Free GARP FRM-Part-2 Exam Questions

AlphaStop sponsors a defined benefits pension plan. The company’s pension plan riskmanagement system generates reports based on movements in the assets and the surplus. Thepension management plan is not integrated with the firm's financial goals. The management hasaccess to daily risk reports, and the board receives monthly risk reports. Which of the followingis an accurate statement?

A group of risk managers in a newly established asset management firm is assignedto implement the risk management process that includes three fundamentaldimensions: risk planning, risk budgeting and risk monitoring. The managers startby discussing the components of and the guidelines included in the risk plan. Whichof the following statements is correct?

The advanced internal ratings-based (A-IRB) approach for credit risk will no longer be permissible to use under the Basel III reforms for each of the following except:

Assume that a credit rating of A has a default probability of 0.07%, and a credit rating of AA has a default probability of 0.04%. If a bank is seeking a target rating of A, it will want to ensure that its economic capital will cover unexpected losses at a confidence level of:

A portfolio has an equal amount invested in two positions, X and Y. The expected excess return of X is 9% and that of Y is 12%. Their marginal VaRs are 0.06 and 0.075, respectively. To move toward the optimal portfolio, the manager will probably: