小編導讀：在FRM沖刺階段，考生們要將自己的易錯題型做好總結(jié)，從中發(fā)現(xiàn)自己的問題，并有針對性地去解決它。解決了自己不懂的地方，才能在考試中獲得高分。高頓網(wǎng)校FRM小編從高頓題庫中選取了學員們錯誤率*6的幾道習題，供大家參考。　　1.A trader has an option position in crude oil with a delta of 100000 barrels and gamma of -50000 barrels per dollar move in price. Using the delta-gamma methodology, compute the VaR on this position, assuming the extreme move on crude oil is $2.00 per barrel.
　　A. $100,000
　　B. $200,000
　　C. $300,000
　　D. $400,000
　　2.Which of the following statements highlights an issue with conducting stress tests?
　　I  Identifying key input variables.
　　II Predicting regime shifts or structural changes.
　　III Predicting how a change in one variable will impact others during a financial crisis.
　　A. I, II and III.
　　B. II and III.
　　C. I and III.
　　D. I and II.
　　3.A Treasury bill, with 45 days until maturity, has an effective annual yield of 12.50%. The bill's holding period yield is closest to:
　　A. 1.57%.
　　B. 12.50%.
　　C. 1.54%.
　　D. 1.46%.
　　Answer:
　　1.D
　　2.B
　　Stress testing is able to identify key input variables that impact the portfolio. However, predicting regime shifts and structural changes is more difficult with stress tests. Also, the effect that one variable has on others is difficult to gauge with stress testing.
　　3.D
　　The effective annual yield (EAY) is equal to the annualized holding period yield (HPY) based on a 365-day year. EAY = (1 + HPY)365/t − 1. HPY = (EAY + 1)t/365 − 1 = (1.125)45/365 − 1 = 1.46%.