FRM真題在備考中是很關鍵的，是考生必做的。尤其是近幾年的FRM真題，考生一定要多加練習！下面是小編列舉的相關真題，希望對備考的你有所幫助！

Consider an asset worth USD 1 million whose 95th percentile VaR is USD 100,000 (computed using the parametric method assuming the normal distribution). Suppose the bid-ask spread (which is also normally distributed) on the asset has a mean of 0.10 and a standard deviation of 0.30. What is the 95th percentile liquidity adjusted VaR assuming the confidence parameter of thespread is equal to 1.96?

A) USD 200,000

B) USD 344,000

C) USD 444,000

D) USD 688,000

答案：C

解析：100,000 + 0.5 × (0.10 + 0.30 × 1.96) × 1,000,000 = 444,000

Atrader observes a quote for Stock ZZZ, and the midpoint of its current best bid and best ask prices is CAD 35. ZZZ has an estimated daily return volatility of 0.25% and average bid-ask spread of CAD 0.1.Assuming the returns of ZZZ are normally distributed, what is closest to the estimated liquidity-adjusted, 1-day 95% VaR, using the constant spread approach on a 10,000 share position?

A) CAD 1,000

B) CAD 1,940

C) CAD 3,000

D) CAD 4,000

答案：B

解析：LVaR = 35×10,000×1.645×0.25% + 0.5×35×10,000×0.1/35 = 1940

Asset liquidity risk is most pronounced for

A) a $10 million position in distressed securities

B) a $10 million position in Treasury bonds

C) a $100 million position in distressed securities

D) a $100 million position in Treasury bonds

答案：C

解析：Asset liquidity risk is a function of the size of the position and the intrinsic liquidity of the instrument. Distressed securities trade much less than Treasury bonds, and so have more intrinsic liquidity.A$100 million position is more illiquid than a $10 million position in the same instrument.

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