備考FRM二級考試，真題練習(xí)對于備考的考生來說是很重要的。下文是對資本充足率的真題練習(xí)解析，幫助大家一起備考與練習(xí)！

Cheryl Springhorn, FRM, is testing the capital adequacy of two large depository institutions. She has accumulated the following information on historical returns and standard errors (which are normally distributed). Following currentregulations, she will test each bank’s VaR at a 95% confidence level. Which of the following statements best describes her findings?

BankA ：【資料下載】點(diǎn)擊下載FRM二級思維導(dǎo)圖PDF版

Mean P/L 12%

Standard deviation P/L 10%

Default frequency 2%

Bank B：

Mean P/L 8%

Standard deviation P/L 6%

Default frequency 6%

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點(diǎn)擊*學(xué)習(xí)資料！

A) BankA’s VaR is roughly two times greater than Bank B’s VaR.

B) Bank B’s VaR is roughly two times greater than Bank A’s VaR.

C) Bank B’s VaR is less than Bank A’s VaR which is less than two times Bank B’s

VaR.

D) BankA’s VaR is less than Bank B’s VaR which is less than two times BankA’s

VaR.》》》點(diǎn)我咨詢FRM報考詳情

答案：A

解析：Using the normal distribution as a parametric estimator of VaR implies that 1.65

is the cutoff for 5% significance level (i.e., 95% confidence level).

VaR BankA: -12% + 1.65 × 10% = 4.5%

VaR Bank B: -8% + 1.65 × 6% = 1.9%

Therefore, VaR (Bank A) is roughly two times greater than VaR (Bank B).

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