FRM真题对于备考中的考生是很重要的，考生一定要做大量的练习，尤其是近几年的真题解析。现在正在备考中，考生一定要掌握相关的量。备考中哪里有FRM真题解析？下文是小编列举的，希望对你有所帮助！
As a risk manager for Bank ABC, John is asked to calculate the market risk capital charge of the bank’s trading portfolio under the internal models approach using the information given in the table below.Assuming the return of the bank’s trading portfolio is normally distributed, what is the market risk charge of the trading portfolio?
VaR (95%, 1-day) of last trading day USD 40,000
Average VaR (95%, 1-day) for last 60 trading days USD 25,000 Multiplication Factor 2》》》戳：免费领取FRM各科视频讲义+历年真题+21年原版书（PDF版）
A) USD 84,582
B) USD 134,594
C) USD 189,737
D) USD 222,893
答案：D
解析：Market Risk Capital Charge = Max [40,000×sqrt(10)/1.65×2.326, 2×25,000×sqrt(10)/1.65×2.326] = 222,893
The following formula defines the capital requirement (c) under the internal models approach to the calculation of market risk under Basel III: C = max {VaRt-1, mc × VaRavg} + max {sVaRt-1, ms × sVaRavg} About this calculation , each of the following is true EXCEPT which is false?
A) The first term is the higher of (i) the previous day’s VaR and (ii) an average of the daily VaR measures on each of the preceding sixty business days, multiplied by a multiplication factor
B) The second term is the higher of (i) the latest available stressed VaR and (ii) an average of the stressed VaR numbers over the preceding sixty business days, multiplied by a multiplication factor 【资料下载】[融跃财经]FRM一级ya题-pdf版
C) The multiplication factors m(c) and m(s) will be set by individual supervisory authorities but subject to an absolute minimum of three
D) The bank can choose to conduct an ex-post backtest on the stressed VaR
only; if the test is successful, both multiplicative factors can be reducted to
one
答案：D
解析：The ex-post backtest applies only to the VaR, not the stressed VaR. Further, the backtest increases (via a “plus”) the m(c) factor by a factor of zero to 1.0; it does not reduce the minimum of 3.0.Essentially, a yellow-zone backtest resultcan imply a minimum factor, m(c), of at least four (4.0=3.0 1.0), or more if the supervisor requires. To review, the capital requirement (c) is given by the following formula:
C = max {VaRt-1, mc ? VaRavg} max {sVaRt-1, ms? sVaRavg} i.e.,the sum of:
The higher of (1) its previous day’s value-at-risk number,VaR(t-1); and (2)an average of the daily value-at-risk measures on each of the preceding sixty business days,VaR(avg), multiplied by a muitiplication factor, m(c),plus The higher of (1) its latest avaliable stressed-value-at-risk sVaR(t-1); and (2)an average of the stressed value-at-risk over the preceding sixty business days,sVaR(avg), multiplied by a muitiplication factor, m(s) In regard to (A), (B) and (C), each is true.
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