问题如下图:
选项:
A.
B.
C.
D.
解释:
C为什么错了--上课不是有一道例题就是10-day Es吗?可以解释一下其他选项吗?NO.PZ2019070901000098 问题如下 The Basel committee ten to utilize overlapping time perio for stress testing, so liquity horizons are incorporateinto the expecteshortfall calculations in the internmols-baseapproach. Whiof the following statements is correct? A.A series of trials are useto scale smaller time perio up to longer time perio. B.For fferent liquity horizons, approriate weights are assigne besis, the Basel Committee hto ci a correlation factor for it. C.Over a 250-y winw of time, expecteshortfall is measureover a base horizon of 20 ys. The expecteshortfall is baseon a waterfall of the liquity horizon categories anis then scaleto the square root of the fferenin the horizon lengths of the nesterisk factors. is correct.考点在内部模型法中使用liquity horizons来计算ES解析ES是基于一系列liquity horizon计算得出的,即ES=ES12+∑j=25[ESjLHj−LHj−110]2ES=\sqrt{ES_1^2+\sum_{j=2}^5\left[ES_j\sqrt{\frac{LH_j-LH_{j-1}}{10}}\right]^2}ES=ES12+∑j=25[ESj10LHj−LHj−1]2 选A?
NO.PZ2019070901000098 问题如下 The Basel committee ten to utilize overlapping time perio for stress testing, so liquity horizons are incorporateinto the expecteshortfall calculations in the internmols-baseapproach. Whiof the following statements is correct? A.A series of trials are useto scale smaller time perio up to longer time perio. B.For fferent liquity horizons, approriate weights are assigne besis, the Basel Committee hto ci a correlation factor for it. C.Over a 250-y winw of time, expecteshortfall is measureover a base horizon of 20 ys. The expecteshortfall is baseon a waterfall of the liquity horizon categories anis then scaleto the square root of the fferenin the horizon lengths of the nesterisk factors. is correct.考点在内部模型法中使用liquity horizons来计算ES解析ES是基于一系列liquity horizon计算得出的,即ES=ES12+∑j=25[ESjLHj−LHj−110]2ES=\sqrt{ES_1^2+\sum_{j=2}^5\left[ES_j\sqrt{\frac{LH_j-LH_{j-1}}{10}}\right]^2}ES=ES12+∑j=25[ESj10LHj−LHj−1]2 B识曾相识啊! 是在哪说过? 为啥对此题来说是不对的?
NO.PZ2019070901000098问题如下The Basel committee ten to utilize overlapping time perio for stress testing, so liquity horizons are incorporateinto the expecteshortfall calculations in the internmols-baseapproach. Whiof the following statements is correct?A.A series of trials are useto scale smaller time perio up to longer time perio.B.For fferent liquity horizons, approriate weights are assigne besis, the Basel Committee hto ci a correlation factor for it.C.Over a 250-y winw of time, expecteshortfall is measureover a base horizon of 20 ys.The expecteshortfall is baseon a waterfall of the liquity horizon categories anis then scaleto the square root of the fferenin the horizon lengths of the nesterisk factors. is correct.考点在内部模型法中使用liquity horizons来计算ES解析ES是基于一系列liquity horizon计算得出的,即ES=ES12+∑j=25[ESjLHj−LHj−110]2ES=\sqrt{ES_1^2+\sum_{j=2}^5\left[ES_j\sqrt{\frac{LH_j-LH_{j-1}}{10}}\right]^2}ES=ES12+∑j=25[ESj10LHj−LHj−1]2 表述我看讲义完全错误,A正确。谢谢
NO.PZ2019070901000098 问题如下 The Basel committee ten to utilize overlapping time perio for stress testing, so liquity horizons are incorporateinto the expecteshortfall calculations in the internmols-baseapproach. Whiof the following statements is correct? A.A series of trials are useto scale smaller time perio up to longer time perio. B.For fferent liquity horizons, approriate weights are assigne besis, the Basel Committee hto ci a correlation factor for it. C.Over a 250-y winw of time, expecteshortfall is measureover a base horizon of 20 ys. The expecteshortfall is baseon a waterfall of the liquity horizon categories anis then scaleto the square root of the fferenin the horizon lengths of the nesterisk factors. is correct.考点在内部模型法中使用liquity horizons来计算ES解析ES是基于一系列liquity horizon计算得出的,即ES=ES12+∑j=25[ESjLHj−LHj−110]2ES=\sqrt{ES_1^2+\sum_{j=2}^5\left[ES_j\sqrt{\frac{LH_j-LH_{j-1}}{10}}\right]^2}ES=ES12+∑j=25[ESj10LHj−LHj−1]2 overlapping time perio这是什么意思
NO.PZ2019070901000098问题如下 The Basel committee ten to utilize overlapping time perio for stress testing, so liquity horizons are incorporateinto the expecteshortfall calculations in the internmols-baseapproach. Whiof the following statements is correct?A.A series of trials are useto scale smaller time perio up to longer time perio.B.For fferent liquity horizons, approriate weights are assigne besis, the Basel Committee hto ci a correlation factor for it.C.Over a 250-y winw of time, expecteshortfall is measureover a base horizon of 20 ys.The expecteshortfall is baseon a waterfall of the liquity horizon categories anis then scaleto the square root of the fferenin the horizon lengths of the nesterisk factors. is correct.考点在内部模型法中使用liquity horizons来计算ES解析ES是基于一系列liquity horizon计算得出的,即ES=ES12+∑j=25[ESjLHj−LHj−110]2ES=\sqrt{ES_1^2+\sum_{j=2}^5\left[ES_j\sqrt{\frac{LH_j-LH_{j-1}}{10}}\right]^2}ES=ES12+∑j=25[ESj10LHj−LHj−1]2 A哪里说的不对呢?讲义149页是这么说的吧