小编导读：在FRM冲刺阶段，考生们要将自己的易错题型做好总结，从中发现自己的问题，并有针对性地去解决它。解决了自己不懂的地方，才能在考试中获得高分。高顿网校FRM小编从高顿题库中选取了学员们错误率*6的几道习题，供大家参考。　　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%.