备考FRM二级考试，真题练习对于备考的考生来说是很重要的。下文是对资本充足率的真题练习解析，帮助大家一起备考与练习！
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 ：
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%
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.
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).
希望以上的内容对你有所帮助，考生如果对FRM考试还有更多的疑问，可以文章评论一起学习探讨！
