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hillock1122 · 2020年02月29日

问一道题:NO.PZ2016070201000010 [ FRM II ]

问题如下:

All of the following items are generally considered advantages of non-parametric estimation methods except:

选项:

A.

ability to accommodate skewed data.

B.

availability of data.

C.

use of historical data.

D.

little or no reliance on covariance matrices

解释:

The use of historical data in non-parametric analysis is a disadvantage, not an advantage. If the estimation period was quiet (volatile) then the estimated risk measures may understate (overstate) the current risk level. Generally, the largest VaR cannot exceed the largest loss in the historical period. On the other hand, the remaining choices are all considered advantages of non-parametric methods. For instance, the non-parametric nature of the analysis can accommodate skewed data, data points are readily available, and there is no requirement for estimates or covariance matrices.

请问B选项如何理解呢?

1 个答案

orange品职答疑助手 · 2020年03月01日

同学你好,B选项的意思是数据的可用性。因为非参数法会用到真实的数据去预估VaR,所以它这里认为是一个优点

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