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FRM真题练习,巩固FRM考试知识点的学习!

FRM考试分为FRM一级考试和FRM二级考试,共有十个科目,在备考之中,考生需要对相关的金融知识有清晰的了解与掌握。学习FRM,建议学网课与做习题一起,这样才能达到想要的效果。才能掌握住FRM考试的知识点,下文是小编列举的FRM真题练习,来帮助你巩固FRM知识点的学习。

Which of the following statements about combating model risk are incorrect?

I. If a position is known to have considerable model risk. Afirm can limit its exposure by imposing a tighter position limit》》》戳:各科视频讲义+历年真题+21年原版书(PDF版)免·费领取

II. If we always choose the model that takes into account the largest number of real-world factors that affect prices. The firm’s exposure to model risk will be reduced

III. Running regular stress tests or scenario analyses to test the volatility. Correlation and liquidity assumptions in model helps reduce model risk

IV. Risk managers should check the trader’s pricing model to ensure that model calibration is up-to-date and that models are upgraded in line with market best practice and to ensure that obsolete models are identified and taken out of use

A) None are true

B) II only

C) I, III and IV

D) I, II and III

答案:B》》》想了解更多21年FRM备考技巧的点我咨询

解析:A. I is correct because by considering potential model risk exposure in setting position limits is one of the institutional methods of dealing with model risk highlighted in the chapter of model risk by Kevin Dowd.

B. II is wrong and take note this is exactly what the question is asking for! Statement (II) is wrong because unnecessary complexity is never a virtue, in fact, exposure to model risk is reduced if  practitioners always choose the simplest reasonable model for the task at hand.

C. III is correct because by running regular stress tests can help to determine prospective losses if the models’assumptions don’t hold and the scenario analyses help to test the degree of dependence on particular assumptions. 【资料下载】[融跃财经]FRM一级ya题-pdf版

D. IV is correct because it has always been risk management best practice to have independent assessment of traders’models by risk managers, and to prevent traders from hiding losses by manipulating their own models. This statement is quoted as a way to combat model risk in the Kevin Dowd’s book.

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