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FRM真題練習(xí)，幫助考生順利通關(guān)！

發(fā)布時(shí)間：2022-02-07 09:21編輯：融躍教育FRM

FRM真題考生在備考中一定要做一定的量，并且也要保證質(zhì)。這對(duì)于考生通關(guān)考試是很重要的。下面是列舉的相關(guān)真題，希望對(duì)備考生有所幫助！

The International Bank has backtested its VaR models and has found four exceptions. Under the Basel Committee Penalty Zone rules, how would this be classified and what would be the associated VAR multiplier?

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A) Green zone greater than 3

B) Yellow zone Multiplier of 3

C) Yellow zone Multiplier greater than 3

D) Green zone Multiplier of 3

答案：D

解析：The Green Zone is for up to 4 exceptions, Yellow being 5 – 9, and Red 10 or more. Green has a multiplier of 3, Yellow ranges from 3.4 to 3.85, and Red is 4.

The Basel market risk charges require VaR to be computed over a horizon of:

A) At least one year.

B) Two calendar weeks or ten trading days.

C) At least three months.

D) One month or 21 trading days.

答案：B

解析：The Basel Accord requires VaR to be calculated over a 2-week period or 10 trading days.

Basel II requires a backtest at a 99% confidence level of a bank’s internal value at risk (VaR) model (IMA). Assume the bank’s ten-day 99% VaR is $1 million (minimum of 99% is hard-wired per Basel). The null hypothesis is: the VaR model is accurate. Out of 1,000 observations, 25 exceptions are observed (we saw the actual loss exceed the VaR 25 out of 1000 observations).掃碼領(lǐng)取

A) We will probably call the VaR model good (accurate) but we risk a Type I error.

B) We will probably call the VaR model good (accurate) but we risk a Type II error.

C) We will probably call the model bad (inaccurate) but we risk a Type I error.

D) We will probably call the model bad (inaccurate) but we risk a Type II error.

答案：C

解析：We reject the model . Null = good model. To decide the model is bad model is to reject null and this implies a risk of type I error.

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