在FRM二級沖刺階段，回顧錯題是為了更好地鞏固相關概念。從中就能發(fā)現(xiàn)自己錯誤的解題思路，在之后的考試中就不會再犯。高頓網(wǎng)校FRM小編整理了學員們在模擬題中的易錯題，供考生們參考。
　　1.How many of the following statements concerning the capital structure in a securitization are most likely correct?
　　I. The mezzanine tranche is typically the smallest tranche size.
　　II. The mezzanine and equity tranches typicaUy offer fixed coupons.
　　III. The senior tranche typically receives the lowest coupon.
　　A. No statements are correct.
　　B. One statement is correct.
　　C. Two statements are correct.
　　D. Three statements are correct.
　　2.Identify the risks in a convertible arbitrage strategy that takes long positions in convertible bonds hedged with short positions in treasuries and the underlying stock.
　　A. short implied volatility
　　B. long duration
　　C. long stock delta
　　D. positive gamma
　　3.A pool of high yield bonds is placed in an SPV and three tranches (including the equity tranche) of bonds are issued collateralized by the bonds to create a Collateralized Bond Obligation (CBO). Which of the following is true?
　　A. At fair value, the value of the issued bonds should be less than the collateral
　　B. At fair value, the total default probability， weighted by size of issue, of the issued bonds should equal the default probability of the collateral pool
　　C. The equity tranche of the CBO has the least risk of default
　　D. The yield on the low risk tranche must be greater than the yield on the collateral pool
　　Answer:
　　1.B
　　Senior tranches are perceived to be the safest, so they receive the lowest coupon. The equity tranche receives residual cash flows and no explicit coupon. Although the rnezzanine tranche is often thin, the equity tranche is typically the thinnest slice.
　　2.D
　　This position is hedged against interest rate risk, so B is wrong. It is also hedged against directional movements in the stock, so C is wrong. The position is long an option (option to convert the bond into the stock) and so is long implied volatility, so A is wrong. Long options positions have positive gamma.
　　3.B
　　A Collateralized Bond Obligation and the underlying securities must have equal market value, similar cash flow pattern and identical risk, which eliminate choice A in favor of B. The equity tranche has the greatest risk of default; the yield on the low risk tranche must be less than the yield on the collateral pool.