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