備考FRM的考生都知道FRM真題練習的重要性，尤其是在備考沖刺階段，考生一定要相應的練習！那么，FRM真題練習有例題解析嗎？看下文小編列舉的相關解析！

If the one-day value at risk (VaR) of a portfolio is $50,000 at a 95% probability level, this means that we should expect that in one day out of:

A) 20 days, the portfolio will decline by $50,000 or less.

B) 95 days, the portfolio will lose $50,000.

C) 95 days, the portfolio will increase by $50,000 or more.

D) 20 days, the portfolio will decline by $50,000 or more.

答案：D

解析：A95% one-day portfolio value at risk (VaR) of $50,000 means that in 5 out of 100 (or one out of 20) days, the value of the portfolio will experience a loss of $50,000 or more.

Conditional VaR is best described as the:

A) Loss conditional on specific economic conditions.

B) Loss conditional on specific market conditions.

C) Average loss given that losses exceed the VaR.

D) Loss if new assets are added to the portfolio.

答案：C

解析：The Conditional VaR is the average of the losses that exceed the pre-specified worst case return, which for example may be the pre-specified VaR. 【資料下載】點擊下載GARP官方FRM二級練習題

Aportfolio manager determines that his portfolio has an expected return of $20,000 and a standard deviation of $45,000. Given a 95 percent confidence level, what is the portfolio's VaR?

A) $43,500.

B) $74,250.

C) $94,250.

D) $54,250.

答案：D

解析：|20,000–45,000*1.65| = 54,250

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