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三,更多相关资讯请继续查看易考吧金融理财师考试教材
1). Which of the following reasons does not help explain the problems of LTCM in August and September 1998：( )
A.A spike in correlations
B.An increase in stock index volatilities
C.A drop in liquidity
D.An increase in interest rates on on-the-run Treasuries

正确答案：D
2). A portfolio has a VaR of USD 3 million.There are two possible additional investments.Investment A has a stand-alone VaR of USD 4million and a correlation of zero with the initial portfolio.Investment B has a stand-alone VaR of USD 2 million and is perfectly correlated with the existing portfolio.Which of the following is correct(assuming normal distributions)？( )
A.The VaR of the initial portfolio plus investment A is greater than the VaR of the initial portfolio plus investment B
B.The VaR of the initial portfolio plus investment A is less than the VaR of the initial portfolio plus investment B
C.The VaR of the initial portfolio plus investment A is equal than the VaR of the initial portfolio plus investment B
D.Insufficient information

正确答案：C
3). A risk manager performs an ordinary least squares (OLS)regression to estimate the sensitivity of a stock’s return to the return on the S&P 500.This OLS procedure is designed to：( )
A.Minimize the square of the sum of differences between the actual and estimated S&P500 returns
B.Minimize the square of the sum of differences between the actual and estimated stock returns
C.Minimize the sum of differences between the actual and estimated squared S&P 500returns
D.Minimize the sum of squared differences between the actual and estimated stock returns

正确答案：D

......