備考FRM考試,F(xiàn)RM真題是必不可少的,考生在備考中一定要做大量的歷年真題。FRM真題是歷年FRM考試的題目,是FRM考試的重難點地方,因此建議考生在考前能夠進行至少三套真題的練習,并對真題的知識點進行總結,幫助自己進行提升!哪里有FRM真題可以練習?

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下面是小編列舉的一個例題,先來看看吧!

Which of the following about the most common distribution used for peaks-over-threshold is false?

I. The distribution requires a threshold, shape, and scaling parameter.

II. The distribution of these extreme values follows the GEV distribution.

III. The distribution produces a curve that dips below the normal distribution prior to the tail and then moves above the normal distribution in a curved shape until it reached the extreme tail.》》》戳:各科視頻講義+歷年真題+21年原版書(PDF版)免·費領取

IV. The distribution provides a more accurate estimate of the event probabilities in the distribution tail, allowing VaR to be computed at high confidence levels.

A) I and II

B) II only

C) III and IV

D) IV only

答案:B【資料下載】FRM一級思維導圖PDF版

解析:GPD requires a threshold, shape, and scaling parameter. The distribution of these extreme values follows the GPD. GPD produces a curve that dips below the normal distribution prior to the tail and then moves above the normal distribution in a curved shape until it reaches the extreme tail. GPD provides a more accurate estimate of the event probabilities in the distribution tail, allowing VaR to be computed at high confidence levels.

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