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coda · 2018年07月22日

问一道题:NO.PZ2016070202000013 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

这题不是说HS更好吗?那应该数据来源是宽阔市场的大数据才对吧?

1 个答案
已采纳答案

妙悟先生品职答疑助手 · 2018年07月22日

这题考查的是HS和RiskMetrics的比较优势。此题的核心是RiskMetrics的假设是正态分布,在新兴市场中容易出现极端事件,是不太符合正态分布的,所以HS有比较优势。而数据量越大越趋近于正态分布,此时HS就没有了比较优势。这题不是单纯看哪个条件对HS更好,而是哪个条件使得HS相对RiskMetrics更好。

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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?

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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?

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