"Portfolio Management": Risk Management: An Introduction

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來(lái)源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2020/10/13 09:40:05　字體：大小

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Questions 1:

In a good risk management process, the duties of Chief Risk Officer (CRO) least likely include:

A、 setting the risk tolerance of the organization.

B、 participating in the key strategic decisions of the organization.

C、 building the risk framework for the organization.

Questions 2:

For a portfolio consisting of two assets with a correlation coefficient of +1.0, it is most likely that portfolio risk is:

A、 equal to the weighted average of the risk of the two assets in the portfolio.

B、 less than the weighted average of the risk of the two assets in the portfolio.

C、 greater than the weighted average of the risk of the two assets in the portfolio.

View answer resolution

【Answer to question 1】A

【analysis】

A is correct. The CRO will be appointed by the CEO and board to build and manage the risk management system, but the CEO and board remain responsible for determining the risk tolerance of the organization as a whole.

B is incorrect because the CRO will participate in strategic decision making for the organization.

C is incorrect because the CRO will build and manage the risk framework of the organization.

【Answer to question 2】A

【analysis】

A is correct. With a correlation coefficient of +1.0, no diversification benefits are obtained and the portfolio risk is equal to the weighted average of the risk of the two assets in the portfolio.

B is incorrect. Portfolio risk is less than the weighted average of the risk of the two assets in the portfolio only when the correlation coefficient is smaller than one.

C is incorrect. Portfolio risk can never be greater than the weighted average of the risk of the two assets in the portfolio.

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