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wawjbng · 2021年07月22日

D选项

  1. FRM II
  2. Operational Risk and Resiliency

NO.PZ2019052001000028

问题如下：

The loss distribution approach (LDA) models losses with respect to both frequency and severity with the goal of determining the appropriate level of capital. This method also faces several challenges. Which of the following options is not a disadvantage of LDA?

选项：

A.

The input of LDA is historical data.

B.

The data collection period is likely to be relatively short.

C.

If there is a major change in the economic situation in the future, historical data may not be applicable to future situations.

D.

It's difficult for LDA to capture the fat-tail.

解释：

A is correct.

考点：loss distribution approach (LDA) 定性

解析：BCD都是LDA方法面临的问题。只有A选项，A选项是LDA模型的优点。

老师好，请问D选项怎么理解呢，为什么很难解决肥尾问题
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1 个答案

品职答疑小助手雍 · 2021年07月24日

嗨，爱思考的PZer你好：


这个只是原版书的结论，中间没有拓展原因，只能去当结论记了。

你如果看到之前的回答里关于那些外部数据、蒙特卡洛或者卷积的过程也是了解一下就可以了，都已经是考纲外了。

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努力的时光都是限量版，加油！

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NO.PZ2019052001000028问题如下The loss stribution approa(L) mols losses with respeto both frequenanseverity with the goof termining the appropriate level of capital. This methoalso faces severchallenges. Whiof the following options is not a saantage of L? A.The input of L is historict B.The ta collection periois likely to relatively short. C.If there is a major change in the economic situation in the future, historicta mnot applicable to future situations. It's fficult for L to capture the fat-tail.A is correct. 考点loss stribution approa(L) 定性解析BC是L方法面临的问题。只有A，A是L模型的优点。使用历史数据不是局限性么，A与C表述的是同一件事。算了，这个题目好像出的不够精准。

2022-04-08 15:35 1 · 回答

NO.PZ2019052001000028 正因为A L用的历史数据 才有C 如果情况变动 历史不能代表未来呀 就是来问问L的优点A要咋理解。。。既是优点又是缺点吗？

2021-11-12 01:01 1 · 回答

NO.PZ2019052001000028 我看了之前助教老师的回复。。 讲义41页拿捏了。。 但。。L和AMA什么关系呢？ L是不是就是分别估计severity和freq 然后卷积一下。。 那AMA不也是这个吗。。。

2021-11-12 00:56 1 · 回答

NO.PZ2019052001000028 请问A为什么理解为优点呢？

2021-09-15 22:12 1 · 回答

NO.PZ2019052001000028 The ta collection periois likely to relatively short. If there is a major change in the economic situation in the future, historicta mnot applicable to future situations. It's fficult for L to capture the fat-tail. A is correct. 考点loss stribution approa(L) 定性 解析BC是L方法面临的问题。只有A，A是L模型的优点。老师，麻烦能帮忙再一下C吗？

2021-08-26 10:00 1 · 回答