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FRM真题练习解析,备考的你看过来!

发布时间:2021-07-22 13:47来源: 融跃教育FRM

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对于备考FRM的考生来说什么是重要的,那当然是做大量的练习题啦!尤其是近几年的FRM真题练习,下文是列举的相关真题解析,备考的你看过来!

Which of the following is a true statement about expected shortfall (ES)?》》》戳:免费领取FRM各科视频讲义+历年真题+21年原版书(PDF版)

A) ES is a coherent spectral measure which gives equal weight to the tail quantiles

B) ES is a coherent spectral measure which gives increasingly greater weight to higher tail quantiles

C) ES is a coherent spectral measure but gives decreasingly less weight to higher tail quantiles

D) ES is coherent, VaR is not coherent, and neither are spectral measures

答案:A

解析:ES is a coherent spectral measure which gives equal weight to the tail quantiles. The general class is spectral measures, which contain a weighting function. Both ES and VaR are special cases of a spectral measure (the spectral function generalized both ES & VaR). Spectral measures are coherent under conditions that are met by ES but not by VaR; “Spectral” is associated with, but does not necessarily imply, coherence.【资料下载】[融跃财经]FRM一级ya题-pdf版

Which of the following statements is true about ES?扫码咨询

A) ES gives decreasingly less weight to higher tail quantiles.

B) ES gives equal weight to the tail quantiles.

C) ES gives increasingly greater weight to higher tail quantiles.

D) ES is not coherent.

答案:B

解析:ES gives equal weight to the tail quantiles.

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