2025年CFA《投資組合管理》風(fēng)險(xiǎn)控制測(cè)試卷考試時(shí)間：______分鐘總分：______分姓名：______試卷內(nèi)容1.Accordingtotheinvestmentpolicystatement(IPS)ofaninstitutionalinvestor,theportfoliomanagerisauthorizedtoinvestupto15%oftheportfolioinemergingmarketequity.Thisauthorizationservesprimarilyasaformof:a)Riskisolation.b)Liquiditymanagement.c)Diversification.d)Returnenhancement.2.Whichofthefollowingriskmeasurementtechniquesismostappropriateforquantifyingthepotentiallossinvalueofaportfoliooveraspecifictimeperiodundernormalmarketconditions,withagivenconfidencelevel?a)Sensitivityanalysis.b)ValueatRisk(VaR).c)Scenarioanalysis.d)Betacoefficient.3.Aportfoliomanagerusesoptionstoprotectastockportfoliofromapotentialdeclineintheoverallmarket.Thisstrategyisbestdescribedas:a)Markettiming.b)Assetallocation.c)Diversification.d)Hedging.4.Whichofthefollowingstatementsbestdistinguishesbetweensystematicriskandnon-systematicrisk?a)Systematicriskisdiversifiable,whilenon-systematicriskisnot.b)Systematicriskisspecifictoanindividualcompany,whilenon-systematicriskaffectstheentiremarket.c)Systematicriskcanbemitigatedthroughassetallocation,whilenon-systematicriskcannot.d)Systematicriskismeasuredbybeta,whilenon-systematicriskismeasuredbystandarddeviation.5.Ariskmanagerisevaluatingtheperformanceoftwodifferentinvestmentstrategies.StrategyAhasahigherreturnbutalsoahigherstandarddeviationofreturnscomparedtoStrategyB.Iftherisk-freerateisconstant,whichofthefollowingratioswouldStrategyAlikelyhavecomparedtoStrategyB?a)LowerSharperatio.b)HigherSharperatio.c)SameSharperatio.d)Insufficientinformationtodetermine.6.Aportfolioiscomposedof60%stocksand40%bonds.Thestockshaveanexpectedreturnof12%andastandarddeviationof18%.Thebondshaveanexpectedreturnof5%andastandarddeviationof8%.Thecorrelationcoefficientbetweenthereturnsofstocksandbondsis-0.4.Whatistheapproximatestandarddeviationoftheportfolio?a)8.1%b)9.2%c)10.3%d)11.4%7.Afundmanagerisperformingastresstestonaportfoliobysimulatingmarketconditionsduringthe2008financialcrisis.Thistypeofanalysisisprimarilyusedfor:a)Estimatingexpectedfuturereturns.b)Measuringtheriskpremiumoftheportfolio.c)Identifyingpotentialvulnerabilitiesunderextrememarketconditions.d)Calculatingtheportfolio'sbetacoefficient.8.WhichofthefollowingisgenerallyconsideredalimitationoftheValueatRisk(VaR)measure?a)Itdoesnotaccountforthecorrelationbetweenassetsintheportfolio.b)Itassumesthatreturnsarenormallydistributed.c)Itprovidesameasureofexpectedlossonlyundernormalmarketconditions.d)Itisdifficulttocalculateforportfolioswithcomplexderivatives.9.Aninvestmentpolicystatement(IPS)includesaprovisionthatlimitsthemaximumconcentrationinanysingleindustryto10%oftheportfolio'sassets.Thisconstraintprimarilyservestomanagewhichtypeofrisk?a)Interestraterisk.b)Creditrisk.c)Liquidityrisk.d)Unsystematicrisk.10.Aportfoliomanagerusesaputoptiononastockthattheyownaspartoftheirinvestmentstrategy.Thisisanexampleofusingoptionsfor:a)Speculation.b)Diversification.c)Hedging.d)Arbitrage.11.Whichofthefollowingstatementsregardingenterpriseriskmanagement(ERM)ismostaccurate?a)ERMfocusessolelyonoperationalriskswithintheorganization.b)ERMprovidesaframeworkformanagingalltypesofrisksacrosstheentireorganization.c)ERMisprimarilyconcernedwithfinancialrisksonly.d)ERMisonlyapplicabletolargemultinationalcorporations.12.Aportfoliomanagerisconsideringaddinganewassettotheportfolio.Theassethasahigherexpectedreturnthantheportfolio'scurrentassets,butitalsoincreasestheportfolio'soverallrisk.Accordingtotheprinciplesofriskcontrol,whichfactorshouldthemanagerprioritizewhendecidingwhethertoincludetheasset?a)Thepotentialforhigherreturnsalone.b)Theincreaseinportfolioriskalone.c)Thecorrelationoftheasset'sreturnswiththeexistingportfolio.d)Themanager'spersonalpreferenceforhigherrisk.13.Afirm'sriskmanagementpolicyrequiresthatanyinvestmentwithacreditratingbelowinvestment-grademustbeapprovedbytheboardofdirectors.Thismeasureisprimarilyaimedatmitigating:a)Marketrisk.b)Liquidityrisk.c)Interestraterisk.d)Creditrisk.14.Sensitivityanalysisisusedbyportfoliomanagersto:a)Estimatethepotentialimpactofaspecificriskfactorontheportfolio'svalue.b)CalculatetheValueatRisk(VaR)oftheportfolio.c)Determinetheoptimalassetallocationfortheportfolio.d)Identifytheunsystematicriskwithintheportfolio.15.WhichofthefollowingisgenerallyconsideredamoreconservativeapproachtoriskmanagementcomparedtousingVaRalone?a)UsingConditionalValueatRisk(CVaR)inconjunctionwithVaR.b)SettinglowerrisklimitsthanwhatVaRwouldsuggest.c)IgnoringVaRandfocusingsolelyonstandarddeviation.d)IncreasingtheconfidencelevelusedinVaRcalculations.16.Aportfoliomanagerisrequiredtoreporttheportfolio'sriskexposuretoseniormanagement.Whichofthefollowingmetricswouldlikelybemostrelevantforthispurpose?a)Theportfolio'salpha.b)Theportfolio'sstandarddeviationofreturns.c)TheValueatRisk(VaR)ata99%confidencelevel.d)TheSharperatiooftheportfolio.17.Theconceptof"skininthegame"ismostcloselyassociatedwith:a)Diversificationstrategies.b)Riskmanagementpolicies.c)Investmentperformanceattribution.d)和行為偏誤。18.Whichofthefollowingisakeycomponentofarobustinvestmentriskcontrolframework?a)Allowingportfoliomanagerscompleteautonomyinmakinginvestmentdecisions.b)Conductingregularstresstestsandscenarioanalyses.c)Focusingriskmanagementeffortssolelyoncompliancewithregulations.d)Minimizingtheuseofderivativeinstruments.19.Aportfolioisheavilyweightedintechnologystocks,whichhavebeenperformingwellrecently.Ariskcontrolprocedurethatmightbeimplementedinthisscenariois:a)Increasingtheallocationtotechnologystockstocapitalizeonthetrend.b)Addingasignificantpositioninanunrelatedassetclasstoimprovediversification.c)Reducingtheportfolio'sexposuretotechnologystocksbasedonconcentrationlimits.d)Ignoringtheconcentrationriskaslongastheoverallportfolioreturnisstrong.20.Whichofthefollowingstatementsbestdescribestheroleofariskbudgetininvestmentportfoliomanagement?a)Itisthetotalamountofcapitalallocatedtotheportfolio.b)Itisthemaximumlosstheportfoliomanageriswillingtoendure.c)Itisawaytoallocateriskacrossdifferentassetclassesorinvestments.d)Itisameasureoftheportfolio'soverallvolatility.21.Aportfoliomanagerusestheconceptofbetatoassessthesystematicriskofanindividualstockrelativetothemarket.Whichofthefollowingstatementsaboutbetaismostaccurate?a)Astockwithabetaof1.0hasnosystematicrisk.b)Astockwithabetagreaterthan1.0isconsideredlessriskythanthemarket.c)Betameasuresthestock'ssensitivitytomarketmovements.d)Astockwithabetaof0.5isexpectedtooutperformthemarketby50%whenthemarketrises.22.Inthecontextofinvestmentriskcontrol,"settlementrisk"referstotheriskthat:a)Aportfolio'sreturnswillnotmeetthebenchmark.b)Acounterpartywilldefaultonatrade,preventingthesettlementofassets.c)Marketvolatilitywillincreaseunexpectedly.d)Theportfoliomanagermakesaninvestmentdecisionthatisnotinlinewiththeinvestmentpolicystatement.23.Whichofthefollowingriskmeasurementtechniquesprovidesameasureoftheexpectedlossinthetailofthelossdistribution,goingbeyondtheVaRvalue?a)Beta.b)Sensitivityanalysis.c)ConditionalValueatRisk(CVaR).d)Sharperatio.24.Aninstitutionalinvestor'sinvestmentpolicystatement(IPS)includesarequirementfordiversificationacrossgeographicregions.Thisrequirementisprimarilyintendedto:a)Reduceportfolioturnover.b)Enhancereturnsthroughexposuretodifferenteconomiccycles.c)Mitigateunsystematicrisk.d)Aligntheportfoliowiththemanager'spersonalpreferences.25.Aportfoliomanagerisevaluatingtheperformanceoftwoportfolios.Bothportfolioshavethesamereturn,butPortfolioAhassignificantlylowervolatility.Accordingtorisk-adjustedperformancemeasures,PortfolioAwouldlikelybeconsidered:a)Lessefficient.b)Moreefficient.c)Riskier.d)ThesamerisklevelasPortfolioB.26.Afirmemploysariskmanagerwhoisresponsibleformonitoringtheportfolio'sexposuretovariousriskfactorsandensuringthatitremainswithinestablishedlimits.Thisroleprimarilyinvolves:a)Constructingtheportfolio'sassetallocationplan.b)Analyzingtheportfolio'shistoricalperformance.c)Identifyingandmanaginginvestmentrisks.d)Selectingtheinvestmentoptionsfortheportfolio.27.Whichofthefollowingstatementsabouttheuseofderivativesinriskmanagementismostaccurate?a)Derivativesareprimarilyusedforspeculativepurposesandshouldbeavoidedinrisk-controlledportfolios.b)Derivativescanbeusedtohedgespecificrisks,buttheyintroduceadditionalcomplexityandpotentialrisks.c)Derivativesareonlyusefulforverylargeinstitutionalinvestorsandnotforindividualinvestors.d)Theuseofderivativesinriskmanagementisprohibitedbyregulatoryauthorities.28.Aportfoliomanagerisconcernedaboutthepotentialimpactofrisinginterestratesontheportfolio'svalue.Whichofthefollowingactionswouldlikelyhelptomitigatethisrisk?a)Increasingtheallocationtobondsintheportfolio.b)Increasingtheallocationtostocksintheportfolio.c)Usinginterestrateswapstoconvertfloating-ratebondpaymentstofixed-ratepayments.d)Reducingtheportfolio'sduration.29.Theconceptof"prudentman"rule,oftenassociatedwithfiduciaryresponsibilities,emphasizes:a)Takingonasmuchriskaspossibletoachievehighreturns.b)Makinginvestmentsthatprovidethehighestpossiblereturnwithminimalrisk.c)Investinginassetsthatareonlyslightlyriskierthantherisk-freerate.d)Prioritizingthemanager'spersonalfinancialinterestsoverthoseoftheclient.30.Whichofthefollowingisakeyconsiderationwhensettingrisklimitsforaninvestmentportfolio?a)Therisklimitsshouldbesetashighaspossibletoencourageaggressiveinvestment.b)Therisklimitsshouldbebasedsolelyontheportfoliomanager'spreferences.c)Therisklimitsshouldbealignedwiththeinvestor'srisktoleranceandtheportfolio'sobjectives.d)Therisklimitshavenoimpactontheportfolio'sperformance.試卷答案1.c解析思路：投資組合中允許投資于新興市場(chǎng)股票的比例限制，目的是通過(guò)在不同市場(chǎng)和資產(chǎn)類(lèi)別中進(jìn)行投資，分散風(fēng)險(xiǎn)，降低單一市場(chǎng)或資產(chǎn)類(lèi)別波動(dòng)帶來(lái)的影響。2.b解析思路：ValueatRisk(VaR)是一種常用的風(fēng)險(xiǎn)度量技術(shù)，用于衡量在特定時(shí)間范圍內(nèi)，在給定的置信水平下，投資組合可能遭受的最大損失。這與題干描述的“在正常市場(chǎng)條件下，特定時(shí)間期內(nèi)潛在損失的價(jià)值度量”相符。3.d解析思路：使用期權(quán)（如看跌期權(quán)）來(lái)保護(hù)持有的股票組合免受市場(chǎng)整體下跌的影響，屬于對(duì)沖策略。對(duì)沖的目的是降低或消除潛在的市場(chǎng)風(fēng)險(xiǎn)。4.a解析思路：系統(tǒng)性風(fēng)險(xiǎn)是影響整個(gè)市場(chǎng)的風(fēng)險(xiǎn)，無(wú)法通過(guò)資產(chǎn)配置進(jìn)行分散，因此是不可分散的；非系統(tǒng)性風(fēng)險(xiǎn)是特定于公司或行業(yè)的風(fēng)險(xiǎn)，可以通過(guò)資產(chǎn)配置分散。這與選項(xiàng)a的描述一致。5.b解析思路：Sharpe比率是衡量風(fēng)險(xiǎn)調(diào)整后收益率的指標(biāo)，計(jì)算公式為（策略收益-無(wú)風(fēng)險(xiǎn)收益）/策略收益的標(biāo)準(zhǔn)差。在無(wú)風(fēng)險(xiǎn)收益不變的情況下，預(yù)期收益更高（策略A）但標(biāo)準(zhǔn)差也更大，意味著其Sharpe比率通常會(huì)高于標(biāo)準(zhǔn)差更小但預(yù)期收益也較低的策略B。6.a解析思路：根據(jù)投資組合標(biāo)準(zhǔn)差的公式：σp=√[(w?2σ?2+w?2σ?2)+2w?w?σ?σ?ρ??]，其中w?=0.6,w?=0.4,σ?=18%,σ?=8%,ρ??=-0.4。代入計(jì)算得到σp≈√(0.36*324+0.16*64+2*0.6*0.4*(-72))≈√(116.64+10.24-43.2)≈√83.68≈9.15%。最接近的選項(xiàng)是a)8.1%。7.c解析思路：壓力測(cè)試是通過(guò)模擬極端但可能的市場(chǎng)情景，評(píng)估投資組合在這些情景下的表現(xiàn)，目的是識(shí)別潛在的脆弱性和風(fēng)險(xiǎn)點(diǎn)，確保投資組合能夠承受不利的市場(chǎng)沖擊。8.b解析思路：VaR的一個(gè)主要局限性在于它假設(shè)回報(bào)率服從正態(tài)分布。然而，實(shí)際金融市場(chǎng)的回報(bào)率分布往往存在“肥尾”現(xiàn)象（即極端事件發(fā)生的概率高于正態(tài)分布預(yù)測(cè)），VaR無(wú)法有效捕捉這種尾部風(fēng)險(xiǎn)。9.d解析思路：限制單一行業(yè)投資比例的約束，目的是為了避免投資組合過(guò)度集中于某個(gè)特定行業(yè)，從而降低該行業(yè)特有的非系統(tǒng)性風(fēng)險(xiǎn)對(duì)整個(gè)投資組合的影響。10.c解析思路：在持有的股票上使用看跌期權(quán)，相當(dāng)于購(gòu)買(mǎi)了未來(lái)以約定價(jià)格賣(mài)出股票的權(quán)利，可以鎖定最低賣(mài)出價(jià)格，從而在股價(jià)下跌時(shí)保護(hù)投資收益，屬于對(duì)沖風(fēng)險(xiǎn)的行為。11.b解析思路：企業(yè)風(fēng)險(xiǎn)管理（ERM）是一個(gè)組織范圍內(nèi)的框架，用于識(shí)別、評(píng)估和管理各種類(lèi)型的風(fēng)險(xiǎn)（包括財(cái)務(wù)風(fēng)險(xiǎn)、運(yùn)營(yíng)風(fēng)險(xiǎn)、戰(zhàn)略風(fēng)險(xiǎn)等），以實(shí)現(xiàn)組織目標(biāo)。這與選項(xiàng)b的描述最一致。12.c解析思路：根據(jù)風(fēng)險(xiǎn)控制的原則，在評(píng)估是否添加新資產(chǎn)時(shí)，不僅要考慮其預(yù)期回報(bào)，還要考慮其風(fēng)險(xiǎn)以及與現(xiàn)有資產(chǎn)的關(guān)聯(lián)性（相關(guān)性）。將風(fēng)險(xiǎn)預(yù)算或相關(guān)性納入考量有助于維持或改善組合的整體風(fēng)險(xiǎn)特征，而不僅僅是看回報(bào)或單一風(fēng)險(xiǎn)指標(biāo)。13.d解析思路：限制投資于信用評(píng)級(jí)低于投資等級(jí)（即高收益或垃圾債券）的資產(chǎn)，主要是為了降低投資組合面臨違約風(fēng)險(xiǎn)的可能性，從而控制信用風(fēng)險(xiǎn)。14.a解析思路：敏感性分析用于衡量投資組合價(jià)值對(duì)某個(gè)特定風(fēng)險(xiǎn)因素（如利率、匯率、股價(jià)）變化的敏感程度或影響大小。15.a解析思路：ConditionalValueatRisk(CVaR)衡量的是在VaR損失發(fā)生的情況下，額外的平均預(yù)期損失。因此，在VaR的基礎(chǔ)上加入CVaR提供了一種更全面的風(fēng)險(xiǎn)度量，特別是對(duì)尾部風(fēng)險(xiǎn)的關(guān)注，使其通常被認(rèn)為比單獨(dú)使用VaR更為保守。16.c解析思路：ValueatRisk(VaR)提供了一個(gè)簡(jiǎn)潔的、易于理解的指標(biāo)，表明在特定置信水平下（如99%），投資組合可能損失的最大金額。這對(duì)于向管理層