備考FRM的考生應(yīng)該清楚在考試中有大量的計(jì)算題，考生一定要多做練習(xí)，尤其中近幾年的FRM真題。只有做的多了，才能在考試中不怯場(chǎng)。那么，F(xiàn)RM真題的練習(xí)在FRM考試中重要嗎？

FRM真題的練習(xí)在考試中當(dāng)然是很重要的，考生千萬(wàn)不能忽視。下面是例題的解析，隨小編看看：

Let X be a random variable representing the daily loss of your portfolio. The“peaks over threshold” (POT) approach considers a threshold value, u, of X and the distribution of excess losses over this threshold. Which of the following statements about this application of extreme value theory is correct?

A) To apply the POT approach, the distribution of X must be elliptical and known.

B) If X is normally distributed, the distribution of excess losses requires the estimation of only one parameter, β, which is a positive scale parameter.

C) To apply the POT approach, one must choose a threshold, u, which is high enough that the number of observations in excess of u is zero.

D) As the threshold, u, increases, the distribution of excess losses over u converges to a generalized Pareto distribution.

答案：D

解析：The distribution of excess losses over u converges to a generalized Pareto distribution as the threshold value u increases. The distribution of X itself can be any of the commonly used distributions: normal, lognormal, t, etc., and will usually be unknown.

The distribution of excess losses requires the estimation of two parameters, a positive scale parameterβand a shape or tail index parameterξ. One must choose a threshold u that is high enough so that the theory applies but also low enough so that there are observations in excess of u.

FRM考試的內(nèi)容就分享這么多，考生如果對(duì)FRM考試還有更多的疑問(wèn)，可以文章評(píng)論一起學(xué)習(xí)探討！另外，有2022年全年備考日歷，想要的私信或者評(píng)論哦！