FRM例題解析，備考生看過來！

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While building the bank’s enterprise risk management system, a risk analyst takes an inventory of firm risks and categorizes these risks as market, credit, or operational. Which of the following observations of the bank’s data should be considered unexpected if compared to similar industry data?

A) The operational risk loss distribution has a large number of small losses and therefore, a relatively low mode.

B) The operational risk loss distribution is symmetric and fat-tailed.

C) The credit risk distribution is asymmetric and fat-tailed.

D) The market risk distribution is similar to the distribution of the return on a portfolio of securities.

答案：B

解析： Statements (A), (C), and (D) are consistent with industry data. However, with operational risk, there tends to be large numbers of small losses and a small number of large losses, so the distribution is asymmetric (and fat-tailed).

In its efforts to enhance its enterprise risk management function, Countryside Bank introduced a new decision-making process based on economic capital that involves assessing sources of risk across different business units and organizational levels. Which of the following statements regarding the correlations between these risks is correct?

A) Correlations between the risks in the asset and liability sides of the balance sheet can be changed by management decisions.

B) Generally, correlations between broad risk types such as credit, market and operational risk are well understood and are easy to estimate at the individual firm level.

C) Correlations between business units are only relevant in deciding total firm-wide economic capital levels and are not relevant for decisions at the individual business unit or project level.

D) The introduction of correlations into firm-wide risk evaluation will result in a total VaR that, in general, is greater than or equal to the sum of individual business unit VaRs.

答案：A

解析：Management has the ability to influence the correlation between these risks by changing the asset/liability mix, so management decision-making is indeed quite relevant.Across the firm, there is diversification across risk categories: firm-wide VaR is less than the sum of the market risk, credit risk, and operational risk VaRs.

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