小編導(dǎo)讀：FRM沖刺階段，做模擬全真練習(xí)，對考試非常有幫助。高頓網(wǎng)校精品題庫，包含歷年真題，模擬試題等題型，題題結(jié)合考試大綱貼近考試考點，幫助考生熟練知識點。馬上開始做題>>　　Which of the following is the first step in creating a simulated portfolio value distribution at the end of the investment horizon and computing the resulting VAR using Monte Carlo simulation?
　　A. Select a distribution from which to draw random variables.
　　B. Specify the VAR parameters.
　　C. Identify relevant market factors.
　　D. Choose a stochastic process and its parameters.
　　Answer:D
　　There are four steps in creating a simulated portfolio value distribution at the end of the investment horizon and the resulting VAR using Monte Carlo simulation.
　　Step 1: Choose a stochastic process and its parameters.
　　Step 2: Generate a pseudosequence of random variables and use these as inputs to the model to simulate a price path.
　　Step 3: Calculate the asset value for this price path at the end of the investment horizon.
　　Step 4: Run a large number of iterations of steps 2 and 3.