问题如下图：
选项：
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解释：
- riskmetrics approach具体指的是什么
- 二级有讲过map equity portfolio么……没太看懂这道题在说什么
NO.PZ2016070202000013问题如下 The historicsimulation (HS) approais baseon the empiricstributions ana large number of risk factors. The RiskMetriapproaassumes normstributions anuses mapping on equity inces. The HS approais more likely to provi accurate estimate of Vththe RiskMetriapproafor a portfolio thconsists ofA.A small number of emerging market securitiesB.A small number of bromarket incesC.A large number of emerging market securitiesA large number of bromarket incesThe question als with the stribution of the assets anthe effeof versification. Emerging market securities are more volatile anless likely to normally stributethbromarket inces. In aition, a small portfolio is less likely to well representea mapping approach, anis less likely to normal. The RiskMetriapproaassumes ththe contionstribution is normansimplifies risk mapping. This will acceptable with a large number of securities with stributions close to the normal, whiis answer Answer A scribes the least versifieportfolio, for whithe HS methois best.riskmetrics在讲义哪里讲到？
NO.PZ2016070202000013问题如下The historicsimulation (HS) approais baseon the empiricstributions ana large number of risk factors. The RiskMetriapproaassumes normstributions anuses mapping on equity inces. The HS approais more likely to provi accurate estimate of Vththe RiskMetriapproafor a portfolio thconsists ofA.A small number of emerging market securitiesB.A small number of bromarket incesC.A large number of emerging market securitiesA large number of bromarket incesThe question als with the stribution of the assets anthe effeof versification. Emerging market securities are more volatile anless likely to normally stributethbromarket inces. In aition, a small portfolio is less likely to well representea mapping approach, anis less likely to normal. The RiskMetriapproaassumes ththe contionstribution is normansimplifies risk mapping. This will acceptable with a large number of securities with stributions close to the normal, whiis answer Answer A scribes the least versifieportfolio, for whithe HS methois best.讲义中说 why mapping? 1 计算量大 2特征随着时间改变 3数据太少时那就意味着 当数据少时 适合mapping， 那这个题不就是数据多时用HS更好嘛
NO.PZ2016070202000013 问题如下 The historicsimulation (HS) approais baseon the empiricstributions ana large number of risk factors. The RiskMetriapproaassumes normstributions anuses mapping on equity inces. The HS approais more likely to provi accurate estimate of Vththe RiskMetriapproafor a portfolio thconsists of A.A small number of emerging market securities B.A small number of bromarket inces C.A large number of emerging market securities A large number of bromarket inces The question als with the stribution of the assets anthe effeof versification. Emerging market securities are more volatile anless likely to normally stributethbromarket inces. In aition, a small portfolio is less likely to well representea mapping approach, anis less likely to normal. The RiskMetriapproaassumes ththe contionstribution is normansimplifies risk mapping. This will acceptable with a large number of securities with stributions close to the normal, whiis answer Answer A scribes the least versifieportfolio, for whithe HS methois best. 老师请问riskmetrics是什么模型？这题怎么理解？包含了大量新兴市场的数据，波动性更大的异常数据多了算的不是更精确吗？
NO.PZ2016070202000013 这个题是不是超纲了呀，没看到知识点，然后想问一下HS的方法如果small的数据是不是也不好呀，答这道题的时候很困惑呀，不知道从哪里入手
NO.PZ2016070202000013 这里说针对少数据的新兴市场用HS更好，但是不是也说过，就是由于新兴市场数据不够多，HS无法捕捉到足够多的数据，所以会缺失tail loss，而通过假设正态分布来应用在缺少样本量的新兴市场的话，可以获取到更多的尾部数据，所以用正态分布的假设会更好不是吗？
