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RyanR · 2023年03月26日

D选项是什么意思呀

NO.PZ2018122701000002

问题如下:

A risk analyst is comparing the use of parametric and non-parametric approaches for calculating VaR and is concerned about some of the characteristics present in the loss data. Which of the following distribution characteristics would make parametric approaches the favored method to use?

选项:

A.

Skewness in the distribution

B.

Fat tails in the distribution

C.

Scarcity of high magnitude loss events

D.

Heteroskedasticity in the distribution

解释:

C is correct.

考点 non-parametric method

解析 Non-parametric approaches can accommodate fat tails, skewness, and any other non-normal features that can cause problems for parametric approaches. However, if the data period that is used in estimation includes few losses or losses with low magnitude, non-parametric methods will often produce risk measures that are too low. Hence parametric methods would be more appropriate in those situations.

忘记这个知识点了

1 个答案

DD仔_品职助教 · 2023年03月26日

嗨,爱思考的PZer你好:


同学你好,

Heteroskedasticity是异方差的意思,出现异方差有可能会导致估计的参数出现偏差,所以这种情况下不太适合用参数法进行估计,所以D错误,不选D

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