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FRM一级冲刺备考：考生常见易错题汇总（17）

来源：高顿网校 2015-10-26

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　　1.Which of the following statements regarding volatility in VAR models are TRUE?

　　I. The RiskMetricsTM approach is very similar to the GARCH model.

　　II. The historical standard deviation approach creates a variance-covariance matrix that is estimated under the assumption that all asset returns are normally distributed.

　　III. The parametric approach typically assumes asset returns are normally or lognormally distributed with constant volatility.

　　IV. Exponential smoothing methods and the historical standard deviation methods both apply a set of weights to recent past squared returns.

　　A. I, III, and IV.

　　B. I, II, and III.

　　C. I, II, and IV.

　　D. II, III, and IV.

　　2.According to the Capital Asset Pricing Model (CAPM), over a single time period, investors seek to maximize their:

　　A. Wealth and are concerned about the tails of return distributions.

　　B. Wealth and are not concerned about the tailsof return distributions.

　　C. Expected utility and are concerned about the tails of return distributions.

　　D. Expected utility and are not concerned about the tails of return distributions.

　　3.An experienced commodities risk manager is examining corn futures quotes from the CME Group. Which of the following observations would the risk manager most likely view as a potential problem with the quotation data?

　　A. The volume in a specific contract is greater than the open interest.

　　B. The prices indicate a mixture of normal and inverted markets.

　　C. The settlement price for a specific contract is above the high price.

　　D. There is no contract with maturity in a particular month.

　　Answer:

　　1.C

　　The third statement is false. The parametric approach typically assumes asset returns are normally or lognormally distributed with time-varying volatility. The RiskMetricsTM approach is actually a special case of the GARCH model. Both the exponential and historical standard deviation approaches create a variance-covariance matrix that is estimated under the assumption that all asset returns are normally distributed. Exponential smoothing methods and the historical standard deviation methods both apply a set of weights to recent past squared returns. The difference is that in the historical standard deviation method all weights are equal whereas more recent returns are weighted more heavily in exponential methods.

　　2.D

　　CAPM assumes investors seek to maximize the expected utility of their wealth at the end of the period, and that when choosing their portfolios, investors only consider the first two moments of return distribution: the expected return and the variance. Hence, investors are not concerned with the tails of the return distribution.

　　3.C

　　The reported high price of a futures contract should reflect all prices for the day, so the settlement price should never be greater than the high price.

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