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金融民工阿聪 · 2021年01月24日

C和D的问题

问题如下:

Which of the following statements regarding extreme value theory (EVT) is incorrect?

选项:

A.

In contrast to conventional approaches for estimating VaR, EVT only considers the tail behavior of the distribution.

B.

Conventional approaches for estimating VaR that assume that the distribution of returns follows a unique distribution for the entire range of values may fail to properly account for the fat tails of the distribution of returns.

C.

EVT attempts to find the optimal point beyond which all values belong to the tail and then models the distribution of the tail separately.

D.

By smoothing the tail of the distribution, EVT effectively ignores extreme events and losses that can generally be labeled outliers.

解释:

D is correct.

考点 Extreme Value

解析 EVT only uses information in the tail, so statement a. is correct. Conventional approaches such as delta-normal VaR assume a fixed p.d.f. for the entire distribution, which may understate the extent of fat tails. So, statement b. is correct. The first step in EVT is to choose a cutoff point for the tail, then to estimate the parameters of the tail distribution, so statement c. is correct. Finally, EVT does not ignore extreme events (as long as they are in the sample).

C里面的前半句,不是应该是算VaR的过程吗,EVT不是应该是在已知尾部之后针对尾部做的计算么。

D这句话是什么意思,没看懂,所说的smooth-the-tail是什么意思呢

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小刘_品职助教 · 2021年01月25日

同学你好,

D的前半句是错误的,没有什么意思,就是说在计算的时候把尾部的分布更平滑一些,减少极值的影响。

C说的是对的,EVT在运用的时候首先要去定义一个threshold,然后再去研究对应的分布,像GEV和GPD的过程都是这样。

 

小刘_品职助教 · 2021年01月25日

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