey did not manage their liquidity in a prudent manner. The crisis again drove home theimportance of liquidity to the proper functioning of finanl markets and the bingsector. Prior to the crisis, asset markets were buoyant and funding was readily available atlow cost. The rareversalarket conditions illustrated how quickly liquidity canevaporate andt illiquidity can last for an extended period of timethe Committ