FRM真題練習對于備考生真的重要嗎？這是近幾天小編所收到的問題。關于答案當然是很重要了，尤其是做大量的真題練習！下面是小編所列舉的，希望對你有所幫助！

You are a manager of a renowned hedge fund and are analyzing a 1,000 share position in an undervalued but illiquid stock BNA, which has a current stock price of USD 80 (expressed as the midpoint of the current bid-ask spread). Daily return for BNA has an estimated volatility of 1.54%. The average bid-ask spread is USD 0.10.Assuming returns of BNA are normally distributed, what is the estimated liquidity-adjusted daily 95% VaR, using the constant spread approach?

A) USD 1,389

B) USD 2,076

C) USD 3,324

D) USD 4,351

答案：B

解析：The constant spread approach adds half of the bid-ask spread (as a percent) to the VaR calculation: Daily 95% VaR = 80,000 (1.645 × 0.0154) = USD 2026.64

Liquidity cost (LC) = 80,000 × (0.5 × 0.10/80) = 50 LVaR = VaR + LC = 2076.64

Dowd defines a ratio of LVaR/VaR. Which of the following should be true about this ratio?

A) It should fall in proportion with the assumed spread

B) It should fall as the confidence level increases

C) It should rise as the holding period increases

D) It should be invariant to assumed spread, confidence level and holding period

答案：B

解析：Dowd: “It is easy to show that the liquidity adjustment (a) rises in proportion with the assumed spread, (b) falls as the confidence level increases, and (c) falls as the holding period increases. The first and third of these are obviously ‘correct’, but the second implication is one that may or may not be compatible with one’s prior expectations.”

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