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Jo · 2024年10月13日

请问

NO.PZ2023100703000026

问题如下:

A risk analyst at an investment bank is examining how quantile estimators can be incorporated into the bank’s risk measures. The analyst focuses on how estimators are constructed and how their precision and usefulness are determined. Which of the following statements about quantile estimators is correct?

选项:

A.Each quantile in the loss distribution must have an equal weight when used to create a coherent risk measure. B.The data and processes involved in estimating quantiles are different from those used to estimate coherent risk measures. C.QQ plots are a useful tool to evaluate the precision of a quantile estimator. D.Both the halving error and the standard error of a quantile estimator decrease as the number of quantiles used in the estimation process increases.

解释:

D is correct. The halving error and the standard error of a quantile estimator will both decrease as the number of slices, n, or quantiles, used in the process of estimating the risk measure increases. A is incorrect. Coherent risk measures can be created using sophisticated weighting functions and do not need to be equally weighted. B is incorrect. The building blocks of quantile estimation are essentially the same needed to estimate coherent risk measures. C is incorrect. QQ plots are a useful diagnostic tool when considering what kind of distribution might fit the profit and loss data. QQ plots are not used to analyze or evaluate quantile estimators.

请问这一个知识点对应的具体讲义是?

1 个答案

pzqa27 · 2024年10月14日

嗨,从没放弃的小努力你好:


这个题是主要考察QQ图和极值理论的一个题目,具体的讲解在经典题的这个位置有介绍。同学可以先参考下这个视频,如果仍有疑问,我们可以进一步讨论

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虽然现在很辛苦,但努力过的感觉真的很好,加油!