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hbc0728 · 2022年03月03日

这个题的知识点在哪里呢

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.

这个题是不是超纲了呀,没看到知识点,然后想问一下HS的方法如果small的数据是不是也不好呀,答这道题的时候很困惑呀,不知道从哪里入手

1 个答案
已采纳答案

李坏_品职助教 · 2022年03月04日

嗨,从没放弃的小努力你好:


这题考查的是HS和RiskMetrics的比较优势。


核心是RiskMetrics的假设是变量必须符合正态分布,在新兴市场中容易出现极端事件,是不符合正态分布的。数据量越少,也越难以服从正态分布,小样本的emerging market的情况下HS有比较优势。


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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