2025年FRM《風(fēng)險(xiǎn)管理》真題及答案考試時(shí)間：______分鐘總分：______分姓名：______PartI1.WhichofthefollowingisNOTconsideredacomponentofthefundamentalriskmanagementframework?a)Establishingriskappetiteandtolerance.b)Identifyingandassessingrisks.c)Designingriskresponses.d)Settingrisklimitsandcapitalrequirements.2.Theprocessofidentifyingandanalyzingthepotentialimpactofuncertaintyonobjectivesisbestdescribedas:a)Riskmonitoring.b)Riskcontrol.c)Riskassessment.d)Riskmitigation.3.Whichtypeofriskarisesfromthepossibilitythatacounterpartywillfailtomeetitsfinancialobligations?a)Marketrisk.b)Creditrisk.c)Operationalrisk.d)Liquidityrisk.4.Whichstatisticalmeasureprovidesarangeofpotentialfutureoutcomes,alongwiththelikelihoodofeachoutcomeoccurring?a)Standarddeviation.b)Variance.c)ValueatRisk(VaR).d)Probabilitydistribution.5.Thenormaldistributioniscommonlyusedinfinancialriskmodelingduetoits:a)Skewednature,reflectingmarketbehavior.b)Abilitytohandlebothpositiveandnegativeinfinity.c)Well-definedmean,median,andmode.d)Perfectfittohistoricalmarketreturndata.6.Abetacoefficientmeasures:a)Thevolatilityofanindividualasset.b)Thesensitivityofanasset'sreturnstochangesinthemarketportfolio'sreturns.c)Theexpectedreturnofanassetgivenitsrisk.d)Thecorrelationbetweenanasset'sreturnsanditsownstandarddeviation.7.IntheBlack-Scholes-Mertonmodel,whichofthefollowingvariablesisNOTapartoftheformulaforcalculatingthepriceofaEuropeancalloption?a)Underlyingassetprice.b)Optionstrikeprice.c)Risk-freeinterestrate.d)Timetomaturity.8.ThebinomialoptionpricingmodelisadvantageousovertheBlack-Scholes-Mertonmodelbecauseitcanhandle:a)Americanoptions.b)OnlyEuropeanoptions.c)Dividend-payingstocks.d)Onlynon-dividend-payingstocks.9.Aswaptionisafinancialderivativethatgivestheholdertheright,butnottheobligation,toenterintoa:a)Forwardcontract.b)Futurescontract.c)Optioncontract.d)Swapcontract.10.Creditdefaultswaps(CDS)areprimarilyusedfor:a)Hedginginterestraterisk.b)Hedgingforeignexchangerisk.c)Transferringorhedgingcreditrisk.d)Managingliquidityrisk.11.WhichofthefollowingstatementsabouttheEfficientMarketHypothesis(EMH)iscorrect?a)Marketpricesreflectallavailableinformationinstantlyandaccurately.b)Marketpricesareconsistentlymispricedduetoinvestorbehavior.c)Marketefficiencyisonlyachievedinperfectlycompetitivemarkets.d)Marketpricesonlyreflecthistoricalpricedata.12.TheCapitalAssetPricingModel(CAPM)assumesthatinvestorsare:a)Risk-neutral.b)Risk-averseandpreferhigherreturnsforhigherrisk.c)Onlyconcernedwiththerisk-freerate.d)Alwayswillingtotakeonadditionalriskwithoutcompensation.13.TheSharperatioisusedtomeasure:a)Thetotalriskofaninvestmentportfolio.b)Themarketriskpremium.c)Therisk-adjustedreturnofaninvestmentportfolio.d)Theliquidityoftheportfolioassets.14.ModernPortfolioTheory(MPT)suggeststhatinvestorscan:a)Eliminateallportfolioriskthroughdiversification.b)Maximizeexpectedreturnforagivenlevelofriskbydiversifying.c)Achievehigherreturnswithouttakingonadditionalrisk.d)Investsolelyinassetswithzerocorrelation.15.Ahedgefundistypicallycharacterizedby:a)Lowminimuminvestmentrequirements.b)Limitedregulatoryoversight.c)Afocusoninvestingonlyinpubliclytradedstocks.d)Afixedinvestmenthorizon.16.Whichregulatoryframework,enactedinthewakeofthe2008financialcrisis,aimstoincreasethestabilityofthefinancialsystem?a)Glass-SteagallAct.b)Dodd-FrankWallStreetReformandConsumerProtectionAct.c)Gramm-Leach-BlileyAct.d)Sarbanes-OxleyAct.17.TheBaselIIIAccordsplacegreateremphasison:a)Eliminatingbankcapitalrequirements.b)Increasingliquidityrequirementsforbanks.c)Relaxingleverageratiosforbanks.d)Reducingthefocusonstresstesting.18.Stresstestingisacrucialcomponentofabank'sriskmanagementframeworkbecauseitallowsthebanktoassess:a)Theperformanceofitsinvestmentportfolioinnormalmarketconditions.b)Thepotentialimpactofadversebutplausiblemarketeventsonitsfinancialposition.c)Theprofitabilityofitsloanportfolio.d)Theliquidityofitsshort-termassets.19.ValueatRisk(VaR)isameasureof:a)Theexpectedlossgivenalossevent.b)Themaximumpotentiallossoveragiventimeperiodatacertainconfidencelevel.c)Theaveragelossincurredoveraspecificperiod.d)Thevolatilityofportfolioreturns.20.Theconditionalvalueatrisk(CVaR),alsoknownasExpectedShortfall(ES),isariskmeasurethat:a)ProvidesamoreconservativeestimateoftailriskthanVaR.b)IslesssensitivetothedistributionofreturnsthanVaR.c)Isprimarilyusedforassetswithnormallydistributedreturns.d)Doesnotaccountfortheconfidencelevel.21.WhichofthefollowingmethodsiscommonlyusedforcalculatingValueatRisk(VaR)?a)Historicalsimulation.b)MonteCarlosimulation.c)Black-Scholes-Mertonmodel.d)Alloftheabove.22.BacktestingofVaRinvolves:a)ComparingtheactualnumberoflossestothenumberoflossespredictedbytheVaRmodeloveraspecificperiod.b)RecalculatingtheVaRusingthemostrecentdata.c)AdjustingtheVaRconfidencelevelbasedonmarketconditions.d)CalculatingtheVaRfordifferentassetclasses.23.Operationalriskencompassestheriskoflossresultingfrominadequateorfailedinternalprocesses,people,andsystems,orfromexternalevents.WhichofthefollowingisgenerallyNOTconsideredasourceofoperationalrisk?a)Systemoutages.b)Fraudbyemployees.c)Naturaldisasters.d)Marketvolatility.24.TheBaselCommitteeonBankingSupervision(BCBS)isresponsiblefor:a)Regulatingnon-bankfinancialinstitutions.b)Settingcapitalrequirementsforbanks.c)Overseeingstockexchanges.d)Managingsovereignwealthfunds.25.EnterpriseRiskManagement(ERM)isamanagementapproachthat:a)Focusessolelyonfinancialrisks.b)Integratesstrategy,governance,andriskmanagementacrosstheorganization.c)Isprimarilyconcernedwithcomplianceissues.d)Isonlyapplicabletolargecorporations.26.Businesscontinuityplanning(BCP)isdesignedtoensurethatanorganizationcan:a)Recovercriticalbusinessfunctionsafteradisruptiveevent.b)Minimizethefinanciallossescausedbyoperationalrisks.c)Complywithallrelevantregulations.d)Maximizeitsprofitabilityduringacrisis.27.Informationsecurityisacomponentofoperationalriskmanagementthatfocuseson:a)Protectingtheconfidentiality,integrity,andavailabilityofsensitiveinformation.b)Ensuringtheaccuracyoffinancialreporting.c)Managingcreditriskexposure.d)Optimizingthefirm'sinvestmentportfolio.28.Whichofthefollowingisacommonriskmitigationtechniqueforcreditrisk?a)Increasingthesizeoftheloanportfolio.b)Diversifyingtheloanportfolioacrossdifferentsectors.c)Requiringcollateralorguaranteesfromborrowers.d)Increasingtheinterestratesonloans.29.Marketriskreferstotheriskoflossesininvestmentsduetofactorsthataffectmarketprices.WhichofthefollowingisgenerallyNOTconsideredasourceofmarketrisk?a)Changesininterestrates.b)Fluctuationsinexchangerates.c)Corporatefraud.d)Volatilityinstockprices.30.Liquidityriskistheriskthatafirmwillbeunabletomeetitsshort-termfinancialobligationsastheyfalldue.Whichofthefollowingactionswouldgenerallyhelpafirmreduceitsliquidityrisk?a)Increasingitsleverage.b)Extendingthematurityofitsdebtportfolio.c)Maintainingawell-diversifiedportfolioofhighlyliquidassets.d)Reducingitscashholdings.31.Regulatorycapitalforbanksistypicallycomposedof:a)Subordinateddebtandcommonequity.b)Short-termloansandinvestments.c)Cashreservesandmarketablesecurities.d)Derivativesandhedgefunds.32.TheBaselIIIframeworkintroducestheconceptofTier1capitalas:a)Subordinateddebtthatcanbeconvertedintocommonequity.b)CapitalthatprovidesahigherclaimonassetsthanTier2capital.c)Short-termborrowingthatcanbeusedtomeetliquidityneeds.d)Capitalthatisnotincludedinthebank'sbalancesheet.33.StresstestingundertheBaselIIIframeworkrequiresbanksto:a)Conductscenarioanalysesunderseverebutplausibleeconomicconditions.b)Increasetheircapitalbuffers.c)Reducetheirloanexposuretospecificsectors.d)Eliminatealloperationalriskexposures.34.Marketrisklimitsareusedbyfinancialinstitutionsto:a)Controltheoveralllevelofmarketrisktakenonbythefirm.b)Maximizethepotentialreturnsfrommarketinvestments.c)Minimizethetransactioncostsassociatedwithtrading.d)Ensurecompliancewithregulatoryreportingrequirements.35.ValueatRisk(VaR)isoftenusedinconjunctionwithconditionalvalueatrisk(CVaR)because:a)CVaRprovidesamorecomprehensivemeasureoftailrisk.b)VaRiseasiertocalculatethanCVaR.c)CVaRisprimarilyusedforassetswithnormallydistributedreturns.d)VaRistheonlyriskmeasureusedbyregulators.36.Creditriskmodelingtechniquesinclude:a)Logisticregressionandsurvivalanalysis.b)Timeseriesanalysisandregressionanalysis.c)MonteCarlosimulationsandhistoricalsimulation.d)Alloftheabove.37.CollateralizedDebtObligations(CDOs)arecomplexdebtsecuritiesthatpoolvarioustypesofdebtinstrumentsandtransferthecreditriskoftheunderlyingassetstoinvestors.WhichofthefollowingstatementsaboutCDOsiscorrect?a)Theywereprimarilyresponsibleforthe2008financialcrisisduetotheircomplexityandlackoftransparency.b)Theyareconsideredlow-riskinvestmentsbecausetheyarebackedbydiversifiedassets.c)TheywerebannedbytheDodd-FrankAct.d)Theyareonlyissuedbygovernmentagencies.38.RegTech(RegulatoryTechnology)referstotheuseoftechnologyto:a)Reducethecostofcompliancewithfinancialregulations.b)Increasetherisk-takingactivitiesoffinancialinstitutions.c)Eliminatetheneedforregulatoryoversight.d)Enhancetheprofitabilityofregulatoryreporting.39.Behavioralfinancestudiestheeffectsofpsychologicalfactorsonfinancialmarketsandthedecisionsofinvestors.Whichofthefollowingisakeyconceptinbehavioralfinance?a)Efficientmarkethypothesis.b)Homebias.c)Herdbehavior.d)Rationalexpectationstheory.40.Environmental,Social,andGovernance(ESG)factorsareincreasinglybeingconsideredinriskmanagementbecausetheycan:a)Haveamaterialimpactonacompany'slong-termfinancialperformance.b)Beeasilyquantifiedandmeasuredusingtraditionalfinancialmodels.c)Eliminatetheneedfortraditionalriskmanagementpractices.d)Onlyaffectcompaniesindevelopingcountries.41.TheMarkovitzportfoliooptimizationmodelisbasedontheprinciplethatinvestorspreferportfoliosthatofferthehighestexpectedreturnforagivenlevelof:a)Risk-freerate.b)Systematicrisk.c)Unsystematicrisk.d)Totalrisk.42.Sharperatioiscalculatedas:a)(Portfolioreturn-Risk-freerate)/Standarddeviationofportfolioreturn.b)(Portfolioreturn-Risk-freerate)/Varianceofportfolioreturn.c)Standarddeviationofportfolioreturn/(Portfolioreturn-Risk-freerate).d)Varianceofportfolioreturn/(Portfolioreturn-Risk-freerate).43.Hedgefundsareoftencharacterizedby:a)Highlevelsoftransparencyandliquidity.b)Diversifiedinvestmentstrategiesandlowminimuminvestmentrequirements.c)Regulatoryrestrictionsandafocusonpubliclytradedsecurities.d)Limitedpartnerships,leverage,andalternativeinvestmentstrategies.44.TheDodd-FrankActincludesprovisionsrelatedto:a)FinancialconsumerprotectionandthecreationoftheConsumerFinancialProtectionBureau(CFPB).b)Increasedcapitalrequirementsandliquiditystandardsforbanks.c)Theeliminationofallgovernmentoversightofthefinancialindustry.d)Thepromotionoffreetradeinglobalfinancialmarkets.45.StresstestingisarequirementundertheBaselIIIframeworkbecause:a)Itallowsregulatorstoassessabank'sresiliencetoadverseeconomicconditions.b)Itensuresthatbankshaveenoughcapitaltomeettheirdailyoperationalneeds.c)Itforcesbankstoeliminatealltheirmarketriskexposures.d)Itreducestheneedforbankstoholdregulatorycapital.46.Operationalriskeventscanbecausedby:a)Naturaldisasters,systemfailures,andhumanerror.b)Marketvolatility,interestratechanges,andcreditdefaults.c)Changesinregulations,geopoliticalevents,andeconomicrecessions.d)Changesinmarketsentiment,inflation,andcurrencyfluctuations.47.EnterpriseRiskManagement(ERM)aimsto:a)Identifyandmanagerisksacrosstheentireorganizationinacoordinatedmanner.b)Focussolelyonfinancialrisksandignoreoperationalrisks.c)Eliminateallrisksfromthebusinessoperations.d)Onlymanagerisksthatarewithinthecontrolofthecompany.48.Businesscontinuityplanning(BCP)isdesignedto:a)Restorecriticalbusinessfunctionsafteradisruption.b)Minimizethefinanciallossescausedbyoperationalrisks.c)Ensurecompliancewithallindustryregulations.d)Maximizetheprofitabilityofthebusinessduringacrisis.49.Informationsecuritymeasuresareusedto:a)Protectsensitivedatafromunauthorizedaccess,use,disclosure,disruption,modification,ordestruction.b)Ensuretheaccuracyandcompletenessoffinancialtransactions.c)Optimizethefirm'sinvestmentportfolio.d)Reducethecreditriskexposureofthefirm.50.Creditriskmitigationtechniquesinclude:a)Diversifyingtheloanportfolio,requiringcollateral,andsettingcreditlimits.b)Increasingthesizeoftheloanportfolioandofferinghigherinterestrates.c)Eliminatingcreditriskaltogetherthroughhedging.d)Focusingonlyonhigh-riskborrowerstomaximizereturns.試卷答案1.d解析思路：基本風(fēng)險(xiǎn)管理框架通常包括風(fēng)險(xiǎn)治理、風(fēng)險(xiǎn)策略、風(fēng)險(xiǎn)識(shí)別、風(fēng)險(xiǎn)計(jì)量、風(fēng)險(xiǎn)監(jiān)測(cè)和控制等環(huán)節(jié)。設(shè)立風(fēng)險(xiǎn)偏好和容忍度屬于風(fēng)險(xiǎn)策略的范疇，識(shí)別和評(píng)估風(fēng)險(xiǎn)是核心環(huán)節(jié)，設(shè)計(jì)風(fēng)險(xiǎn)應(yīng)對(duì)屬于風(fēng)險(xiǎn)控制環(huán)節(jié)。資本要求是監(jiān)管機(jī)構(gòu)的要求，而非框架本身的一個(gè)組成部分。2.c解析思路：風(fēng)險(xiǎn)評(píng)估的定義就是識(shí)別風(fēng)險(xiǎn)并分析其對(duì)目標(biāo)的潛在影響，包括影響的程度和發(fā)生的可能性。風(fēng)險(xiǎn)監(jiān)控是持續(xù)跟蹤風(fēng)險(xiǎn)狀況和風(fēng)險(xiǎn)應(yīng)對(duì)措施的有效性。風(fēng)險(xiǎn)控制和風(fēng)險(xiǎn)mitigation更側(cè)重于采取措施消除或減輕風(fēng)險(xiǎn)。3.b解析思路：信用風(fēng)險(xiǎn)定義為由交易對(duì)手未能履行約定契約中的義務(wù)而造成經(jīng)濟(jì)損失的風(fēng)險(xiǎn)。市場(chǎng)風(fēng)險(xiǎn)是因市場(chǎng)價(jià)格（利率、匯率、股價(jià)等）變動(dòng)引起資產(chǎn)價(jià)值損失的風(fēng)險(xiǎn)。操作風(fēng)險(xiǎn)是因不完善或失敗的內(nèi)部程序、人員、系統(tǒng)或外部事件導(dǎo)致?lián)p失的風(fēng)險(xiǎn)。流動(dòng)性風(fēng)險(xiǎn)是無法以合理價(jià)格及時(shí)獲得足夠資金以滿足義務(wù)的風(fēng)險(xiǎn)。4.d解析思路：概率分布是一個(gè)描述隨機(jī)變量取值及其相應(yīng)概率的函數(shù)或圖表。它展示了所有可能的結(jié)果以及每個(gè)結(jié)果發(fā)生的可能性，范圍從負(fù)無窮到正無窮。標(biāo)準(zhǔn)差和方差都是衡量數(shù)據(jù)離散程度的統(tǒng)計(jì)量。VaR是一個(gè)具體的數(shù)值，代表在特定置信水平下可能遭受的最大損失。5.c解析思路：正態(tài)分布具有對(duì)稱性，其均值、中位數(shù)和眾數(shù)相等。其概率密度函數(shù)在數(shù)學(xué)上易于處理，因此在理論推導(dǎo)和實(shí)際應(yīng)用中廣泛使用。金融市場(chǎng)行為有時(shí)表現(xiàn)出偏態(tài)，但正態(tài)分布因其數(shù)學(xué)特性而被廣泛應(yīng)用作為基準(zhǔn)或近似。它并不一定完美擬合所有市場(chǎng)數(shù)據(jù)，但常作為基礎(chǔ)模型。6.b解析思路：貝塔系數(shù)衡量的是單個(gè)資產(chǎn)或投資組合的收益率相對(duì)于整個(gè)市場(chǎng)投資組合（通常是市場(chǎng)指數(shù)）收益率變動(dòng)的敏感性。它表示資產(chǎn)的風(fēng)險(xiǎn)相對(duì)于市場(chǎng)平均風(fēng)險(xiǎn)的大小。Alpha是衡量超額回報(bào)的指標(biāo)。資產(chǎn)的風(fēng)險(xiǎn)通常用標(biāo)準(zhǔn)差衡量。7.d解析思路：Black-Scholes-Merton模型計(jì)算歐式看漲期權(quán)價(jià)格需要用到：標(biāo)的資產(chǎn)當(dāng)前價(jià)格、期權(quán)行權(quán)價(jià)格、無風(fēng)險(xiǎn)利率、期權(quán)到期時(shí)間以及標(biāo)的資產(chǎn)波動(dòng)率。時(shí)間到maturity（T）是公式中的一個(gè)關(guān)鍵變量。題目中列出的前三項(xiàng)（S,K,r）都是模型輸入。8.a解析思路：二叉樹模型可以模擬價(jià)格在時(shí)間上的隨機(jī)路徑，既可以是向上也可以是向下。這使得它能夠處理美式期權(quán)，因?yàn)槊朗狡跈?quán)可以在到期前的任何時(shí)間行使。Black-Scholes模型主要用于歐式期權(quán)，且假設(shè)在期權(quán)到期前不能行使。9.d解析思路：期權(quán)是一種選擇權(quán)，給予持有人在未來某個(gè)時(shí)間或之前，以特定價(jià)格買入或賣出標(biāo)的資產(chǎn)的權(quán)利，而非義務(wù)。因此，一個(gè)期權(quán)合約賦予持有者進(jìn)入另一個(gè)合約（如互換合約）的權(quán)利。10.c解析思路：信用違約互換（CDS）是一種金融衍生品，合約一方定期向另一方支付費(fèi)用，以換取在參照實(shí)體發(fā)生信用事件（如違約、破產(chǎn)等）時(shí)，被保護(hù)方獲得賠償?shù)臋?quán)利。因此，它主要用于轉(zhuǎn)移或?qū)_信用風(fēng)險(xiǎn)。11.a解析思路：有效市場(chǎng)假說（EMH）認(rèn)為，在有效市場(chǎng)中，資產(chǎn)價(jià)格已經(jīng)反映了所有可獲得的信息，包括歷史信息、公開信息和內(nèi)部信息。價(jià)格對(duì)新信息的反應(yīng)是瞬時(shí)且充分的，使得通過分析信息來獲得超額利潤(rùn)變得非常困難。12.b解析思路：資本資產(chǎn)定價(jià)模型（CAPM）假設(shè)投資者是風(fēng)險(xiǎn)厭惡的，他們?cè)陲L(fēng)險(xiǎn)增加的情況下會(huì)要求更高的預(yù)期回報(bào)作為補(bǔ)償。模型試圖確定投資要求的合理回報(bào)率，即風(fēng)險(xiǎn)溢價(jià)。13.c解析思路：夏普比率（SharpeRatio）衡量的是投資組合每單位總風(fēng)險(xiǎn)（以標(biāo)準(zhǔn)差衡量）所能獲得的風(fēng)險(xiǎn)調(diào)整后超額回報(bào)（即投資組合回報(bào)率減去無風(fēng)險(xiǎn)利率）。它用于比較不同投資組合的風(fēng)險(xiǎn)調(diào)整后表現(xiàn)。14.b解析思路：現(xiàn)代投資組合理論（MPT）的核心觀點(diǎn)是，通過分散投資于不相關(guān)的資產(chǎn)，可以降低投資組合的總風(fēng)險(xiǎn)，從而在相同風(fēng)險(xiǎn)水平下獲得更高的預(yù)期回報(bào)，或者在相同預(yù)期回報(bào)下獲得更低的風(fēng)險(xiǎn)。15.b解析思路：對(duì)沖基金通常具有較嚴(yán)格的準(zhǔn)入限制，要求投資者達(dá)到較高的最低投資金額。它們投資策略靈活，可能包括私募股權(quán)、房地產(chǎn)、對(duì)沖等多種非公開市場(chǎng)投資。監(jiān)管通常比共同基金更嚴(yán)格。16.b解析思路：多德-弗蘭克法案是美國(guó)在2008年金融危機(jī)后通過的一項(xiàng)金融改革法案，旨在提高金融體系的穩(wěn)定性，降低系統(tǒng)性風(fēng)險(xiǎn)。其內(nèi)容包括建立消費(fèi)者金融保護(hù)局、實(shí)施更嚴(yán)格的銀行資本和流動(dòng)性要求、結(jié)束大型金融機(jī)構(gòu)的“大而不倒”問題等。17.b解析思路：巴塞爾III協(xié)議在2008年金融危機(jī)后推出，對(duì)全球銀行監(jiān)管提出了更高要求。其中一項(xiàng)重要內(nèi)容是強(qiáng)制銀行持有更多的流動(dòng)性資產(chǎn)（如高流動(dòng)性資產(chǎn)留存緩沖、逆周期資本緩沖），以提高銀行抵御壓力的能力。18.b解析思路：壓力測(cè)試是銀行和監(jiān)管機(jī)構(gòu)用來評(píng)估金融機(jī)構(gòu)在極端但可能發(fā)生的經(jīng)濟(jì)或市場(chǎng)情景下財(cái)務(wù)狀況和生存能力的重要工具。它幫助識(shí)別潛在的風(fēng)險(xiǎn)點(diǎn)和資本不足問題。19.b解析思路：價(jià)值-at-risk（VaR）是一個(gè)風(fēng)險(xiǎn)度量指標(biāo)，它估計(jì)在給定的持有期和置信水平下，投資組合可能遭受的最大損失金額。例如，95%的VaR表示有95%的可能性，投資組合的損失不會(huì)超過該VaR值。20.a解析思路：條件價(jià)值-at-risk（CVaR），也稱為預(yù)期shortfall（ES），是在VaR損失發(fā)生的前提下，超出VaR的預(yù)期額外損失。它提供了對(duì)尾部風(fēng)險(xiǎn)（極端損失）的更全面、更保守的度量，因?yàn)镃VaR總是大于或等于VaR。21.d解析思路：計(jì)算VaR的常用方法包括：歷史模擬法（使用歷史回報(bào)數(shù)據(jù)）、參數(shù)法（如基于正態(tài)分布或?qū)W生t分布的VaR計(jì)算）和蒙特卡洛模擬法（通過模擬大量隨機(jī)情景生成回報(bào)分布）。這三種方法都在VaR計(jì)算中有所應(yīng)用。22.a解析思路：VaR回溯測(cè)試是檢驗(yàn)VaR模型有效性的過程。它比較在一段時(shí)間內(nèi)，模型預(yù)測(cè)的最大潛在損失（VaR）與實(shí)際發(fā)生的損失情況。通常會(huì)計(jì)算“失敗頻率”（即實(shí)際損失超過VaR的次數(shù)）是否在可接受的范圍內(nèi)。23.d解析思路：市場(chǎng)風(fēng)險(xiǎn)是指由于市場(chǎng)價(jià)格（利率、匯率、股價(jià)等）的不利變動(dòng)而導(dǎo)致投資組合價(jià)值損失的風(fēng)險(xiǎn)。系統(tǒng)outage、員工欺詐、自然災(zāi)害都屬于內(nèi)部因素或外部事件引發(fā)的操作風(fēng)險(xiǎn)范疇。24.b解析思路：巴塞爾銀行監(jiān)管委員會(huì)（BCBS）是負(fù)責(zé)制定銀行監(jiān)管標(biāo)準(zhǔn)和建議的國(guó)際組織，隸屬于國(guó)際清算銀行（BIS）。其主要職責(zé)包括制定銀行資本充足率、流動(dòng)性、風(fēng)險(xiǎn)管理等方面的國(guó)際監(jiān)管框架。25.b解析思路：企業(yè)風(fēng)險(xiǎn)管理（ERM）是一種全面的管理方法，它將風(fēng)險(xiǎn)管理與企業(yè)的戰(zhàn)略目標(biāo)相結(jié)合，貫穿于整個(gè)組織，并整合治理、戰(zhàn)略和風(fēng)險(xiǎn)管理流程，以促進(jìn)企業(yè)價(jià)值的創(chuàng)造。26.a解析思路：業(yè)務(wù)連續(xù)性計(jì)劃（BCP）的目的是確保在發(fā)生重大中斷事件（如自然災(zāi)害、系統(tǒng)故障、恐怖襲擊等）后，企業(yè)的關(guān)鍵業(yè)務(wù)功能能夠及時(shí)恢復(fù)，從而減少停業(yè)時(shí)間和相關(guān)損失。27.a解析思路：信息安全是操作風(fēng)險(xiǎn)管理的一個(gè)重要組成部分，專注于保護(hù)組織的信息資產(chǎn)（包括數(shù)據(jù)、系統(tǒng)、硬件等）免受未經(jīng)授權(quán)的訪問、使用、披露、破壞、修改或丟失。28.c解析思路：對(duì)沖信用風(fēng)險(xiǎn)常用的方法包括：分散貸款組合（分散到不同行業(yè)、地區(qū)、信用質(zhì)量水平的借款人）、要求借款人提供抵押品或擔(dān)保、設(shè)置信貸限額、購(gòu)買信用保險(xiǎn)或使用信用違約互換（CDS）等。29.c解析思路：信用風(fēng)險(xiǎn)是指由于交易對(duì)手違約而造成的損失風(fēng)險(xiǎn)。選項(xiàng)a（利率風(fēng)險(xiǎn)）、b（匯率風(fēng)險(xiǎn)）、d（股票價(jià)格波動(dòng)風(fēng)險(xiǎn)）都屬于市場(chǎng)風(fēng)險(xiǎn)，是因市場(chǎng)價(jià)格變動(dòng)引起的風(fēng)險(xiǎn)。30.c解析思路：流動(dòng)性風(fēng)險(xiǎn)是指無法以合理價(jià)格及時(shí)獲得足夠資金以滿足義務(wù)的風(fēng)險(xiǎn)。持有大量高流動(dòng)性資產(chǎn)（如現(xiàn)金、短期國(guó)庫(kù)券等）可以增加機(jī)構(gòu)的流動(dòng)性緩沖，從而降低流動(dòng)性風(fēng)險(xiǎn)。增加杠桿會(huì)加劇流動(dòng)性風(fēng)險(xiǎn)。延長(zhǎng)債務(wù)期限會(huì)降低短期流動(dòng)性。減少現(xiàn)金持有會(huì)增加流動(dòng)性風(fēng)險(xiǎn)。31.a解析思路：根據(jù)巴塞爾III框架，銀行的核心資本（Tier1Capital）主要包括普通股股本（CommonEquityTier1,CET1）和留存收益（RetainedEarnings）。這部分資本具有最高的償付優(yōu)先級(jí)，用于吸收銀行破產(chǎn)時(shí)的損失。32.b解析思路：在巴塞爾III框架中，一級(jí)資本（Tier1Capit