2010FRM一级模拟考试（一）答案1
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2020
年
10
月
FRM
一级模拟考试（一）参考答案
1. Answer
：
A
VaR measures the expected amount of capital one can expect to lose within a given confidence
level over a given period of time. One of the problems with VaR is that it does not provide
information about the expected size of the loss beyond the VaR. VaR is often complemented by the
expected shortfall, which measures the expected loss conditional on the loss exceeding the VaR.
Note that since expected shortfall is based on VaR, changing the confidence level may change
both measures. A key difference between the two measures is that VaR is not sub-additive,
meaning that the risk of two funds separately may be lower than the risk of a portfolio where the
two funds are combined. Violation of the sub-additivity assumption is a problem with VaR that
does not exist with expected shortfall.
2. Answer: A
To obtain the d(1.0) discount factor, first solve for d(0.5), In the equation below, the price for
Bond A is equated to its terminal cash flow in six months, which is the principal plus the
semiannual coupon of $3.00.
101.182 = 103.00 × d(0.5)
d(0.5) = 0.9823
Next use the price and cash flows of Bond B to calculate the d(l .0) discount factor. The cash flow
in six months is the semiannual coupon of $6.00 and is discounted by d(0.5). The cash flow in one
year is the principal plus the semiannual coupon of $6.00.
102.341 = 6.00 × d(0.5) + 106.00 × d(1.0)
102.341 = 6.00 × 0.9823 + 106.00 × d(1.0)
d(1.0) = 0.9099
3. Answer: A
The level of significance is the probability of rejecting the null hypothesis when it is true. The null
hypothesis will be rejected if the z-statistic is greater than 1.645.
4. Answer: D
A strap is betting on volatility in a bullish market since it pays off more on the upside.
5. Answer: D
Standard deviation 160,000 400; 400 / 100 40= = =
The researcher is correct that a possible consequence of increasing the sample size is sampling
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