问题如下图:
选项:
A.
B.
C.
D.
解释:
讲义上说at least 1 year of historical data or, if a non-equal weighting scheme is used, an average time lag of at least 6 months.
这说明如果是equally-weighted,1年的数据是必须的。选项B有什么错?
NO.PZ2016072602000058 问题如下 The 1996 amenent to the CapitAccord requires thinternmols Utilize least six months of historical ta Utilize least one yeof equally weightehistoricta Utilize enough historicta so that the weighteaverage age of the ta is least six months Utilize two years of historicta, unequally weighted C is correct. Answer is correif the bank uses fixeweights only. Otherwise, the average time lof the observations cannot less thsix months. 老师这道题是不是说给了银行固定的权重就是需要一年的历史数据,如果要计算weighteaverage 的var就数据不得小于6个月
这题选b还是c?
讲义上不是说要用一年的吗 这里为什么是6个月的? 根据答案 equally weighte和 fixeweighte不是一个意思吗? 如果不是一个意思 那么 这个fixerate到底等于多少
这题没太懂,书上好像也没有找到答案