面對(duì)FRM二級(jí)的試題時(shí)，需要明晰知識(shí)點(diǎn)的相關(guān)概念。FRM二級(jí)中計(jì)算題沒有一級(jí)多，考察實(shí)際應(yīng)用較多，因此考生們必須要熟悉相關(guān)的知識(shí)點(diǎn)的運(yùn)用。高頓網(wǎng)校FRM小編搜集了一些常見易錯(cuò)題，供考生們參考。
　　1.A risk analyst in a fund of funds is gauging the liquidity risk exposure of a hedge fund by examining the autocorrelation in the fund's returns. If found, a significant first-order autocorrelation coefficient of 0.5 for the monthly historical returns can be seen as an indicator of all of the following except:
　　A. High market frictions.
　　B. Historical return smoothing.
　　C. Engaging in a managed futures strategy.
　　D. Investments in the equity of non-public firms.
　　2.Under the Basel II Capital Accord, the standardized approach to credit risk requires that loans considered past due be risk weighted at:
　　A. 100%
　　B. 200%
　　C. 150%
　　D. 80%
　　3.MainBank is a bank holding company with two subsidiaries, ElmBank and OakBank. ElmBank is an internationally active bank. OakBank is also an intemationally active bank, and OakBank has an insurance subsidiary. The application ofthe Basel II framework in tbis situation should be to:
　　I. ElmBank on a standalone basis.
　　II. MainBank on a consolidated basis.
　　III. OakBank's insurance subsidiary on a standalone basis.
　　IV. Oak Bank without consolidating the insurance subsidiary.
　　A. I and III only
　　B. I and II only
　　C. III only
　　D. I, II, III and IV
　　Answer:
　　1.C
　　Autocorrelation (自相關(guān)): 殘差項(xiàng)之間存在correlation,市場(chǎng)越有效, 自相關(guān)發(fā)生的可能性越小。
　　2.C
　　Under the Basel II Accord, loans considered past due are risk weighted at 150% to reflect their
　　greater risk profile.
　　3.B
　　Related businesses such as insurance should be consolidated. The Accord calls on supervisors to look at not only the holding company, but also at each individual banking subsidiary to assure that the depositors of those subsidiaries are adequately protected by capital.