2010年5月FRM1级第四部分定价与风险模型模拟试题（20100404强静共35题）.pdf

) . B $2.74 ) . C $3.27 ) . D $2.56 ) . 4. The difference between a Monte Carlo simulation and a historical simulation is that a historical simulation uses randomly selected variables from past distributions, while a Monte Carlo simulation: A uses randomly selected variables from future ) distributions. B uses variables based on roulette odds. ) C uses a computer to generate random variables. ) D projects variables based on a priori principles. ) 5. When comparing a fat-tailed distribution to an otherwise similar normal distribution, the fat-tailed distribution often has: A a lower probability mass at around one standard ) deviation. B a different mean and standard deviation. ) C an equal probability mass close to the mean. ) D a lower probability mass at more than three standard ) deviations. 6. Many analysts prefer to use Monte Carlo simulation rather than historical simulation because: A it is much easier to generate the required variables. ) B past distributions cannot address changes in correlations or events that ) have not happened before. C past data is often proprietary and difficult to obtain. ) D computers can manipulate theoretical data much more quickly than ) historical data. 2 7. Value at risk (VAR) is a benchmark associated with a given probability. The actual loss: A may be much greater. ) B