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求解一道FRM题

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发表于 2012-1-19 17:36:00 | 显示全部楼层 |阅读模式

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Junaid Manzoor has been hired as head of risk management by KDB Asset Management. a small investment firm in Pakistan. Manzoor implements a risk messurement framework to gauge portfolio risk for the firm. Unfortunately, the methodology he implements for risk measurement has changed considerably in recent years and is no longer used internationally. Neither Manzoor nor anyone else at the firm is aware of the changes to risk measurement apporoaches. As a GARP member, has Junaid violated the GARP Code of Conduct?
a. No, this is not a violation of the GARP Code of Conduct because neither Manzoor nor the firm is aware of the changes to risk measurement approaches.
b. No, this is not a violantion as the methodology worked when Manzoor took his FRM exams
c. This is only a violation of the GARP Code of Conduct if investment decisions are made based on Manzoor's risk  reports
d. Yes, this is a violation of the GARP Code of Conduct.






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发表于 2012-1-19 18:00:00 | 显示全部楼层

Answer:d
Explanation:The GARP Code of Conduct states that GARP members should be familiar with current generally accepted risk management practices.
GARP协会的行为准则声明:协会会员应当熟悉当今被普遍接受的风险管理实践。

FRM english:
implement,实施,执行,落实
implement a risk measurement framework to gauge portfolio risk 实施一个风险计量框架来衡量投资组合的风险。
methodology 方法
risk measurement apporoaches 风险测量方法
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