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FRM真题哪里有例题解析!

发布时间:2021-08-05

来源:融跃教育

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FRM真题在备考FRM中是很重要的,考生一定要做大量的真题练习。那么,FRM真题哪里有例题解析!

下文是小编列举的相关真题解析,希望对你有所帮助!

Expected shortfall is generally suggested as a better alternative than VaR during market turmoil. Which of the following statements regarding VaR and ES is true?

A) ES leads to more required economic capital than VaR does for the same confidence level.

B) While VaR ensures that the estimate of portfolio risk is less than or equal to the sum of the risks of that portfolio’s positions, ES does not.》》》戳:免费领取FRM各科视频讲义+历年真题+21年原版书(PDF版)

C) Both VaR and ES account for the severity of losses beyond the confidence threshold.

D) ES is relatively easier to backtest than VaR.

答案:A

解析:ES is slowly gaining popularity among financial risk managers. Despite criticism focused on the complexity, computational burden, and backtesting issues associated with expected shortfall, the recent literature suggests that many issues have been resolved or have been identified as less severe than originally expected, including improvements in backtesting methodologies. VaR has been criticized for its lack of subadditivity. Expected shortfall is subadditive.扫码咨询

The quantile-quantile plot is best used for what purpose?

A) Testing an empirical distribution from a theoretical distribution.

B) Testing a theoretical distribution from an empirical distribution.

C) Identifying an empirical distribution from a theoretical distribution.

D) Identifying a theoretical distribution from an empirical distribution.

答案:C 【资料下载】点击下载GARP官方FRM二级练习题

解析:Once a sample is obtained, it can be compared to a reference distribution for possible identification. The QQ plot maps the quantiles one to one. If the relationship is close to linear, then a match for the empirical distribution is found. The QQ plot is used for visual inspection only without any formal statistical test.

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