備考FRM考試，對于真題的練習是很有必要的。尤其是歷年的FRM真題的練習，對于通過FRM考試是很有必要的。下面是小編列舉的，希望對你有所幫助！

Abank holds a portfolio of loans denominated in a foreign currency. The banks separately measures the credit risk and market risk of the portfolio, then determines the portfolio’s economic capital by adding (aggregating) the two risk components. Specifically, the bank determines the portfolio’s economic capital is $30 million because the market risk component is $10 million per a value at risk method and the credit risk component is $20 million per a CVaR method. Consider four statements about this aggregation:

I. As VaR is not subadditive, it is technically possible for the portfolio’s VaR to exceed $10 plus $20 million.

II. As this summation implicitly assumes zero correlation (and zero covariance) between market and credit risk, if their correlation is actually positive, $30 million understates economic capital.

III. There may be “wrong way” risk between the credit and market risk components, in which case the portfolio’s economic capital may be higher than $30 million.

IV. VaR is a quantile, not a tail risk measure. Expected shortfall (ES) should be used, in which case, by definition the portfolio’s economic capital (EC) must be higher than $30 million. Which of the above are ture?

A) I only

B) I and III

C) II and IV

D) All four

答案：B

解析：The most important point is the wrong-way risk: “Amore important reason why aggregate risk may be larger than the sum of its components is independent of thechoice of metric (i.e. it applies to metrics other than VaR) and relates to the economic underpinnings of the portfolios that are pooled. The logic outlined above assumes that covariance (a linear measure of dependence) fully captures and summarizes the dependencies across risks. While this may be a reasonable approximation in many cases, there are instances where the risk interactions are such that the resulting combination may represent higher, not lower, risk. For example, measuring separately the market and credit risk components in a portfolio of foreign currency denominated

loans can underestimate risk, since probabilities of obligor default will also be affected by fluctuation in the exchange rate, giving rise to a compounding effect.【資料下載】[融躍財經]FRM一級ya題-pdf版

Similar types of “wrong-way” interactions could occur in the context of portfolio positions that may be simultaneously affected by directional market moves and the failure of counterparties to a hedging position. From a more “macro” perspective, asset price volatility often interacts with the risk appetite of market participants and feeds back to market liquidity leading to a magnification of risk rather than diversification.” In regard to (II), this is false: summation assumes perfect correlation (1.0) not independence. Summation confers no diversification benefit. In regard to (IV), VaR is a quantile but that neither disqualifies it, per se, as a tail risk measure nor as a EC metric; e.g., a 99.9% VaR is likely higher than a 95% ES.

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