在備考FRM尤其是沖刺階段，做大量的真題練習是非常重要的。下面是小編列舉的相關真題解析，希望對備考的你有所幫助！

The risk management group estimates the 1-day 99% VaR on a long-only, large-cap equity portfolio using a variety of approaches. Adaily risk report shows the following information: 1-day 99% VaR Estimates (by approach):

Delta-Normal VaR: USD 441,940

Monte Carlo Simulation VaR: USD 473,906

Historical Simulation VaR: 495,584

Which of the following is the most likely explanation for the variation in VaR estimates?

A) Data problems

B) Differences in model assumptions

C) Endogenous model risk

D) Programming errors

答案：B

解析：VaR measures will vary according to the approach (delta-normal, historical simulation, Monte Carlo simulation). The variation in these values does not suggest bigger problems with data or programming/implementation nor is there any reason to suspect endogenous model risk (e.g., traders gaming the system to lower risk values).

Which of the following items is not one of the advantages of non-parametric simulation methods?【資料下載】點擊下載FRM二級思維導圖PDF版

A) Data that requires adjustments is often readily available.

B) Intuitive and often computationally simple.

C) Not hindered by parametric violations of skewness.

D) Can accommodate more complex analysis.

答案：A

解析：An advantage of non-parametric methods is that data is often readily available and does not require adjustments (e.g., financial statements adjustments).

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