20110416_FRM一级模考第一套题目_程黄维.pdf-原创力文档

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FRM 一级模考试题（一） 1. Monte Carlo simulation and the historical method are two means of calculating VAR. Which of the following describes a disadvantage (or disadvantages) of the Monte Carlo method compared to the historical method of calculating VAR? （ ） The Monte Carlo method: I Takes advantage of the normal distribution. II Incorporates flexibility in modeling price paths. III Uses large amounts of computing power. A. I only B. I and II C. II and III D. III only 2. Given the following information, which of the following amounts is closest to d (l.0), the discount factor for the first year? （ ） Bond A Bond B Bond C Bond maturity in years 0.5 1 2 Coupon 6.00% 12.00% 9.00% Price 101.182 102.341 99.573 A. 0.9099 B. 0.9138 C. 0.9655 D. 0.9823 3. Other risk management tools besides VAR could be used by practitioners such as exposure limits, stop-loss limits, and notional limits. Which of the following statements regarding such tools is(are) incorrect? （ ） I Exposure limits may be aggregated across assets. II Stop-loss limits may be aggregated across assets. III Notional limits may be aggregated across assets. A. I only B. II only C. I and III D. II and III 4. Arthur Harrow is a pharmaceuticals analyst at Dominion Asset Management (Dominion). His supervisor directs him to prepare
2018年6月10日Miracle Drug Company (Miracle) and Wonder Drug ...Paper Products Inc.’s research department ...Harriet Fields, an investment adviser specializing ...题目,黄维20110416_FRM一级模考第一套题目_程黄维.pdf,金程教育WWW.GFEDU.NET 专业·领先·增值 FRM 一级模考试题（一） 1. Monte Carlo simulation and the historical method are two means of calculating VAR. Which of the following describes a disadvantage (or disadvantages) of the Monte Carlo method compared to the historical met20110416