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五
2025/12/6
来源：易考吧
导语
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五,更多相关资讯请继续查看易考吧金融理财师考试教材
1). Steve， a market risk manager at Marcat Securities， is analyzing the risk of the S&P500 Index options trading desk.His risk report shows the desk is net long gamma and short vega.Which of the following portfolios of options show exposures consistent with this report？( )
A.The desk has substantial long expiry long Call positions and substantial short expiry short Put positions
B.The desk has substantial long expiry long Put positions and substantial long expiry short Call positions
C.The desk has substantial long expiry long Call positions and substantial short expiry short Call positions
D.The desk has substantial short expiry long Call positions and substantial long expiry short Call positions
正确答案：D
2). A large， international bank has a trading book whose size depends on the opportunities perceived by its traders.The market risk manager estimates the one-day VaR， at the 95%confidence level， to be USD 50 million.You are asked to evaluate how good of a job the manager is doing in estimating the one-day VaR.Which of the following would be the most convincing evidence that the manager is doing a poor job， assuming that losses are identically independent distributed？( )
A.Over the last 250 days， there are eight exceedences
B.Over the last 250 days， the largest loss is USD 500 million
C.Over the last 250 days， the mean loss is USD 60 million
D.Over the last 250 days， there is no exceeedence
正确答案：D
3). Which of the following factors do not contribute to the housing bubble？( )
A.Tight monetary policy
B.Financial securitization
C.Increasing demand from foreign investors for US securities
D.Originate-to-distribute banking model
正确答案：A
......
1). Steve， a market risk manager at Marcat Securities， is analyzing the risk of the S&P500 Index options trading desk.His risk report shows the desk is net long gamma and short vega.Which of the following portfolios of options show exposures consistent with this report？( )
A.The desk has substantial long expiry long Call positions and substantial short expiry short Put positions
B.The desk has substantial long expiry long Put positions and substantial long expiry short Call positions
C.The desk has substantial long expiry long Call positions and substantial short expiry short Call positions
D.The desk has substantial short expiry long Call positions and substantial long expiry short Call positions
正确答案：D
2). A large， international bank has a trading book whose size depends on the opportunities perceived by its traders.The market risk manager estimates the one-day VaR， at the 95%confidence level， to be USD 50 million.You are asked to evaluate how good of a job the manager is doing in estimating the one-day VaR.Which of the following would be the most convincing evidence that the manager is doing a poor job， assuming that losses are identically independent distributed？( )
A.Over the last 250 days， there are eight exceedences
B.Over the last 250 days， the largest loss is USD 500 million
C.Over the last 250 days， the mean loss is USD 60 million
D.Over the last 250 days， there is no exceeedence
正确答案：D
3). Which of the following factors do not contribute to the housing bubble？( )
A.Tight monetary policy
B.Financial securitization
C.Increasing demand from foreign investors for US securities
D.Originate-to-distribute banking model
正确答案：A
......
