在备考FRM考试中，尤其是冲刺阶段，做大量的FRM真题练习对于考生来说是至关重要的。下面是小编列举的相关真题练习，希望对备考的你有所帮助！

If volatility (0) is the current (today’s) volatility estimate and volatility (t) is the volatility estimate on a previous day (t), which best describes volatility-weighted historical simulation?>>>点击领取2021年FRM备考资料大礼包（戳我免·费领取）

A) First conduct typical historical simulation (HS) on return series. Then multiply VaR by volatility(0)/volatility(t)

B) First conduct typical historical simulation (HS) on return series. Then multiply VaR by volatility(t)/volatility(0)

C) Each historical return (t) is replaced by: return (t)*volatility (0)/volatility (t). Then conduct typical historical simulation (HS) on adjusted return series.

D) Each historical return (t) is replaced by: return (t)*volatility (t)/volatility (0). Then conduct typical historical simulation (HS) on adjusted return series.添加老师微信了解详情

答案：C

解析: Each historical return (t) is replaced by: return(t)×volatility(0)/volatility(t). Then conduct typical historical simulation (HS) on adjusted return series.

Which of the following non-parametric estimators combines the historical simulation model with conditional volatility models?【资料下载】[融跃财经]FRM一级ya题-pdf版

A) Volatility-weighted historic simulation.

B) Correlation-weighted historic simulation.

C) Age-weighted historic simulation.

D) Filtered historical simulation.

答案：D

解析：The filtered historical simulation is the most comprehensive and most complicated of the non-parametric estimators. It contains both the attractions of the traditional historical simulation approach with the sophistication of models that incorporate changing volatility.

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