2026年FRM金融风险管理师资格考试（PART Ⅰ）精选模拟试题及答案三
2025/12/6
来源：易考吧
导语
2026年FRM金融风险管理师资格考试（PART Ⅰ）精选模拟试题及答案三,更多相关资讯请继续查看易考吧金融理财师考试教材
1). The delta-normal method for the VaR of an option position tells us that as an option moves into the money( )
A.the VaR of a call falls， but the VaR of a put rises
B.the VaR of a call rises， but the VaR of a put falls
C.the VaR for both a call option and put option falls
D.the VaR for both a call option and put option rises
正确答案：D
2). The spot price of oil is $106， the one-month futures price is$102 and the 12-month futures price is $98.If the spot price and the oil futures curve do not shift at all during the entire one-year period， while the oil producer employs the stack-and-roll hedge(e.g.， at the end of the one year， the spot price is unchanged at$106)， what will be the net performance of rolling the hedge forward without regard to the underlying future sale of spot oil (ignoring transaction costs)？( )
A.Losses due to the roll yield
B.Approximately breakeven (no gain or loss)
C.Gains due to the roll yield
D.Not enough information
正确答案：A
3). A bank’s capital requirements for market risk are based upon their own risk measurement models.When computing Value-at-Risk(VaR)， which one of the following quantitative inputs is correct？( )
A.A horizon of 20 trading days， or four calendar weeks
B.A 97.5% confidence interval
C.An observation period based on at least six months of historical data
D.Historical data updated at least once a quarter
正确答案：D
......
1). The delta-normal method for the VaR of an option position tells us that as an option moves into the money( )
A.the VaR of a call falls， but the VaR of a put rises
B.the VaR of a call rises， but the VaR of a put falls
C.the VaR for both a call option and put option falls
D.the VaR for both a call option and put option rises
正确答案：D
2). The spot price of oil is $106， the one-month futures price is$102 and the 12-month futures price is $98.If the spot price and the oil futures curve do not shift at all during the entire one-year period， while the oil producer employs the stack-and-roll hedge(e.g.， at the end of the one year， the spot price is unchanged at$106)， what will be the net performance of rolling the hedge forward without regard to the underlying future sale of spot oil (ignoring transaction costs)？( )
A.Losses due to the roll yield
B.Approximately breakeven (no gain or loss)
C.Gains due to the roll yield
D.Not enough information
正确答案：A
3). A bank’s capital requirements for market risk are based upon their own risk measurement models.When computing Value-at-Risk(VaR)， which one of the following quantitative inputs is correct？( )
A.A horizon of 20 trading days， or four calendar weeks
B.A 97.5% confidence interval
C.An observation period based on at least six months of historical data
D.Historical data updated at least once a quarter
正确答案：D
......
