備考FRM考試，真題練習是很重要的，尤其是近幾年的真題練習！考生一定要做一定的量，下面是小編列舉的例題解析，希望對備考的你有所幫助！

The chief risk officer of Martingale Investments Group is planning a change in methodology for some of the risk management models used to estimate risk measures. His aim is to move from models that use the normal distribution of returns to models that use the distribution of returns implied by market prices.

Martingale Group has a large long position in the German equity stock index DAX, which has a volatility smile that slopes downward to the right. How will the change in methodology affect the estimate of expected shortfall?

A) ES with the updated models will be larger than the old estimate.

B) ES with the updated models will be smaller than the older estimate.

C) ES will remain unchanged.

D) Insufficient information to determine.

答案：A 【資料下載】點擊下載FRM二級思維導圖PDF版

解析：Avolatility smile is the common graphical shape that results from plotting the strike price and implied volatility of a group of options with the same expiration date.

Since the volatility smile is downward sloping to the right, the implied distribution has a fatter left tail compared to the lognormal distribution. This means that an extreme decrease in the DAX has a higher probability of occurrence under the implied distribution than the lognormal. The ES will therefore be larger when the methodology is modified.

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）！