FRM真題是歷年FRM考試的題目，是FRM考試的重難點(diǎn)地方，F(xiàn)RM真題解析，備考中必不可少！

Which of the following statements regarding value at risk (VaR) and expected shortfall (ES) is least accurate?

A) The ES provides an estimate of the tail loss by averaging the VaRs for increasing confidence levels in the tail.

B) The calculation of lognormal VaR and normal VaR will be similar when dealing with long-time periods.>>>點(diǎn)擊領(lǐng)取2021年FRM備考資料大禮包（戳我免·費(fèi)領(lǐng)取）

C) As the number of VaR observations increases, the ES will increase.

D) The calculated VaR amount is always negative.

答案：B

解析：VaR is always negative, but is typically reported as a positive value since the negative amount is implied.As the number of VaR observations increases, the ES increases and approaches the theoretical true loss.【資料下載】[融躍財(cái)經(jīng)]FRM一級(jí)ya題-pdf版

掃碼咨詢The annual mean and volatility of a portfolio are 10% and 40%, respectively. The current value of the portfolio is GBP 100,000. How does the 1-year 95% VaR that is calculated using a normal distribution assumption (normal VaR) compare with the 1-year 95% VaR that is calculated using the lognormal distribution assumption (lognormal VaR)?

A) Lognormal VaR is greater than normal VaR by GBP 13,040

B) Lognormal VaR is greater than normal VaR by GBP 17,590

C) Lognormal VaR is less than normal VaR by GBP 13,040

D) Lognormal VaR is less than normal VaR by GBP 17,590

答案：C

解析：Normal VaR = |0.1 – 1.645*0.4| = 0.558; Lognormal VaR = 1 – exp[0.1 – 1.645*0.4] = 0.4276; Hence, with a portfolio of GBP 100,000 this translates to GBP 13,040.

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