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FRM一级每日精选真题(一)

发表时间:2015-06-05 来源: 告诉小伙伴:
【编者按】FRM一级每日精选真题(一),金程frm精选FRM真题帮助,通过做真题,掌握考试知识点,同时对照课本好好复习FRM考试内容,11月FRM考试扬帆起航!

1、We are doing a backtest of VaR model according to Basel II. Assume the bank’s 10-day 99% VaR is $1 million. The null hypothesis is: the VaR model is accurate. Out of 1,000 observations, 25 exceptions are observed (Binomial CDF )

A.     We will probably call the VaR model good but risk a Type I error.

B.     We will probably call the VaR model good but risk a Type II error.

C.     We will probably call the model bad but risk a Type I error.

D.     We will probably call the model bad but risk a Type II error.

金程frm解析Answer: C

  The probability of 25 or more exceptions will only be observed 1 – 99.996%. So, we reject the model.

Null = good model. To decide the model is bad model is to reject null and this implies a risk of type I error.

 

2、In backtesting a value at risk (VaR) model that was constructed using a 90% confidence level over a 250-day period, how many exceptions are forecasted?

  A.     5.00

  B.     12.50

  C.     50

  D.     25.00

金程frm解析Answer: D

(1 – 0.90) × 250 = 25

另外温馨提醒,FRM学习要前后呼应。不能写了后面忘记前面,对于已经学完的FRM知识和章节也要时常从头看一下,融会贯通,然后从头至尾的过一遍。多看金融风险行业相关新闻。要了解时下热点行业事件,多拓宽自己的思路,这样遇到新的题型和背景资料就不会那么害怕了。

热门FRM考试内容推荐:  FRM历年真题    FRM就业前景

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