在備考FRM考試中，尤其是沖刺階段，做大量的FRM真題練習(xí)對(duì)于考生來說是至關(guān)重要的。下面是小編列舉的相關(guān)真題練習(xí)，希望對(duì)備考的你有所幫助！

If volatility (0) is the current (today’s) volatility estimate and volatility (t) is the volatility estimate on a previous day (t), which best describes volatility-weighted historical simulation?>>>點(diǎn)擊領(lǐng)取2021年FRM備考資料大禮包（戳我免·費(fèi)領(lǐng)?。?/span>

A) First conduct typical historical simulation (HS) on return series. Then multiply VaR by volatility(0)/volatility(t)

B) First conduct typical historical simulation (HS) on return series. Then multiply VaR by volatility(t)/volatility(0)

C) Each historical return (t) is replaced by: return (t)*volatility (0)/volatility (t). Then conduct typical historical simulation (HS) on adjusted return series.

D) Each historical return (t) is replaced by: return (t)*volatility (t)/volatility (0). Then conduct typical historical simulation (HS) on adjusted return series.添加老師微信了解詳情

答案：C

解析: Each historical return (t) is replaced by: return(t)×volatility(0)/volatility(t). Then conduct typical historical simulation (HS) on adjusted return series.

Which of the following non-parametric estimators combines the historical simulation model with conditional volatility models?【資料下載】[融躍財(cái)經(jīng)]FRM一級(jí)ya題-pdf版

A) Volatility-weighted historic simulation.

B) Correlation-weighted historic simulation.

C) Age-weighted historic simulation.

D) Filtered historical simulation.

答案：D

解析：The filtered historical simulation is the most comprehensive and most complicated of the non-parametric estimators. It contains both the attractions of the traditional historical simulation approach with the sophistication of models that incorporate changing volatility.

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