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5月FRM考试正在早鸟价报名中,在报名后考生就需要认真备考了。备考掌握FRM内容,FRM真题练习很关键!

Aportfolio has a current value of $40 million with a mean return of 0.48% and a volatility of 8%.What is the 95% lognormal VaR?

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A) 2.91

B) 3.86

C) 4.76

D) 5.07

答案:C

解析:lognormal VaR = [1 – exp(0.48%-1.645*8%)]*40 = 4.76

IBM’s pension plan has $250 million in assets with an expected return of 12 percent. The last thirty monthly returns are given below. What is the 10 percent monthly probability VaR for IBM’s pension plan?

21.84% -21.50% 31.76% 8.88% -0.78% 17.44%

6.97% 10.00% 2.71% 35.66% 31.07% 18.56%

9.82% -7.94% -0.78% 12.57% 11.77% 8.47%

2.99% 14.35% 14.20% 9.81% 11.03% 22.25%

9.68% 19.55% 8.53% 39.45% 36.15% 10.97%

A) $1,200,000.

B) $3,000,000.

C) $1,950,000.

D) $36,125,850.

答案:C

解析:Sorted monthly returns (from low to high, in columns) are as follows:扫码咨询

-21.50% 2.99% 9.68% 11.03% 17.44% 31.07%

-7.94% 6.97% 9.81% 11.77% 18.56% 31.76%

-0.78% 8.47% 9.82% 12.57% 19.55% 35.66%

-0.78% 8.53% 10.00% 14.20% 21.84% 36.15%

2.71% 8.88% 10.97% 14.35% 22.25% 39.45%

The 10% lowest return is the 4rd value , which is -0.78%

Therefore 10% VAR for the portfolio = 0.0078*250,000,000 = 1,950,000

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