NO.PZ2020033001000030
问题如下：
Which of the following options describes the advantages of spectral risk measurement over expected shortfall?
I.favorable smoothness properties
II.the possibility of adapting the risk measure directly to the risk aversion of investors
III.Spectral risk measure is a special case of expected shortfall.
选项：
A. I
B. I and II.
C. II and III.
D. I, II, III.
解释：
B is correct.
考点：谱风险度量
解析：ES法中，它只计算了尾部个别几个数据的平均值。所以谱分析法的权重分配更平滑一些，而且也可以根据风险偏好调整模型。
第三句陈述是不是说反了？如果说Es是谱分析的一种特殊形式就对了？
