FRM真题解析，考生备考必不可少！

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Within the Basel penalty zones, which of the following multipliers would most likely apply to a yellow zone with five to nine exceptions?

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A) 3.65.

B) 4.00.

C) 3.35.

D) 3.00.

答案：A

解析：The yellow zone applies for five to nine exceptions with multiplier ranges from 3.40 to 3.85. The green zone applies for zero to four exceptions with a multiplier of 3.00. The red zone applies for ten or more exceptions with a multiplier of 4.00.

In the Basel framework, a penalty is given to banks that have more than four exceptions to their 1-day 99% VaR over the course of the last 250 trading days. Which of the following causes of exceptions is most likely to lead to a penalty?

A) Alarge move in interest rates was combined with a small move in correlations.

B) The bank’s model calculates interest rate risk based on the median duration of the bonds in the portfolio.

C) Asudden market crisis in an emerging market, which leads to losses in the equity positions in that country.

D) Asudden devastating earthquake that caused major losses in the bank’s key area of operation.

答案：B

解析：In the case of a bank that changed positions more frequently during the day, a penalty should be considered, but it is not necessarily given. In the case of bad luck, no penalty is given, as would be the case for a bank affected by unpredictable movements in rates or markets. However, when risk models are not precise enough, a penalty is typically given since model accuracy could have easily been improved.

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