备考FRM考试的考生应该都清楚，FRM真题的重要性，平常的学习中，考生千万不能忘记对对题的练习！下文是小编列举的相关真题解析，一起了解一下！
VaR is prone to violate which of the following coherence property?》》》戳：免费领取FRM各科视频讲义+历年真题+21年原版书（PDF版）
A) Monotonicity
B) Subadditivity
C) Positive Homogeneity
D) Translational invariance
答案：B
解析：VaR is not a coherent risk measure since it violates subadditivity sometimes.
Derivation Inc. has a portfolio of $100 MM. The expected return over one year
is 6 percent, with a standard deviation of 8 percent. What is the VaR for this
portfolio at the 99 percent confidence level?
A) $2.0 MM.
B) $7.2 MM.
C) $12.6 MM.
D) $12.1 MM.
答案：C
解析：VaR = $100 MM* |0.06 – 2.33*0.08|= $12.64 MM
Value at risk (VAR) is a benchmark associated with a given probability. The actual loss:
A) May be much greater. 【资料下载】点击下载融跃教育FRM二级学习计划
B) Cannot exceed this amount.
C) Is expected to be the average of the expected return of the portfolio and VaR.
D) Will have an inverse relationship with VaR.
答案：A
解析：VaR is a benchmark that gives an estimate of what magnitude of loss would not be unusual. The actual loss for any given time period can be much greater.
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