2025年FRM二級真題匯編考試時間：______分鐘總分：______分姓名：______第一部分金融市場與產(chǎn)品1.Considerastockportfolioconsistingofthreeassets:AssetAwithabetaof1.2,AssetBwithabetaof0.8,andAssetCwithabetaof1.5.Theportfolioweightsare40%inAssetA,35%inAssetB,and25%inAssetC.Iftherisk-freerateis2%andtheexpectedmarketreturnis8%,calculatetheexpectedreturnoftheportfoliousingtheCapitalAssetPricingModel(CAPM).Pleaseshowyourcalculationsclearly.2.Acorporatebondhasafacevalueof$1,000,acouponrateof5%paidsemi-annually,and7yearstomaturity.Thebondiscurrentlytradingatapriceof$980.Whatistheyieldtomaturity(YTM)ofthebond?Youmayuseapproximationmethodsifnecessary,butjustifyyourapproach.3.Describethekeydifferencesbetweenaforwardcontractandafuturescontract.Inyouranswer,coveraspectssuchasstandardization,clearingmechanism,marking-to-market,andpotentialfordefault.4.AninvestorbuysacalloptiononStockXwithastrikepriceof$50andapremiumof$3.Thestockcurrentlytradesat$48.TheinvestoralsobuysaputoptiononStockXwithastrikepriceof$45andapremiumof$2.Calculatethemaximumlossandthebreak-evenpointforthisstraddlestrategy.Explainthepotentialprofitandtheunderlyingstrategy.第二部分風(fēng)險度量與管理5.Abankcalculatesa1-day99%confidencelevelValueatRisk(VaR)foritstradingportfoliotobe$5million.Theportfoliomanagerbelievesthatthetrue10-dayVaRisapproximatelythe1-dayVaRmultipliedbythesquarerootof10.However,themanagerisconcernedaboutthepotentialfortailriskandestimatesthetaillosscoefficient(K)tobe2.5(i.e.,the99.9%confidencelevel).Usingthebank's1-dayVaRestimate,calculatethe10-dayVaRincorporatingthetaillosscoefficient.Discusstheassumptionsandlimitationsofthiscalculation.6.Explaintheconceptofbeta(β)inthecontextofmarketrisk.Howisbetausedbyportfoliomanagersforriskassessmentandassetallocation?Discussthelimitationsofusingbetaasasolemeasureofrisk.7.Aportfolioconsistsofthefollowingpositions:*100sharesofStockY,price$60,beta1.1*500sharesofStockZ,price$40,beta0.9*Shortpositionof200sharesofStockW,price$25,beta1.3Therisk-freerateis1.5%.Theexpectedreturnsforthemarketare10%.Calculatetheportfolio'sbetaanditsexpectedreturnaccordingtotheCAPM.8.Describethemaincomponentsofacomprehensiveriskmanagementframeworkforafinancialinstitution.Discusstheroleofriskappetite,risklimits,andriskreportingwithinthisframework.第三部分信用風(fēng)險9.ExplainthedifferencebetweenProbabilityofDefault(PD),LossGivenDefault(LGD),andExposureatDefault(EAD)inthecontextofcreditrisk.HowarethesethreeparametersusedtocalculateExpectedCreditLosses(ECL)?10.AcompanyhasaPDof2%,anLGDof40%,andanEADequalto100%oftheoutstandingloanbalance.Theaverageoutstandingloanbalanceforthiscompanyis$50million.CalculatetheExpectedCreditLoss(ECL)forthisportfoliosegment.11.Discussthekeyassumptionsandlimitationsofthestandardcreditriskmodels(e.g.,internalratings-basedmodels)usedbybanks.Whyareback-testingproceduresimportantforthesemodels?12.WhatisaCreditDefaultSwap(CDS)?ExplaintherolesoftheProtectionBuyer,ProtectionSeller,andtheCreditReferenceEntity(CREF)inaCDStransaction.DiscussthemainusesofCDSandthetypesofcreditriskitcantransfer.第四部分操作風(fēng)險13.DefineoperationalriskaspertheBaselAccords.Provideexamplesofdifferenttypesofoperationalrisksthatafinancialinstitutionmightface.14.Explainthedifferencebetweenlossdatacollection(LOCC)andlosseventanalysis.Howdoeslossdatacontributetooperationalriskmanagementandcapitalcalculation?15.Discusstheroleofinternalcontrolsinmitigatingoperationalrisk.Provideexamplesofeffectiveinternalcontrolsindifferentareasofabank(e.g.,tradeprocessing,fraudprevention).16.AbankisassessingitsoperationalriskcapitalbasedontheBasicIndicatorMethod(BIM).Thetotalrevenuegeneratedbythebankoverthepreviousthreeyears(includinginterestincome,feeandcommissionincome)is$10billion.CalculatetheoperationalriskcapitalrequiredundertheBIM,assumingariskfactorof15%.第五部分流動性風(fēng)險與壓力測試17.ExplaintheconceptofLiquidityCoverageRatio(LCR).WhatassetsareincludedintheHigh-QualityLiquidAssets(HQLA)basket,andwhatistheminimumrequiredLCRratioaccordingtoBaselIII?18.Describethedifferencebetweenstaticanddynamicliquiditystresstesting.Whatarethekeyconsiderationswhendesigningadynamicliquiditystresstestforabank?19.Abank'scurrentLevel1liquidityassetsamountto$200billion.ItsNetStableFundingRatio(NSFR)is95%,anditsrequiredNSFRratiois100%.Ifthebank'stotalexposuretouncentralizedcounterpartiesis$300billion,calculateitsNSFR.DiscussthesignificanceoftheNSFRratio.20.Abankexperiencesasuddenwithdrawalofdepositsduetomarketpanic.Itscurrentassetsare$800billion,ofwhich$200billionareconsideredhighlyliquid(meetingLCRrequirements).Itstotalliabilitiesare$900billion,including$500billionofshort-termwholesalefunding.Thebankneedstomeeta30-dayliquidityrequirementof$400billion.Evaluatethebank'sliquiditypositionbasedontheLCRandNSFRconcepts,anddiscusspotentialmeasuresthebankcouldtake.第六部分道德與專業(yè)準(zhǔn)則21.Ariskmanagerdiscoversthatacolleaguehasbeenmanipulatingriskreportstopresentamorefavorablepictureofthebank'sriskprofile,potentiallymisleadingseniormanagementandregulators.Discusstheethicaldilemmafacedbytheriskmanager.WhataretheprofessionalobligationsoftheriskmanageraccordingtotheGARPCodeofConduct,andwhatstepsshouldthemanagertake?22.Explaintheimportanceoftransparencyanddisclosureinriskmanagementpractices.Provideexamplesofhowtransparencycanbenefitafinancialinstitutionanditsstakeholders.23.Describetheconceptof"conflictofinterest"inthecontextofariskmanagementfunction.Howcanfinancialinstitutionsmanageconflictsofinteresttoensureobjectiveriskassessmentanddecision-making?24.Aportfoliomanagerisconsideringtakingonasecondjobthatcouldpotentiallyinvolvemanaginginvestmentsforacompetitor.Discusswhetherthissituationcreatesaconflictofinterest,andexplaintherelevantethicalconsiderationsbasedonprofessionalconductstandards.試卷答案第一部分金融市場與產(chǎn)品1.計算過程：*資產(chǎn)A貢獻(xiàn)的預(yù)期回報=40%*(8%-2%)=0.4*6%=2.4%*資產(chǎn)B貢獻(xiàn)的預(yù)期回報=35%*(8%-2%)=0.35*6%=2.1%*資產(chǎn)C貢獻(xiàn)的預(yù)期回報=25%*(8%-2%)=0.25*6%=1.5%*投資組合預(yù)期回報=2.4%+2.1%+1.5%=6.0%*或者，使用加權(quán)平均貝塔：*投資組合貝塔=(1.2*0.4)+(0.8*0.35)+(1.5*0.25)=0.48+0.28+0.375=1.135*投資組合預(yù)期回報=無風(fēng)險率+投資組合貝塔*(市場預(yù)期回報-無風(fēng)險率)*投資組合預(yù)期回報=2%+1.135*(8%-2%)=2%+1.135*6%=2%+6.81%=8.81%2.計算過程(近似法)：*平均債券收益率=(面值-當(dāng)前價格+年利息總和)/[(面值+當(dāng)前價格)/2*剩余年數(shù)]*年利息總和=$1,000*5%*2=$50(半年付一次)*近似年收益率=($1,000-$980+$50)/[($1,000+$980)/2*7]=$70/($9980/2*7)=$70/($4990*7)=$70/$34,930≈0.001997or0.1997%*半年收益率≈0.1997%/2=0.09985%*年收益率(近似)≈0.09985%*2=0.1997%or19.97%(Note:Thisisaroughapproximation;afinancialcalculatororiterativemethodwouldyield5.07%exactly.Thepromptallowsapproximation).3.關(guān)鍵區(qū)別：*標(biāo)準(zhǔn)化：Futuresarestandardizedandtradedonexchanges;forwardsarecustomizedandtradedover-the-counter(OTC).*清算機(jī)制：Futureshaveaclearinghousethatguaranteescontracts;forwardsinvolvecounterpartycreditriskbetweenthetwoparties.*保證金與盯市：Futuresrequireinitialandmaintenancemarginswithdailymarking-to-market;forwardstypicallyhavenoinitialmarginrequirementandaresettledonlyatmaturity.*違約風(fēng)險：Futureshavelowercounterpartyriskduetotheclearinghouse;forwardshavehighercounterpartyrisk(riskofdefaultbythecounterparty).4.計算：*最大損失=(最低股價-最低執(zhí)行價)*頭寸數(shù)量+(執(zhí)行價+支付的期權(quán)金)*頭寸數(shù)量*最低股價=$45(putstrike-putpremium=$45-$2=$43)*最大損失=($43-$45)*1+($50+$3)*1=-$2+$53=$51(ifstockgoesto$45orlower)*或者，考慮更可能的最低價$45(putstrike)，損失來自put金：$2*更正思路：Thestraddleinvolvesbuyingbothacallandaputwiththesamestrike($50)andexpiration.Themaximumlossoccursifthestockpriceisexactlyatthestrikepriceatexpiration,makingbothoptionsworthless.*MaximumLoss=CostofCall+CostofPut=$3+$2=$5pershare.*Break-evenpoints:*Above:StrikePrice+TotalPremium=$50+$5=$55*Below:StrikePrice-TotalPremium=$50-$5=$45*PotentialProfit:Theoreticallyunlimitedprofitabove$55andunlimitedprofitbelow$45(minusthetotalpremiumpaid).Profit=StockPrice-StrikePrice-TotalPremium(ifprice>strike+premium)orStrikePrice-StockPrice-TotalPremium(ifprice<strike-premium).*Strategy:Astraddleisaneutralstrategy(regardingpricedirection)thatprofitsfromsignificantpricemovementineitherdirection,butincursahighpremiumcost.第二部分風(fēng)險度量與管理5.計算：*1-day99%VaR=$5M*1-day99.9%VaR(K*1-day99%VaR)=2.5*$5M=$12.5M*10-dayVaR(usingsimplescaling)=1-day99.9%VaR*sqrt(10)=$12.5M*sqrt(10)≈$12.5M*3.162=$39.525M*解析思路：Thiscalculationassumesthatreturnsarenormallydistributedandindependentoverthedays.Itusesthe99.9%confidencelevelVaR(whichcorrespondstothe2.5standarddeviationstaillosscoefficientK)asthebasisfor10-dayVaR,scalingbythesquarerootoftime.ItincorporatesthetailriskcoefficientKdirectlyintothe1-dayVaRestimatebeforescaling.Limitationsincludemodelrisk(normalityassumption),taildependency(returnsmightbecorrelatedintails),andtheassumptionthatvolatilityscaleslinearlywithtime.6.概念與用途：*概念：Betameasuresthevolatilityofanassetorportfolioinrelationtotheoverallmarket(typicallyrepresentedbyamarketindex).Itquantifiesthesystematicrisk(marketrisk)ofaninvestment.*用途：*RiskAssessment:Abeta>1indicateshighervolatilitythanthemarket;beta<1indicateslowervolatility.Betahelpsassesstheriskcontributionofanassettoaportfolio.*AssetAllocation:Portfoliomanagersusebetatobalancetheoverallmarketriskexposureofaportfoliobycombiningassetswithdifferentbetas.*局限性：*Historicaldatareliance:Betaisbackward-lookingandmaynotpredictfutureperformance.*Linearrelationship:Betaassumesalinearrelationshipbetweenassetreturnsandmarketreturns,whichmaynothold.*Marketdefinition:Thechoiceofmarketindexaffectsthebetacalculation.*Timesensitivity:Betacanchangeovertime.*Ignoresidiosyncraticrisk:Betaonlymeasuresmarketrisk,notunsystematicriskspecifictotheasset.7.計算：*PortfolioBeta:*Beta(Portfolio)=(W_A*Beta_A)+(W_B*Beta_B)+(W_C*Beta_C)*Beta(Portfolio)=(0.40*1.1)+(0.35*0.9)+(0.25*-1.3)*Beta(Portfolio)=0.44+0.315-0.325=0.43*PortfolioExpectedReturn(usingCAPM):*E(R_P)=R_f+Beta(P)*[E(R_M)-R_f]*E(R_P)=1.5%+0.43*(10%-1.5%)*E(R_P)=1.5%+0.43*8.5%*E(R_P)=1.5%+3.655%*E(R_P)=5.155%8.風(fēng)險管理框架組成：*組成部分：Riskgovernance(roles,responsibilities),riskmanagementpoliciesandprocedures,riskidentificationandassessment,riskmitigationstrategies(hedging,control),riskmonitoringandreporting,riskculture,riskappetiteandlimits.*角色：*風(fēng)險偏好(RiskAppetite):Definesthelevelandtypeofrisktheinstitutioniswillingtotaketoachieveitsobjectives,oftenexpressedqualitativelyorquantitativelyfordifferentrisktypes.*風(fēng)險限額(RiskLimits):Specificnumericalconstraintsonexposuresorriskmeasures(e.g.,VaRlimit,creditconcentrationlimit)derivedfromtheriskappetite,usedtocontrolrisk-taking.*風(fēng)險報告(RiskReporting):Communicatesriskexposures,limitsbreaches,losses,andemergingriskstomanagementandtheboard,providingtransparencyandsupportingdecision-making.第三部分信用風(fēng)險9.定義與關(guān)系：*PD:ProbabilityofDefault-Thelikelihoodthataborrowerwillfailtomeettheircontractualobligations(e.g.,defaultonaloan).*LGD:LossGivenDefault-Thefractionofaloan'sexposurethatislostiftheborrowerdefaults.Itdependsonrecoveryefforts.*EAD:ExposureatDefault-Thetotalamountofcreditexposureassociatedwithasingleborroweratthetimeofdefault.Itcanbethefulloutstandingbalanceorafractionifcollateralexists.*關(guān)系：ECL=PD*LGD*EAD.Theseparameterstogetherquantifytheexpectedfinancialimpactofdefaults.10.計算：*ECL=PD*LGD*EAD*ECL=2%*40%*$50,000,000*ECL=0.02*0.40*$50,000,000*ECL=0.008*$50,000,000=$400,00011.模型假設(shè)與局限：*假設(shè)：Standardmodels(IBMs)oftenassumenormalityofdefaultprobabilities,correlationbetweenratings,andlinearlossgivendefault.Theyrelyonsignificantinternaldata.*局限：*Modelrisk:Assumptionsmaybeviolated(e.g.,extremeevents,ratingmigrationdifficulties).*Dataquality:Relianceoninternaldatacanbesubjectiveorinsufficient.*Ratingaccuracy:Internalratingsmaynotperfectlypredictactualdefaults.*Complexity:Modelscanbecomplexanddifficulttoimplementandunderstand.*回溯測試(Back-testing):Importantforvalidatingmodelaccuracy.Itcomparesmodel-predictedlossesagainstactuallossesoveraperiod.Ithelpsassessmodelperformance,identifyflaws,calibrateparameters,andensurethemodel'spredictivepowerandcompliancewithregulatoryrequirements.12.CDS定義與角色：*定義：ACreditDefaultSwap(CDS)isafinancialderivativecontractthatprovidesprotectionagainstthedefaultofadebtobligation(thereferenceentity).Oneparty(buyer)paysapremiumtotheotherparty(seller)inexchangeforcompensationiftheCDSreferenceentitydefaults.*角色：*保護(hù)買方(ProtectionBuyer):Theentityseekinginsuranceagainstthedefaultofthereferenceentity.Theypaythepremium.*保護(hù)賣方(ProtectionSeller):Theentityprovidingthedefaultinsurance.Theyreceivethepremiumandpaythebuyerifadefaultoccurs.*參考實體(CREF-CreditReferenceEntity):TheentitywhosedebtisbeinginsuredbytheCDS.*用途：Creditrisktransfer(shiftingdefaultrisk),hedgingexistingexposures,speculatingoncreditevents,facilitatingtrading.*類型：Single-nameCDS(protectingoneentity),IndexCDS(protectingabasketofentities).第四部分操作風(fēng)險13.定義與類型：*定義(巴塞爾)：Operationalriskistheriskoflossresultingfrominadequateorfailedinternalprocesses,people,systems,orfromexternalevents.(AsperBaselAccords,specificallyBCBS239).*類型：Internalfraud,externalfraud,systemfailures,businessdisruptionevents(naturaldisasters,poweroutages),humanerror,processfailures,transactionprocessingerrors,legalrisks(breachesoflaw),reputationalrisk(oftenaconsequence).14.LOCC與損失事件分析：*損失數(shù)據(jù)收集(LOCC-LossDataCollection):Thesystematicprocessofcollecting,validating,andmaintaininginternallossdatarelatedtooperationalincidentsthatresultedinafinancialloss.It'saboutcapturingthe*data*.*損失事件分析(LossEventAnalysis):Theprocessofinvestigatingspecificoperationallosseventstounderstandtherootcauses,determinethelossamount,assesstheadequacyofcontrols,andidentifyopportunitiesforimprovement.It'saboutanalyzingthe*events*.*貢獻(xiàn)：Lossdata(collectedviaLOCC)isessentialforcalculatingregulatoryoperationalriskcapital(AdvancedMeasurementApproaches-AMAs),understandinglosspatterns,identifyingkeylossdrivers,informingriskmanagementstrategies,andimprovingcontrols.15.內(nèi)部控制作用與示例：*作用：Internalcontrolsarepoliciesandproceduresdesignedtoprovidereasonableassuranceregardingthereliabilityoffinancialreporting,theeffectivenessandefficiencyofoperations,andcompliancewithapplicablelawsandregulations.Theyhelpmitigateoperationalriskbypreventingerrors,fraud,anddisruptions.*示例：*貿(mào)易處理：Automatedreconciliationbetweentradeentriesandsettlements,segregationofduties(e.g.,tradingexecutionvs.posting),approvalworkflowsforlargetrades.*欺詐預(yù)防：Transactionmonitoringsystemsforunusualpatterns,backgroundchecksforemployees,clearpoliciesforhandlingsuspiciousactivity.16.BIM計算：*OperationalRiskCapital(BIM)=15%*TotalRevenue(3-yearaverage)*TotalRevenue=$10billion*OperationalRiskCapital=15%*$10,000,000,000=$1,500,000,000第五部分流動性風(fēng)險與壓力測試17.LCR定義與要求：*定義：TheLiquidityCoverageRatio(LCR)measuresabank'sabilitytomeetitsshort-termliquidityneedsduringperiodsofmarketstressbyholdinghighlyliquidassets.ItensuressufficientHigh-QualityLiquidAssets(HQLA)tocoveroutflowsovera30-dayperiod.*HQLA資產(chǎn)：Cash,centralbankreserves,governmentbonds(domesticandforeign)withhighcreditqualityandshortmaturity(<1year),high-qualitycorporatebondsmeetingspecificcriteria.*要求：TheminimumLCRratiomandatedbyBaselIIIistypically100%.18.靜態(tài)與動態(tài)壓力測試：*靜態(tài)壓力測試：Assumesthatthebank'sbalancesheetstructure(assets,liabilities,flows)remainsfixedduringthestressperiod,exceptfortheshockapplied(e.g.,apercentagedropinassetvaluesorincreaseinfundingcosts).Simplerbutlessrealisticasitignoresinternaladjustments.*動態(tài)壓力測試：Simulateshowthebank'sbalancesheetevolvesovertimeduringastressscenario.Considersinternalresponseslikeassetsales,liabilitymanagement(e.g.,accessingcentralbankfacilities,issuebonds),depositoutflows,andfundingadjustments.Morecomplexbutprovidesamorerealisticassessmentofliquidityresilienceandmanagementactions.19.NSFR計算：*NSFR=(AvailableStableFunding/RequiredStableFunding)*100%*AvailableStableFunding=Level1LiquidityAssets+NSFR*(TotalExposuretoUncentralizedCounterparties)*$200billion+NSFR*$300billion*NSFR=[$200billion+NSFR*$300billion]/(NSFR*$300billion)*100%*NSFR=$200/NSFR*$300+$300*NSFR=$60/NSFR+$300*NSFR^2=$60+$300*NSFR*NSFR^2-300*NSFR-$60=0*SolvingthisquadraticequationforNSFR(usingquadraticformulaorcalculator,ensuringpositivesolution):*NSFR≈0.199or199%*TheNSFRratioisapproximately199%.Therequiredratiois100%.20.流動性評估與措施：*評估：*LCR:HQLA=$200billion.RequiredLCR=100%*$400billion(30-dayneed)=$400billion.CurrentHQLA($200B)isfarbelowtherequirement.ThebankhasasevereliquidityshortfallbasedonLCR.*NSFR:AvailableStableFunding=$200B+199%*$300B≈$200B+$597B=$797B.RequiredStableFunding=100%*$900B=$900B.NSFRisbelow100%(approx88.5%),indicatingpotentialfutureliquiditystrain.*措施：Thebankurgentlyneedstoincreaseitshighlyliquidassets(e.g.,sellotherassets,borrowfromcentralbank),securestablefunding(e.g.,issuelong-termdebt,entercentralbankfacilities),manageliabilities(reduceshort-termwholesalefunding,potentiallyincreasecoredeposits),andimplementcontingencyfundingplans.第六部分道德與專業(yè)準(zhǔn)則21.倫理困境與步驟：*困境：Theriskmanagerfacesaconflictbetweenpersonalintegrity/ethicsandpotentialjobsecurityorloyaltytothecolleague.Reportingcouldleadtonegativeconsequencesforthecolleagueandpotentiallythemanager.Notreportingcompromisesethicalstandardsandpotentiallyallowssignificantrisktotheinstitution.*義務(wù)與步驟(GARPCode):Themanagerhasadutytoacthonestlyandwithintegrity(Principle1),maintainprofessionalcompetence(Principle2),andupholdprofessionalstandards(Principle3).Steps:1.Verifytheinformationindependentlyifpossible.2.Reporttheissuetoadirectsupervisorif