備考FRM的考生應該清楚FRM真題的重要性，尤其是近幾年的真題練習。有的考生是想要FRM真題練習，不知道哪里有例題解析？

下面是小編列舉的相關真題練習，希望對備考中的有所幫助：

All of the following approaches improve the traditional historical simulation approach for estimating VaR except the:

A) Volatility-weighted historical simulation.

B) Age-weighted historical simulation.

C) Market-weighted historical simulation.

D) Correlation-weighted historical simulation.

答案：C

解析：Age-weighted historical simulation weights observations higher when they appear closer to the event date. Volatility-weighted historical simulation adjusts for changing volatility levels in the data. Correlation-weighted historical simulation incorporates anticipated changes in correlation between assets in the portfolio.

Which of the following statements about volatility-weighting is true?

A) Historic returns are adjusted, and the VaR calculation is more complicated.

B) Historic returns are adjusted, and the VaR calculation procedure is the same.

C) Current period returns are adjusted, and the VaR calculation is more

complicated. 【資料下載】點擊下載GARP官方FRM二級練習題

D) Current period returns are adjusted, and the VaR calculation is the same.

答案：B

解析：The volatility-weighting method adjusts historic returns for current volatility. Specifically, return at time t is multiplied by (current volatility estimate/volatility estimate at time t). However, the actual procedure for calculating VaR using a historical simulation method is unchanged; it is only the inputted data that changes.

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