2026年 FRM 二级市场风险章节练习含解析.docxVIP

2026年FRM二级市场风险章节练习含解析

考试时间：______分钟总分：______分姓名：______

一、选择题

1.Abankcalculatesa1-day99%VaRforitsportfoliousingthehistoricalsimulationmethod.Thenegativereturnsthatfallbelowthe1%quantileare-1.5%,-2.0%,-0.8%,-1.2%,and-2.5%.TheVaRat99%confidencelevelisclosestto:

a)1.96%

b)2.00%

c)2.24%

d)2.50%

e)3.00%

2.AportfoliomanagerusesaMonteCarlosimulationtoestimatethe10-day95%VaRofaequityportfolio.Thesimulationgenerates5,000paths,andtheportfoliovaluesattheendofday10arenormallydistributedwitham