在备考FRM中，做大量的真题对于考生来说是非 常重要的，尤其是近几年的例题解析！下文是小编列举的相关真题，希望对备考的你有所帮助！>>>点击领取2021年FRM备考资料大礼包（戳我免·费领取）

Arisk manager is examining a firm’s equity index option price assumptions. The observed volatility skew for a particular equity index slopes downward to the right. Compared to the lognormal distribution, the distribution of option prices on this index implied by the Black-Scholes-Merton (BSM) model would have:

A) Afat left tail and a thin right tail.

B) Afat left tail and a fat right tail.

C) Athin left tail and a fat right tail.

D) Athin left tail and a thin right tail.

答案：A

解析：Adownward sloping volatility skew indicates that out of the money puts are more expensive than predicted by the Black-Scholes-Merton model and out of the money calls are cheaper than expected predicted by the Black-Scholes-Merton model. The implied distribution has fat left tails and thin right tails. 》》》FRM复习资料点我咨询 

With all other things being equal, a risk monitoring system that assumes constant volatility for equity returns will understate the implied volatility for which of the following positions by the largest amount:

A) Short position in an at-the-money call

B) Long position in an at-the-money call

C) Short position in a deep out-of-the-money call

D) Long position in a deep in-the-money call

答案：D 【资料下载】点击下载FRM二级思维导图PDF版

解析：Aplot of the implied volatility of an option as a function of its strike price demonstrates a pattern known as the volatility smile or volatility skew. The implied volatility decreases as the strike price increases. Thus, all else equal, a risk monitoring system which assumes constant volatility for equity returns will understate the implied volatility for a long position in a deep-in-the-money call.

如果想要获得更多关于FRM考试的真题解析，点击在线咨询或者添加融跃老师微信（rongyuejiaoyu）！