真題就是對(duì)歷年考試試題的集合整理，考試可以通過做題來進(jìn)行備考。FRM真題也是這樣的，也是考試的重難點(diǎn)地方。FRM真題練習(xí)，在FRM考試中真的很重要嗎？

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A CRO is concerned that existing internal risk models of a firm, which are governed mainly by the central limit theorem, are not adequate in addressing potential random extreme losses of the firm. The CRO then recommends the use of extreme value theory (EVT). When applying EVT and examining distributions of losses exceeding a threshold value, which of the following is correct?

A) As the threshold value is increased, the distribution of losses over a fixed threshold value converges to a generalized Pareto distribution.》》》想了解更多21年FRM備考技巧的點(diǎn)我咨詢?

B) If the tail parameter value of the generalized extreme-value (GEV) distribution goes to infinity, then the GEV essentially becomes a normal distribution.

C) To apply EVT, the underlying loss distribution must be either normal or lognormal.

D) The number of exceedances decreases as the threshold value decreases, which causes the reliability of the parameter estimates to increase.

答案：A

進(jìn)群領(lǐng)資料

解析：A key foundation of EVT Is that as the threshold value is increased, the distribution of loss exceedances converges to a generalized Pareto distribution.【資料下載】FRM一級(jí)思維導(dǎo)圖PDF版

Assuming the threshold is high enough, excess losses can be modeled using the generalized Pareto distribution. Thus, Ais correct. B is incorrect. If the tail parameter value of the generalized extreme-value (GEV) distribution goes to zero, and not infinity, then the distribution of the original data {not the GEV) could be a light-tail distribution such as normal or log-normal. In other words, the corresponding GEV distribution is a Gumbel distribution. C is incorrect. To apply EVT, the underlying loss distribution can be any of the commonly used distributions: normal, lognormal, t,etc. D is incorrect. As the threshold value is decreased, the number of exceedances

increases.

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