R88 练习: 风险管理入门
考纲范围
- Define risk management. 定义：风险管理
- Describe features of a risk management framework. 描述：风险管理框架的特点
- Define risk governance and describe elements of effective risk governance. 定义：风险治理；描述：有效风险治理的要素
- Explain how risk tolerance affects risk management. 说明：风险承受能力如何影响风险管理
- Describe risk budgeting and its role in risk governance. 描述：风险预算，及其在风险治理中的作用
- Identify financial and non-financial sources of risk and describe how they may interact. 识别：金融风险和非金融风险的来源；描述：它们如何相互作用影响
- Describe methods for measuring and modifying risk exposures and factors to consider in choosing among the methods. 描述：测量和调整风险敞口的方法，以及在选择这些方法时要考虑的因素
Q1.
Which of the following do investors have the greatest control over their investment portfolios?
A. Gross realized return.
B. Net return.
C. Risk.
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答案：C
解析：投资者对风险的控制能力最大。虽然回报是不确定的，但投资者可以通过选择资产配置、分散化程度和对冲策略来主动管理和控制组合的风险水平。总回报和净回报受市场波动影响，投资者无法完全控制。
选项 判断 解析 A ✗ 总回报受市场因素影响，投资者无法控制 B ✗ 净回报受市场和成本影响，控制能力有限 C ✓ 投资者可以通过资产配置和对冲策略主动管理风险
Q2.
Which of the following activities is consistent with the objective of risk management?
A. Reduce the risk exposure of specific investments to match the organization’s risk tolerance level.
B. Avoid all possible risks which the organization faces.
C. Take as little risk as possible to ensure the safety of the organization.
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答案：A
解析：风险管理的目标不是消除所有风险或将风险最小化，而是将风险敞口调整到与组织风险承受能力相匹配的水平。适当的风险承担是获取回报的必要条件。
选项 判断 解析 A ✓ 将风险敞口调整到与风险承受能力匹配是风险管理的核心目标 B ✗ 风险管理不是要避免所有风险 C ✗ 风险管理不是要最小化风险，而是要优化风险-回报的平衡
Q3.
An overall risk management framework encompasses several activities except:
A. Performing risk governance.
B. Identifying and measuring risk limited to what is going on in the financial markets.
C. Monitoring, mitigating, and managing risks.
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答案：B
解析：风险管理框架包括风险治理、风险识别和度量、风险监控、缓释和管理等活动。风险识别和度量不应仅限于金融市场中的风险，还应包括非金融风险（如运营风险、模型风险、法律风险等）。
选项 判断 解析 A ✗ 风险治理是风险管理框架的组成部分 B ✓ 风险识别不应仅限于金融市场，还应包含非金融风险 C ✗ 监控、缓释和管理风险是框架的组成部分
Q4.
Which of the following best characterizes activities that are facilitated by a risk infrastructure?
A. Risk budgeting, tracking, and analysis.
B. Risk tolerance determination, measurement, and monitoring.
C. Risk tracking, measurement, reporting.
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答案：C
解析：风险基础设施（risk infrastructure）支持的活动包括风险跟踪（tracking）、风险度量（measurement）和风险报告（reporting）。风险承受能力的确定属于风险治理层面。风险预算属于更高层次的决策。
选项 判断 解析 A ✗ 风险预算属于更高层次的治理决策 B ✗ 风险承受能力确定属于治理层面 C ✓ 风险基础设施支持跟踪、度量和报告活动
Q5.
In risk management, the element that quantifies and allocates the tolerable risk is:
A. risk budgeting.
B. risk tolerance.
C. risk appetite.
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答案：A
解析：风险预算（risk budgeting）是量化和分配可容忍风险的过程。风险承受能力（risk tolerance）确定组织能接受的总体风险水平。风险偏好（risk appetite）是对风险的总体态度。风险预算则具体将风险承受能力分配到各个业务线或投资组合。
选项 判断 解析 A ✓ 风险预算量化并分配可容忍的风险 B ✗ 风险承受能力确定总体风险水平，不负责分配 C ✗ 风险偏好是对风险的总体态度
Q6.
The risk management process involves evaluating the actual risk compared with the company’s risk tolerance. If the answer is “Out of line with the risk tolerance”, which of the following action need to be taken?
A. Risk identification and risk measurement.
B. Risk monitoring, risk mitigation, risk management, and communication.
C. Defining risk tolerance and providing risk oversight.
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答案：B
解析：当实际风险超出风险承受能力时，需要采取积极的风险缓释和管理措施，并进行沟通。这包括风险监控、风险缓释（如对冲、减仓等）、风险管理和向相关方报告。风险识别和度量是发现问题的步骤，定义风险承受能力是前期的治理步骤。
选项 判断 解析 A ✗ 风险识别和度量是发现问题的步骤，而非应对措施 B ✓ 风险超限时需要监控、缓释、管理和沟通 C ✗ 定义风险承受能力是前期治理步骤
Q7.
About risk governance, which of the following statements is least likely correct?
A. Risk governance is the basis of risk management.
B. Risk governance is an activity at the bottom level of risk management.
C. Risk governance should include setting risk tolerance for the organization.
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答案：B
解析：风险治理（risk governance）是风险管理的顶层活动（top-level activity），由董事会和高级管理层负责，而非底层活动。风险治理是风险管理的基础，包括设定组织的风险承受能力。
选项 判断 解析 A ✗ 风险治理确实是风险管理的基础 B ✓ 风险治理是顶层（top-level）活动，不是底层活动 C ✗ 设定风险承受能力确实是风险治理的职能
Q8.
Which of the elements of effective risk governance is least correct?
A. Enterprise risk management.
B. Risk appetite.
C. Communication.
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答案：B
解析：有效风险治理的要素包括：企业风险管理（ERM）、沟通（communication）、以及风险承受能力（risk tolerance，而非 risk appetite）。Risk appetite 是对风险的总体态度，而 risk tolerance 是更具操作性的风险限度设定。在有效风险治理的标准要素中，risk appetite 不如其他两个直接。
选项 判断 解析 A ✗ 企业风险管理是有效风险治理的重要要素 B ✓ 风险偏好不是有效风险治理的标准要素 C ✗ 沟通是有效风险治理的重要要素
Q9.
An effective risk governance strategy at a large global bank requires strong participation by the board of directors. Which of the following duties should be the responsibility of the board of directors?
A. Directs risk management activities to align with and support the goals of the overall enterprise.
B. Developing quantitative formulas for management to use to determine whether a risk should be hedged.
C. Defining and running stress tests and scenarios to assess the bank’s vulnerability to a severe financial downturn.
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答案：A
解析：董事会的职责是从战略层面指导风险管理活动，确保其与企业整体目标一致。开发量化公式和运行压力测试是管理层或风险管理团队的具体操作工作，而非董事会的职责。
选项 判断 解析 A ✓ 指导风险管理活动与企业目标对齐是董事会的战略职责 B ✗ 开发量化公式是管理层/风险团队的操作工作 C ✗ 运行压力测试是风险管理团队的具体工作
Q10.
Which of the following statements most accurately describes enterprise risk management (ERM)?
A. Separately manage individual risks within an organization.
B. Since ERM is a comprehensive view of company risk, thus the total risk measured under ERM is higher than the sum of risks measured individually.
C. Decisions are made on an overall basis.
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答案：C
解析：企业风险管理（ERM）是一种综合性的风险管理方法，从整体角度（而非分别管理各个风险）做出决策。由于不同风险之间可能存在对冲效应，ERM 下的总风险通常低于（而非高于）各个风险单独衡量之和。
选项 判断 解析 A ✗ ERM 是综合管理，不是分别管理各个风险 B ✗ 由于对冲效应，ERM 下的总风险通常低于各风险之和 C ✓ ERM 从整体角度做出决策
Q11.
Which of the following statements regarding risk tolerance is correct?
I. Risk tolerance directly impacts the allocation of resources.
II. Risk appetite is the firm’s tolerance, especially its ability to accept risks.
III. Risk tolerance is determined by some factors, such as the company’s expertise in its lines of business, and its skill at responding to negative events.
A. I only.
B. Both I and II.
C. Both I and III.
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答案：C
解析：Statement I 正确：风险承受能力直接影响资源配置。Statement II 错误：风险偏好（risk appetite）不等于风险承受能力（risk tolerance），risk appetite 是更广义的风险态度。Statement III 正确：风险承受能力取决于公司在业务领域的专长和应对负面事件的能力等因素。
选项 判断 解析 A ✗ Statement III 也是正确的 B ✗ Statement II 混淆了 risk appetite 和 risk tolerance C ✓ Statement I 和 III 正确
Q12.
After establishing risk tolerance, the risk management framework should:
A. get the risk exposure in line with the enterprise’s risk appetite.
B. analyze the factors contributing to risks.
C. identifies the extent to which the company is willing to experience losses.
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答案：A
解析：建立风险承受能力后，风险管理框架的下一步是确保实际风险敞口与企业的风险偏好一致。分析风险因素是风险识别阶段的工作。确定公司愿意承受的损失程度属于风险承受能力设定本身。
选项 判断 解析 A ✓ 使风险敞口与风险偏好保持一致 B ✗ 分析风险因素属于风险识别阶段 C ✗ 确定损失承受程度属于风险承受能力的设定过程本身
Q13.
Which of the following statements about risk budgeting is incorrect?
A. Risk budgeting provides a more detailed plan about how the risk should be allocated.
B. Risk budgeting guides the implementation of the board’s risk appetite decision.
C. Risk budgeting can be applied to business management but not to portfolio management.
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答案：C
解析：风险预算既可以应用于企业管理也可以应用于投资组合管理。在投资组合管理中，风险预算将总体风险预算分配到不同的资产类别或策略中。
选项 判断 解析 A ✗ 正确：风险预算提供详细的风险分配计划 B ✗ 正确：风险预算指导董事会风险偏好决策的实施 C ✓ 错误：风险预算同时适用于企业管理和投资组合管理
Q14.
The pension fund is considering the risk budget among the two portfolios. Which of the following is not in line with the principles of risk budgeting in portfolio management?
A. The annual VaR risk budget for the whole fund is set at $10 million.
B. Risk budget could be allocated to each portfolio, and the investments for each portfolio could be allocated accordingly.
C. Hedging the portfolio is not allowed.
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答案：C
解析：风险预算的原则允许使用对冲来管理风险。如果组合的风险超出预算，对冲是合理的风险管理工具。禁止对冲与风险预算的原则不符。
选项 判断 解析 A ✗ 设定总体 VaR 预算是风险预算的正常做法 B ✗ 将风险预算分配到各组合是风险预算的核心功能 C ✓ 禁止对冲与风险预算原则不符，对冲是合理的风险管理工具
Q15.
A manufacturing company faces repayments on bank loans in the coming week. However, due to the downturn in the economic cycle, companies cannot make enough profits to repay bank loans. Unfortunately, the company is unable to obtain sufficient cash. Therefore, to quickly obtain cash and repay debts, companies can only sell fixed equipment at a discount. Which of the following risks is the company exposed to?
A. Operational risk.
B. Liquidity risk.
C. Solvency
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答案：B
解析：该公司面临的是流动性风险（liquidity risk）。公司有资产（固定设备）但无法以合理价格快速变现以满足短期债务偿还需求。被迫折价出售资产是流动性风险的典型表现。偿付风险（solvency risk）是指长期负债超过资产。运营风险与内部流程相关。
选项 判断 解析 A ✗ 运营风险与内部流程、系统或人员失误相关 B ✓ 无法以合理价格快速变现以满足短期需求 = 流动性风险 C ✗ 偿付风险是长期负债超过资产的情况
Q16.
A bank’s risk committee is reviewing the bank’s most significant loss events, and categorizing each event into specific risk categories. In one case, Rosenfeld Corporation fails to pay interest and principal on a bank loan. This situation would be an example of:
A. Market risk
B. Credit risk
C. Liquidity risk
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答案：B
解析：借款人未能支付贷款的利息和本金，这是信用风险（credit risk）的直接表现。信用风险是交易对手未能履行合约义务的风险。
选项 判断 解析 A ✗ 市场风险是资产价格波动的风险 B ✓ 借款人违约是信用风险的典型表现 C ✗ 流动性风险是无法以合理价格快速变现的风险
Q17.
All of the following should be classified as operational risk events except:
A. a sale of a basket of securities is recorded as a purchase.
B. a monthly volatility is used as input to a model that requires daily volatility as input.
C. a loss is incurred because a portfolio manager relied on an analyst’s optimistic forecast.
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答案：C
解析：选项A是交易记录错误（操作风险），选项B是模型输入错误（操作风险/模型风险）。选项C是因为依赖了过于乐观的预测而产生的损失，这更多是模型风险或判断错误导致的投资风险，而非操作风险。
选项 判断 解析 A ✗ 交易记录错误是典型的操作风险 B ✗ 模型输入错误属于操作风险/模型风险 C ✓ 依赖乐观预测产生的损失不属于操作风险
Q18.
A fund manager attempts to use a dividend discount model to price the stock by using the assumption of constant dividend growth. However, the dividend growth is not constant. This is an example of:
A. Market risk.
B. Model risk.
C. Financial risk.
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答案：B
解析：使用不恰当的假设（假设股息恒定增长，但实际并非如此）来估值，这是模型风险（model risk）的典型表现。模型风险来源于模型本身的缺陷或模型假设与现实不符。
选项 判断 解析 A ✗ 市场风险是资产价格波动的风险 B ✓ 模型假设不当导致估值偏差是模型风险 C ✗ 金融风险是一个更宽泛的概念
Q19.
Which of the following examples illustrates the interactions among risks most accurately?
A. When a country experiences political instability, credit spreads of the corporation bonds tend to increase.
B. A decline in a US stock coincides with a decline in a Brazilian stock.
C. As the decline in the value of mortgage-backed securities (MBS), Lehman Brothers faced difficulties in obtaining funding as investors became wary of the quality of their assets. The institutions had to sell off assets at distressed prices to meet their funding needs.
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答案：C
解析：选项C最准确地展示了风险之间的相互作用：市场风险（MBS价值下降）导致信用风险（投资者对资产质量的担忧）和流动性风险（难以获得融资，被迫折价出售资产）。这是一个完整的风险传导链。
选项 判断 解析 A ✗ 展示了政治风险对信用风险的影响，但相互作用较简单 B ✗ 只是展示了同向波动（相关性），而非风险的相互作用 C ✓ 完整展示了市场风险→信用风险→流动性风险的传导链
Q20.
Which of the following concepts directly measures the interest rate sensitivity of a fixed-income instrument?
A. Probability.
B. Delta and gamma.
C. Duration.
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答案：C
解析：久期（duration）直接衡量固定收益工具对利率变动的敏感性。Delta 和 gamma 是期权的风险度量指标（delta 衡量期权价格对标的资产价格的敏感性，gamma 衡量 delta 的变化率）。概率是统计概念。
选项 判断 解析 A ✗ 概率是统计概念，不直接衡量利率敏感性 B ✗ Delta 和 gamma 是期权的风险度量指标 C ✓ 久期直接衡量固定收益工具对利率变动的敏感性
Q21.
Lucy, a risk manager of Silver Investment, reports to her boss that the 1-day VaR of their portfolio at 5% is $1 million. Which of the following statements is TRUE?
A. Daily loss on the portfolio is at least $1 million in 95 out of the next 100 days.
B. Daily loss on the portfolio is at most $1 million in 10 out of the next 200 days.
C. Daily loss on the portfolio is at least $1 million in 15 out of the next 300 days.
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答案：C
解析：1天期、5%置信水平的VaR为100万美元，意味着在任何一天有5%的概率损失超过100万美元。
计算过程：
- 选项A：95/100天 = 95% 的天数损失超过100万，这远超5%的概率，错误
- 选项B：10/200天 = 5% 的天数损失至多（at most）100万，措辞不对。VaR说的是损失”至少”100万
- 选项C：15/300天 = 5% 的天数损失至少100万，正确
选项 判断 解析 A ✗ 95% 的天数损失超过100万远高于5%的VaR概率 B ✗ “at most” 表述不正确，VaR 指的是损失”至少”达到的金额 C ✓ 15/300 = 5%，且”至少100万”正确描述了VaR的含义
Q22.
Jimmy Wang is the CFO of a manufacturing firm. She is currently in the process of diversifying the firm’s investment portfolio by varying the correlations and asset classes among securities. Diversification is best characterized as which of the following risk treatments?
A. Risk prevention.
B. Risk acceptance.
C. Risk shifting.
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答案：A
解析：分散化通过降低组合中的非系统性风险来预防（prevent）潜在的损失集中风险。这属于风险预防（risk prevention）方法。风险接受是不采取行动。风险转移是通过保险或衍生品将风险转嫁给他人。
选项 判断 解析 A ✓ 分散化通过降低非系统性风险来预防损失集中 B ✗ 风险接受是不采取行动，接受风险 C ✗ 风险转移是通过工具将风险转嫁给他人
Q23.
Which of the following financial instruments is widely used to transfer risk?
A. Insurance
B. Derivative
C. Bank account
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答案：B
解析：衍生品（derivatives）如期权、期货、互换等是金融市场中广泛使用的风险转移工具。保险虽然也能转移风险，但它不是”金融工具”（financial instrument），而是保险合约。银行账户不用于风险转移。
选项 判断 解析 A ✗ 保险是风险转移手段但不属于典型的金融工具 B ✓ 衍生品是广泛使用的金融风险转移工具 C ✗ 银行账户不用于风险转移
Q24.
The criterion for choosing among risk-modification methods is:
A. Avoid risks that provide low benefits.
B. Minimizing risk at the lowest cost.
C. Comparison of the costs and benefits of risk modification, while making sure that the risk profile matches the risk tolerance.
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答案：C
解析：选择风险调整方法的标准是比较成本和收益，同时确保风险状况与风险承受能力匹配。不是简单地避免低收益风险或以最低成本最小化风险，而是在成本效益分析的基础上做出最优决策。
选项 判断 解析 A ✗ 过于简单化，不是选择方法的主要标准 B ✗ 目标不是最小化风险，而是使风险与承受能力匹配 C ✓ 比较成本和收益，确保风险状况与风险承受能力匹配