NO.PZ2023032703000070
问题如下:
Which of the following statements best describes methods for assessing portfolio tail risk?
选项:
A.Parametric methods use expected value and standard deviation of risk factors under a normal distribution and are well suited for option-based portfolios.
B.
Historical simulation methods use historical parameters and ranking results and are not well suited for option-based portfolios.
C.
Monte Carlo methods generate random outcomes using portfolio measures and sensitivities and are well suited for option-based portfolios.
解释:
C is correct. Parametric methods in A are not well suited for non-normally distributed returns or option-based portfolios, while historical simulation assumes no probability distribution and accommodates options.
B选项错在哪呢,不太理解