问题如下:
Which of the following statements about regime-switching model is incorrect?
选项:
A.Var caculated based on regime-switching model may overestimate the actual loss amount.
The probability of large deviations from normality are much less likely occurring under the regime-switching model.
C.The regime-switching model captures the conditional normality.
D.Stress testing serves as a complement to regime-switching model.
解释:
A is correct.
考点:Fat-tail Distribution
解析:
这道题是选出说法错误的选项。
A选项说regime-switching model会高估Var,错误。regime-switching model会低估Var。
regime-switching model考虑了不同市场条件下收益率分布的特点,在某个特定市场条件下(conditional),原来在不区分市场条件下的非正态分布此时可能是正态分布,也就可能不会有肥尾现象。B、C正确。
压力测试考虑了极端情况下的损失,可以作为regime-switching model计算Var的一个补充。D正确。
Regime Switching是什么?忘记了