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Roxanne_104 · 2020年07月07日

问一道题:NO.PZ2016070202000018 [ FRM II ]

Delay normal var是不是不适合动态的衡量?

问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

小刘_品职助教 · 2020年07月07日

同学你好,

这道题要考察的关键知识点是delta normal VAR不适用于有option的组合,因为option的分布不对称,delta normal
VAR前提是数据正态分布。

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