2026年秋季金融风险管理师一级考试试题集.docxVIP

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2026年秋季金融风险管理师一级考试试题集

考试时间：______分钟总分：______分姓名：______

一、选择题

1.Abankusesa10-dayhistoricalsimulationmethodtocalculateVaRatthe95%confidencelevel.Thesortedportfolioreturnsoverthelast10daysare:-0.5%,1.0%,1.5%,0.0%,2.0%,-1.0%,0.5%,1.0%,1.8%,0.2%.Whatisthe10-dayVaRatthe95%confidencelevelbasedonthesedata?

2.WhichofthefollowingstatementsaboutValueatRisk(VaR)isTRUE?

a)VaRprovidesacompletepictureofthepotentiallossdistribution.

b)VaRata99%confidencelevelimpliesthatthereisa1%probability