备考FRM考试，真题练习是很重要的，尤其是近几年的真题练习！考生一定要做一定的量，下面是小编列举的例题解析，希望对备考的你有所帮助！
The chief risk officer of Martingale Investments Group is planning a change in methodology for some of the risk management models used to estimate risk measures. His aim is to move from models that use the normal distribution of returns to models that use the distribution of returns implied by market prices.》》》2021年新版FRM一二级内部资料免费领取！【精华版】
Martingale Group has a large long position in the German equity stock index DAX, which has a volatility smile that slopes downward to the right. How will the change in methodology affect the estimate of expected shortfall?
A) ES with the updated models will be larger than the old estimate.
B) ES with the updated models will be smaller than the older estimate.
C) ES will remain unchanged.
D) Insufficient information to determine.
解析：Avolatility smile is the common graphical shape that results from plotting the strike price and implied volatility of a group of options with the same expiration date.
Since the volatility smile is downward sloping to the right, the implied distribution has a fatter left tail compared to the lognormal distribution. This means that an extreme decrease in the DAX has a higher probability of occurrence under the implied distribution than the lognormal. The ES will therefore be larger when the methodology is modified.
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