FRM真題對于備考FRM的考生來說是非常重要的，對學習也是有很好的效果的，考生一定要大量的真題練習！下文是小編列舉的相關真題，希望對你有所幫助！

The annual mean and volatility of a portfolio are 10% and 40%, respectively. The current value of the portfolio is GBP 100,000. How does the 1-year 95% VaR that is calculated using a normal distribution assumption (normal VaR) compare with the 1-year 95% VaR that is calculated using the lognormal distribution assumption (lognormal VaR)?》》》戳：免費領取FRM各科視頻講義+歷年真題+21年原版書（PDF版）

A) Lognormal VaR is greater than normal VaR by GBP 13,040

B) Lognormal VaR is greater than normal VaR by GBP 17,590

C) Lognormal VaR is less than normal VaR by GBP 13,040

D) Lognormal VaR is less than normal VaR by GBP 17,590

答案：C

解析：Normal VaR = |0.1–1.645*0.4| = 0.558;

Lognormal VaR = 1–exp[0.1–1.645*0.4] = 0.4276;

Hence, with a portfolio of GBP 100,000 this translates to GBP 13,040.

The accuracy of a value at risk (VaR) measure:

A) Is included in the statistic.

B) Is complete because the process is deterministic.

C) Is one minus the probability level.

D) Can only be ascertained after the fact.

答案：D

解析：This is a weakness of VAR. The reliability can only be known after some time has passed to see if the number and size of the losses is congruent with the VAR measure.

Ahedge fund portfolio has an expected return of 0.1 percent per day and a 5 percent probability 1-day value at risk (VaR) of $909. Which of the following statement is the best descriptor of this information?

A) The maximum daily loss on the portfolio is $909.

B) The minimum loss for the worst 5% of the days is $909.

C) The portfolio will earn more than $909 only 5% of the time.

D) The minimum daily loss on the portfolio is $909.

答案：B

解析：By definition, VaR is the minimum loss for the worst 5% of the days or the maximum 1-day loss 95% of days.

如果想要獲得更多關于FRM考試的真題解析，點擊在線咨詢或者添加融躍老師微信（rongyuejiaoyu）！