近日有考生咨詢，關(guān)于FRM例題，考生要做大量練習(xí)嗎？這樣做對(duì)于考生有幫助嗎？

其實(shí)做大量的例題練習(xí)，對(duì)于考試是很有幫助的，下面是小編列舉的相關(guān)練習(xí)，一起了解一下吧！

Which of the following statements accurately describe filtered historical simulation? Filtered historical simulation:

A) Is the most comprehensive, and hence most complicated, of the parametric estimators.》》》戳：免費(fèi)領(lǐng)取FRM各科視頻講義+歷年真題+21年原版書（PDF版）

B) Is not flexible enough to capture conditional volatility and volatility clustering.

C) Is only reasonable for small portfolios, and empirical evidence does not support its predictive ability.

D) Combines the historical simulation model with conditional volatility models.

答案：D

解析：The filtered historical simulation is the most comprehensive, and hence most complicated, of the non-parametric estimators. The process combines the historical simulation model with conditional volatility models (like GARCH or asymmetric GARCH). Thus, the method contains both the attractions of the traditional historical simulation approach with the sophistication of models that incorporate changing volatility.

In simplified terms, the model is flexible enough to capture conditional volatility and volatility clustering as well as a surprise factor that could have an asymmetric effect on volatility. From a computational standpoint, this method is very reasonable even for large portfolios, and empirical evidence supports its predictive ability.【資料下載】點(diǎn)擊下載FRM二級(jí)思維導(dǎo)圖PDF版

Johanna Roberto has collected a data set of 1,000 daily observations on equity returns. She is concerned about the appropriateness of using parametric techniques as the data appears skewed. Ultimately, she decides to use historical simulation and bootstrapping to estimate the 5% VaR. Which of the following steps is most likely to be part of the estimation procedure?

A) Filter the data to remove the obvious outliers.

B) Repeated sampling with replacement.

C) Identify the tail region from reordering the original data.

D) Apply a weighting procedure to reduce the impact of older data.

答案：B

解析：Bootstrapping from historical simulation involves repeated sampling with replacement. The 5% VaR is recorded from each sample draw. The average of the VaRs from all the draws is the VaR estimate. The bootstrapping procedure does not involve filtering the data or weighting observations. Note that the VaR from the original data set is not used in the analysis.

如果想要獲得更多關(guān)于FRM考試的真題解析，點(diǎn)擊在線咨詢或者添加融躍老師微信（rongyuejiaoyu）！