金融风险管理师(FRM)2012考试真题版

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1、...QuestionbankMonteCarloMethodsLetNbeannx1vectorofindependentdrawsfromastandardnormaldistribution,andletVbeacovariancematrixofmarkettime-seriesdata.Then,ifLisadiagonalmatrixoftheeigenvaluesofV,EisamatrixoftheeigenvectorsofV,andCCistheCholeskyfactorizationofV,whichofthefollowingwo

2、uldgenerateanormallydistributedrandomvectorwithmeanzeroandcovariancematrixVtobeusedinaMonteCarlosimulation?NC'CNNCELECannotbedeterminedfromdatagivenConsiderastockthatpaysnodividends,hasavolatilityof25%paandanexpectedreturnof13%pa.ThecurrentstockpriceisS0=$30.ThisimpliesthemodelSt+

3、1=St(1+0.13At+0.25yAte),whereeisastandardnormalrandomvariable.Toimplementthissimulation,yougenerateapathofthestockpricebystartingatt=0,generatingasamplefore,updatingthestockpriceaccordingtothemodel,incrementingtby1andrepeatingthisprocessuntiltheendofthehorizonisreached.Whichofthef

4、ollowingstrategiesforgeneratingasampleforewillimplementthissimulationproperly?Generateasampleforebyusingtheinverseofthestandardnormalcumulativedistributionofasamplevaluedrawnfromauniformdistributionbetween0and1.Generateasampleforebysamplingfromanormaldistributionwithmean0.13andst

5、andarddeviation0.25.Generateasampleforebyusingtheinverseofthestandardnormalcumulativedistributionofasamplevaluedrawnfromauniformdistributionbetween0and1.UseCholeskydecompositiontocorrelatethissamplewiththesamplefromtheprevioustimeinterval.Generateasampleforebysamplingfromanormald

6、istributionwithmean0.13andstandarddeviation0.25.UseCholeskydecompositiontocorrelatethissamplewiththesamplefromtheprevioustimeinterval.Continuingwiththepreviousquestion,youhaveimplementedthesimulationprocessdiscussedaboveusingatimeintervalAt=0.001,andyouareanalyzingthefollowingsto

7、ckpricepathgeneratedbyyourimplementation.tSt—1eAS030.000.09300.03130.030.84930.21230.230.96170.23330.470.24600.06430.530.47690.12530.650.71410.18word格式资料...Giventhissample,whichofthefollowingsimulationstepsmostlikelycontainsanerror.CalculationtoupdatethestockpriceGenerationofrando

8、msamplevalueforeCalculationofthec