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小猫批脸 · 2023年03月01日

选项C里的那个矩阵怎么理解来着?

NO.PZ2018122701000016

问题如下:

What is the primary difference between historical simulation and bootstrapped historical simulation?

选项:

A.Bootstrapping is non-parametric B.

Bootstrapping can be used to compute both value at risk (VaR) and expected shortfall (ES)

C.

Bootstrapping does not require a variance-covariance matrix

D.

Bootstrapping generates multiple samples

解释:

D is correct.

考点: bootstrapping

解析: In regard to (A), (B) and (C), each are TRUE of both HS and bootstrapped HS (so they are not differences).

But where historical simulation computes based on the single sample (i.e., that happened to historically occur!), bootstrapping generates MULTIPLE SAMPLES where each sample is drawn WITH REPLACEMENT from the original historical data.

如题

1 个答案

品职答疑小助手雍 · 2023年03月01日

同学你好,variance-covariance matrix这个矩阵在一级里学过。

variance-covariance matrix中,每个数字都是对应的两个资产的covariance,自己和自己的协方差就是自己的方差。

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