FRM真題對于備考的考生是非 常重要的，尤其是在沖刺階段，考生一定要做大量的真題。那么，F(xiàn)RM二級考試有真題解析嗎？

下面是小編列舉的相關(guān)真題的解析，希望對備考的你有所幫助~>>>點(diǎn)擊領(lǐng)取2021年FRM備考資料大禮包（戳我免·費(fèi)領(lǐng)取）

Alton Richard is a risk manager for a financial services conglomerate. Richard generally calculates the VaR of the company’s equity portfolio on a daily basis, but has been asked to estimate the VaR on a weekly basis assuming 5 trading days in a week. If the equity portfolio has a daily standard deviation of returns equal to 0.65% and the portfolio value is $2 million, the weekly dollar VAR (5%) is closest to:

A) $29,100.

B) $21,450.

C) $107,250.

D) $47,964.

答案：D

解析：2 million × 1.65 × 0.0065 × sqrt(5）= $47,964掃碼咨詢

If the expected change in a fixed income portfolio is $520,000 and the standard deviation of the estimated change in the portfolio is $2,275,500, the 95 percent value-at-risk (VaR) for this portfolio is closest to: 【資料下載】點(diǎn)擊下載FRM二級思維導(dǎo)圖PDF版

A) $855,400.00.

B) $3,743,197.50.

C) $3,223,197.50.

D) $4,598,597.50.

答案：C

解析：VaR for this portfolio would be – [$520,000 – 1.645($2,275,500)] = $3,223,197.50.

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