FRM真題在備考FRM中是很重要的，考生一定要做大量的真題練習。那么，FRM真題哪里有例題解析！

下文是小編列舉的相關真題解析，希望對你有所幫助！

Expected shortfall is generally suggested as a better alternative than VaR during market turmoil. Which of the following statements regarding VaR and ES is true?

A) ES leads to more required economic capital than VaR does for the same confidence level.

B) While VaR ensures that the estimate of portfolio risk is less than or equal to the sum of the risks of that portfolio’s positions, ES does not.

C) Both VaR and ES account for the severity of losses beyond the confidence threshold.

D) ES is relatively easier to backtest than VaR.

答案：A

解析：ES is slowly gaining popularity among financial risk managers. Despite criticism focused on the complexity, computational burden, and backtesting issues associated with expected shortfall, the recent literature suggests that many issues have been resolved or have been identified as less severe than originally expected, including improvements in backtesting methodologies. VaR has been criticized for its lack of subadditivity. Expected shortfall is subadditive.

The quantile-quantile plot is best used for what purpose?

A) Testing an empirical distribution from a theoretical distribution.

B) Testing a theoretical distribution from an empirical distribution.

C) Identifying an empirical distribution from a theoretical distribution.

D) Identifying a theoretical distribution from an empirical distribution.

答案：C 【資料下載】點擊下載GARP官方FRM二級練習題

解析：Once a sample is obtained, it can be compared to a reference distribution for possible identification. The QQ plot maps the quantiles one to one. If the relationship is close to linear, then a match for the empirical distribution is found. The QQ plot is used for visual inspection only without any formal statistical test.

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