NO.PZ2016070202000008
问题如下：
A CRO is concerned that existing internal risk models of a firm, which are governed mainly by the central limit theorem, are not adequate in addressing potential random extreme losses of the firm. The CRO then recommends the use of extreme value theory (EVT). Which of the following statements regarding extreme value theory (EVT) is incorrect?
选项：
A.In contrast to conventional approaches for estimating VAR, EVT considers only the tail behavior of the distribution.
B.Conventional approaches for estimating VAR that assume that the distribution of returns follows a unique distribution for the entire range of values may fail to properly account for the fat tails of the distribution of returns.
C.EVT attempts to find the optimal point beyond which all values belong to the tail and then models the distribution of the tail separately.
D.By smoothing the tail of the distribution, EVT effectively ignores extreme events and losses that can generally be labeled outliers.
解释：
D is correct. EVT uses only information in the tail, so statement Conventional approaches such as delta-normal VAR assume a fixed probability density function (p.d.f.) for the entire distribution, which may understate the extent of fat tails, so statement B is correct. The first step in EVT is to choose a cutoff point for the tail, and then to estimate the parameters of the tail distribution, so statement C is correct. Finally, EVT does not ignore extreme events (as long as they are in the sample).
如题
