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FRM真题练习,备考FRM很关键!

发布时间:2022-01-13 09:38来源: 融跃FRM官网

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FRM真题练习,备考FRM很关键!

在FRM的学习中,FRM真题的练习是很关键的。下文是小编列举的相关真题解析,希望对备考的你有所帮助!

Which of the following statements is incorrect regarding bootstrap historical simulation? The bootstrapping technique:

A) Provides less precise estimates of coherent risk measures than historical simulation on raw data alone.

B) Is a simple and intuitive estimation procedure.

C) Draws a sample from the original data set, records the VaR from that particular sample and “returns” the data.

D) Can be performed to estimate the expected shortfall (ES).

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答案:A

解析:Empirical analysis demonstrates that the bootstrapping technique consistently provides more precise estimates of coherent risk measures than historical simulation on raw data alone.

Which of the following items accurately describe a disadvantage of non-parametric methods?

A) Analysis depends critically on forecasted data.

B) Volatile data periods lead to VaR and ES estimates that are too low.

C) Quiet data periods lead to VaR and ES estimates that are too high.

D) Difficult to estimate losses significantly larger than the maximum loss within the data set

答案:D

解析:Disadvantages of non-parametric methods include the following:扫码预约

Analysis depends critically on historical data.

Volatile data periods lead to VaR and ES estimates that are too high.

Quiet data periods lead to VaR and ES estimates that are too low.

Difficult to detect structural shifts/regime changes in the data.

Cannot accommodate plausible large impact events if they did not occur within the sample period.

Difficult to estimate losses significantly larger than the maximum loss within the data set (historical simulation cannot; volatility-weighting can, to some degree).

Need sufficient data, which may not be possible for new instruments or markets

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