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滴滴姐姐~ · 2021年11月12日

LDA 和 AMA

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。

我看了之前助教老师的回复。。

讲义41页拿捏了。。


但。。LDA和AMA什么关系呢?

LDA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。。。

1 个答案

李坏_品职助教 · 2021年11月12日

嗨,爱思考的PZer你好:


AMA是一个BASEL定的一个框架,在这个框架下允许银行使用LDA的方法去计量operational risk,也就是你说的severity和frequency,你可以认为LDA是AMA的一种表现方式。

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虽然现在很辛苦,但努力过的感觉真的很好,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。

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