FRM真题是备考FRM的重中之重！

发布时间：2021-08-12 09:15编辑：融跃教育FRM

在备考FRM尤其是冲刺阶段，做大量的真题练习是非常重要的。下面是小编列举的相关真题解析，希望对备考的你有所帮助！

The risk management group estimates the 1-day 99% VaR on a long-only, large-cap equity portfolio using a variety of approaches. Adaily risk report shows the following information: 1-day 99% VaR Estimates (by approach):》》》戳：免费领取FRM各科视频讲义+历年真题+21年原版书（PDF版）

Delta-Normal VaR: USD 441,940

Monte Carlo Simulation VaR: USD 473,906

Historical Simulation VaR: 495,584

Which of the following is the most likely explanation for the variation in VaR estimates?

A) Data problems

B) Differences in model assumptions

C) Endogenous model risk

D) Programming errors

答案：B

解析：VaR measures will vary according to the approach (delta-normal, historical simulation, Monte Carlo simulation). The variation in these values does not suggest bigger problems with data or programming/implementation nor is there any reason to suspect endogenous model risk (e.g., traders gaming the system to lower risk values).

Which of the following items is not one of the advantages of non-parametric simulation methods?【资料下载】点击下载FRM二级思维导图PDF版

A) Data that requires adjustments is often readily available.

B) Intuitive and often computationally simple.

C) Not hindered by parametric violations of skewness.

D) Can accommodate more complex analysis.

答案：A

解析：An advantage of non-parametric methods is that data is often readily available and does not require adjustments (e.g., financial statements adjustments).

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