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金融民工阿聪 · 2021年03月30日

这里说针对少数据的新兴市场用HS更好

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2016070202000013

问题如下：

The historical simulation (HS) approach is based on the empirical distributions and a large number of risk factors. The RiskMetrics approach assumes normal distributions and uses mapping on equity indices. The HS approach is more likely to provide an accurate estimate of VAR than the RiskMetrics approach for a portfolio that consists of

选项：

A.

A small number of emerging market securities

B.

A small number of broad market indices

C.

A large number of emerging market securities

D.

A large number of broad market indices

解释：

The question deals with the distribution of the assets and the effect of diversification. Emerging market securities are more volatile and less likely to be normally distributed than broad market indices. In addition, a small portfolio is less likely to be well represented by a mapping approach, and is less likely to be normal. The RiskMetrics approach assumes that the conditional distribution is normal and simplifies risk by mapping. This will be acceptable with a large number of securities with distributions close to the normal, which is answer D Answer A describes the least diversified portfolio, for which the HS method is best.

这里说针对少数据的新兴市场用HS更好，但是不是也说过，就是由于新兴市场数据不够多，HS无法捕捉到足够多的数据，所以会缺失tail loss，而通过假设正态分布来应用在缺少样本量的新兴市场的话，可以获取到更多的尾部数据，所以用正态分布的假设会更好不是吗？

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袁园_品职助教 · 2021年03月30日

同学你好！

这题考查的是HS和RiskMetrics的比较优势。

核心是RiskMetrics的假设是正态分布，在新兴市场中容易出现极端事件，是不太符合正态分布的，所以HS有比较优势。而数据量越大越趋近于正态分布，此时HS就没有了比较优势。这题不是单纯看哪个条件对HS更好，而是哪个条件使得HS相对RiskMetrics更好。

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