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FRM考试中FRM真题真的很重要吗?

FRM真题是历年FRM考试习题的集合,有的考生在备考中很重视对FRM真题的练习。尤其是对近几年真题的练习。那么,在实际的考试中FRM真题真的很重要吗?

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Which of the following risks is specifically recognized by the incremental risk charge (IRC)?

A) Expected shortfall risk, because it is important to understand the amount of loss potential in the tail.

B) Jump-to-default risk, as measured by 99.9% VaR, because a default could cause a significant loss for the bank.

C) Equity price risk, because a change in market prices could materially impact mark-to-market accounting for risk.

D) Interest rate risk, as measured by 97.5% expected shortfall, because an increase in interest rates could cause a significant loss for the bank

答案:B

解析:The two types of risk recognized by the incremental risk charge are:添加微信了解详情

(1) credit spread risk

(2) jump-to-default risk. Jump-to-default risk is measured by 99.9% VaR and not 97.5% expected shortfall. 【资料下载】点击下载GARP官方FRM二级练习题

Which of the following characteristics outlined describe the measurement of stressed value at risk?

A) The stressed VaR is calculated on a monthly basis.

B) Historical bank data from the same portfolio is used in measuring SVaR.

C) The stressed confidence interval is a 95% one-tailed test.

D) The multiplication factor used in calculating SVaR is the same as that for VaR.

答案:B

解析: The stressed value at risk should be calculated on a weekly basis. This measure is calculated by combining current portfolio performance data based on the 10-day, 99% confidence interval with firm’s historical data from a significantly financially stressed period of the same portfolio.

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