在FRM的學(xué)習(xí)中，FRM真題的練習(xí)是很關(guān)鍵的。下文是小編列舉的相關(guān)真題解析，希望對(duì)備考的你有所幫助！

Which of the following statements is incorrect regarding bootstrap historical simulation? The bootstrapping technique:

A) Provides less precise estimates of coherent risk measures than historical simulation on raw data alone.

B) Is a simple and intuitive estimation procedure.

C) Draws a sample from the original data set, records the VaR from that particular sample and “returns” the data.

D) Can be performed to estimate the expected shortfall (ES).

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答案：A

解析：Empirical analysis demonstrates that the bootstrapping technique consistently provides more precise estimates of coherent risk measures than historical simulation on raw data alone.

Which of the following items accurately describe a disadvantage of non-parametric methods?

A) Analysis depends critically on forecasted data.

B) Volatile data periods lead to VaR and ES estimates that are too low.

C) Quiet data periods lead to VaR and ES estimates that are too high.

D) Difficult to estimate losses significantly larger than the maximum loss within the data set

答案：D

解析：Disadvantages of non-parametric methods include the following:

Analysis depends critically on historical data.

Volatile data periods lead to VaR and ES estimates that are too high.

Quiet data periods lead to VaR and ES estimates that are too low.

Difficult to detect structural shifts/regime changes in the data.

Cannot accommodate plausible large impact events if they did not occur within the sample period.

Difficult to estimate losses significantly larger than the maximum loss within the data set (historical simulation cannot; volatility-weighting can, to some degree).

Need sufficient data, which may not be possible for new instruments or markets

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