FRM真题例题,有必要做吗?这是在备考FRM中很多考生所关注的问题,其实小编想要告诉大家的是,FRM真题例题,是很有必要做的。下面是小编列举的相关真题解析,希望对你有所帮助!

The VaR at a 95% confidence level is estimated to be 1.56 from a historical simulation of 1,000 observations. Which of the following statements is most likely true?

E) The parametric assumption of normal returns is correct.>>>点击领取2021年FRM备考资料大礼包(戳我免·费领取)

F) The parametric assumption of lognormal returns is correct.

G) The historical distribution has fatter tails than a normal distribution.

H) The historical distribution has thinner tails than a normal distribution.

答案:D

解析:The historical simulation indicates that the 5% tail loss begins at 1.56, which is less than the 1.65 predicted by a standard normal distribution. Therefore, the historical simulation has thinner tails than a standard normal distribution.

The VaR at a 99% confidence level is estimated to be 2.56 from a historical simulation of 1,000 observations. Which of the following statements is most likely true?  【资料下载】[融跃财经]FRM一级ya题-pdf版

A) The parametric assumption of normal returns is correct.

B) The parametric assumption of lognormal returns is correct.

C) The historical distribution has fatter tails than a normal distribution.

D) The historical distribution has thinner tails than a normal distribution.扫码预约

答案:C

解析:The historical simulation indicates that the 1% tail loss begins at 2.56, which is over 2.33 predicted by a standard normal distribution. Therefore, the historical simulation has fatter tails than a standard normal distribution.

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