2026年FRM金融风险管理师资格考试（PART Ⅰ）考前冲刺试题及答案二
2025/12/6
来源：易考吧
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2026年FRM金融风险管理师资格考试（PART Ⅰ）考前冲刺试题及答案二,更多相关资讯请继续查看易考吧金融理财师考试教材
1). It is often possible to estimate the Value at Risk of a vanilla European options portfolio by using a delta-gamma methodology rather than exact valuation formulas because：( )
A.delta and gamma are the first two terms in the Taylor series expansion of the change in an option price as a function of the change in the underlying and the remaining terms are often insignificant
B.it is only delta and gamma risk that can be hedged
C.unlike the price， delta and gamma for a European option can be computed in closed form
D.both A and C， but not B
正确答案：A
2). Relative to coupon-bearing bonds of same maturity， zero-coupon bonds are NOT subject to which type of risk？( )
A.Interest rate risk
B.Credit risk
C.Reinvestment risk
D.Liquidity risk
正确答案：C
3). Which of the following scenarios would produce a forecasting model that exhibits perfect multicollinearity？ A model that includes：I Only one seasonal dummy that is equal to 1.II A holiday variation variable that accounts for an “Easter dummy variable.”III A trading-day variation variable for modeling trading volume throughout the year.IV A dummy variable for each season， plus an intercept.( )
A.II only
B.I and III
C.IV only
D.All not
正确答案：C
......
1). It is often possible to estimate the Value at Risk of a vanilla European options portfolio by using a delta-gamma methodology rather than exact valuation formulas because：( )
A.delta and gamma are the first two terms in the Taylor series expansion of the change in an option price as a function of the change in the underlying and the remaining terms are often insignificant
B.it is only delta and gamma risk that can be hedged
C.unlike the price， delta and gamma for a European option can be computed in closed form
D.both A and C， but not B
正确答案：A
2). Relative to coupon-bearing bonds of same maturity， zero-coupon bonds are NOT subject to which type of risk？( )
A.Interest rate risk
B.Credit risk
C.Reinvestment risk
D.Liquidity risk
正确答案：C
3). Which of the following scenarios would produce a forecasting model that exhibits perfect multicollinearity？ A model that includes：I Only one seasonal dummy that is equal to 1.II A holiday variation variable that accounts for an “Easter dummy variable.”III A trading-day variation variable for modeling trading volume throughout the year.IV A dummy variable for each season， plus an intercept.( )
A.II only
B.I and III
C.IV only
D.All not
正确答案：C
......
