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想要做FRM练习题,哪里有例题解析?

发布时间:2021-08-07 09:16编辑:融跃教育FRM

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备考FRM考试中对于FRM练习题的练习是很有必要的,哪里有例题解析,对于考生来说也是重要的,下面是小编列举的相关例题,一起看看吧!

There are several different methods commonly used to compute value at risk (VaR). Which of the following statements best describes historical VaR? It is:》》》戳:免费领取FRM各科视频讲义+历年真题+21年原版书(PDF版)

A) An analysis that looks for trends in VAR from period to period to predict future VAR.

B) An analysis used by regulators that compares current market risks to historical market risks.

C) Amethod that computes VAR by assuming that losses in the future will occur with the same frequency and magnitude as they have in the past.

D) An analysis used by investors that compares current market risks to historical market risks.

答案:C扫码咨询

解析:This is the basic approach and assumption of historical VaR.

What is the primary difference between historical simulation and bootstrapped historical simulation?

A) Bootstrapping is non-parametric. 【资料下载】点击下载GARP官方FRM二级练习题

B) Bootstrapping can be used to compute both value at risk (VaR) and expected shortfall (ES).

C) Bootstrapping does not require a variance-covariance matrix.

D) Bootstrapping generates multiple samples.

答案:D

解析:In regard to (A), (B) and (C), each are true of both HS and bootstrapped HS (so they are not differences). But while historical simulation computes based on the single sample, bootstrapping generates multiple samples where each sample is drawn with replacement from the original historical data.

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