FRM真題是歷年FRM考試習(xí)題的集合，有的考生在備考中很重視對FRM真題的練習(xí)。尤其是對近幾年真題的練習(xí)。那么，在實(shí)際的考試中FRM真題真的很重要嗎？

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Which of the following risks is specifically recognized by the incremental risk charge (IRC)?

A) Expected shortfall risk, because it is important to understand the amount of loss potential in the tail.

B) Jump-to-default risk, as measured by 99.9% VaR, because a default could cause a significant loss for the bank.

C) Equity price risk, because a change in market prices could materially impact mark-to-market accounting for risk.

D) Interest rate risk, as measured by 97.5% expected shortfall, because an increase in interest rates could cause a significant loss for the bank

答案：B

解析：The two types of risk recognized by the incremental risk charge are:添加微信了解詳情

(1) credit spread risk

(2) jump-to-default risk. Jump-to-default risk is measured by 99.9% VaR and not 97.5% expected shortfall. 【資料下載】點(diǎn)擊下載GARP官方FRM二級(jí)練習(xí)題

Which of the following characteristics outlined describe the measurement of stressed value at risk?

A) The stressed VaR is calculated on a monthly basis.

B) Historical bank data from the same portfolio is used in measuring SVaR.

C) The stressed confidence interval is a 95% one-tailed test.

D) The multiplication factor used in calculating SVaR is the same as that for VaR.

答案：B

解析： The stressed value at risk should be calculated on a weekly basis. This measure is calculated by combining current portfolio performance data based on the 10-day, 99% confidence interval with firm’s historical data from a significantly financially stressed period of the same portfolio.

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