在備考FRM考試中，考生對于真題的練習是很重要的，尤其是近幾年的FRM真題練習！下面是小編列舉的相關真題的練習，希望對備考的的有所幫助！

Which of the following factors might be (or are likely to be) incorporated into a liquidity-adjusted value at risk (LVaR) model where the liquidity risk is specifically endogenous, not exogenous?

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I. Bid-ask spread

II. Size of the trade/size of market

III. Price elasticity of demand

A) I only

B) II Only

C) I and II.

D) II and III.

答案：D

解析：Dowd’s basic approach uses (i) size of the trade/size of market and (ii) price elasticity of demand. The bid-ask spread can be used (is used in the basic approach) to incorporate exogenous liquidity.

Given the information below, what is the liquidity-adjusted VAR at the 95% confidence level assuming the confidence parameter of the spread is equal to 1.96.

Current stock price $200

Stock price standard deviation 3.0%

Bid-ask spread mean 1.0%

Bid-ask spread standard deviation 0.5%

A) $11.73.

B) $11.88.

C) $13.59.

D) $13.74.

答案：B

解析：The liquidity-adjusted VAR is the sum of two components. The first component is the VAR, which is the stock price times the z-score times the stock price standard deviation: $200×0.03×1.65 = $9.90. The second component adjusts for liquidity risk and is half the stock price times a bid-ask spread component: 0.5× [$200 × (0.01 + 1.96×0.005)] = $1.98. The liquidity-adjusted VAR is thus: $9.90 + $1.98 = $11.88.掃碼咨詢

When a given trade can influence the liquidity risk of a trade, this type of liquidity is known as:

A) Exogenous liquidity.

B) Undefined liquidity.

C) Endogenous liquidity.

D) Operational liquidity.

答案：C

解析：It is endogenous because it is determined by the trading activity itself.

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