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Pina · 2022年04月29日

这是这章里的知识点吗?

NO.PZ2018113001000088

问题如下:

Emerging market currency trading is subject to relatively frequent extreme events and market pressures. As a result, the probability distribution of returns for emerging market investments shows a larger tail than the normal distributionwhich usually used to assess the performance of investments in developed markets. In addition, there is a significant negative skew in the probability distribution of returns in emerging markets compared to developed markets (normal distribution).

Analyze the reasons why VAR is used to manage risk in emerging markets,and sharpe ratio is used to measure historical performance is inappropriate.

选项:

解释:

Answer:

The probability distribution of returns for emerging market investments shows a larger tail than the normal distribution, and there is a significant negative skew in the probability distribution of returns in emerging markets.

Given these differences, risk management and control tools that rely on normal distribution (such as VAR) can be misleading in extreme market conditions and significantly underestimate the risks to a portfolio.

Similarly, many of the investment performance indicators, such as the Sharpe ratio, used to assess performance are based on normal distribution. So when market conditions are stable, historical performance as measured by these indicators can look very attractive, but this apparent outperformance can disappear into heavy losses faster than most investors react.

Therefore, the "model" of its emerging market portfolio should not be assumed to be normally distributed. Instead, a larger, negatively skewed return probability distribution should be assumed to better reflect exposure to extreme events.

中文解析:

新兴市场外汇交易受到相对频繁的极端事件和市场压力的影响。因此,新兴市场投资的回报概率分布比通常用于评估发达市场投资表现的正态分布表现出更大的尾部。此外,与发达市场(正态分布)相比,新兴市场的回报概率分布也有明显的负偏态。

鉴于这些差异,在极端市场条件下,依赖于正态分布的风险管理和控制工具(VAR)可能会产生误导,并大大低估了投资组合所面临的风险。同样,许多用于评估业绩的投资业绩指标也是基于正态分布的。因此,当市场状况稳定时,用夏普比率(Sharpe ratio)等指标评估的历史业绩可能看起来非常有吸引力,但这种明显的出色表现可能会以比大多数投资者反应得更快的速度消失在严重亏损中。

新兴市场的短期稳定可能会给投资者一种过度自信的错觉,从而鼓励基于正态分布回报错觉的过度配置。因此,不应假定其新兴市场投资组合的模型为正态分布,而应该假设一个更大的、负偏态的回报概率分布,更好地反映极端事件的风险暴露。

老师好 这是这章里的知识点吗? 在讲义哪里?谢谢。

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Hertz_品职助教 · 2022年04月30日

嗨,爱思考的PZer你好:


同学你好~

这道题目也是今年新增的课后题哈,没有对应的教材和考纲要求,感觉像是几年前三级有一门课叫做risk management的内容,不知为何今年增加了一道这样的课后题。何老师在课后题的讲解中也有提到,这个点就简单了解即可哈~

在这里我也再解释一下这道题目。

1.     正态分布是很多模型建立的一个重要假设,但是在现实中很多情况下研究对象都不是正态分布的,比如发展中国家的投资回报,极端市场情况下的股价等等。但凡研究对象易受到极端事件影响的都不会是服从整态分布的。至于什么模型是使用的正态分布,这个要具体看这个模型的假设。正常情况下某个模型基于的分布是一个重要的条件需要给到我们的,否则的话这个模型是无法成立和使用的嘛。因此我们需要掌握的是在学习某个模型或者统计指标的时候关注它成立是基于怎样的分布的。

2.     本题中涉及的标准差,夏普比率还有VaR都是基于正态分布的。比如VaR,这个参数在FRM中会仔细学习,这里我们就简单了解,它指的是一定置信区间下,在一定的置信水平下,在未来特定的一段时间内的最大可能损失。这里的置信区间比如99%的置信区间,对应的就是要有一个正态分布的。

非正态分布没有这三个统计量。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

椰子皮 · 2022年08月08日

老师,这条有点疑惑。另类中提到用Mean-cvar,是因为另类是非正态分布。var和cvar应该都是基于正态分布得到的吧?

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NO.PZ2018113001000088 问题如下 Emerging market currentrang is subjeto relatively frequent extreme events anmarketpressures. a result, the probability stribution of returns for emergingmarket investments shows a larger tail ththe normstribution,whiusually useto assess the performanof investments invelopemarkets. In aition, there is a significant negative skew in theprobability stribution of returns in emerging markets compareto velopearkets (normstribution).Analyze the reasons why Vis usetomanage risk in emerging markets,ansharpe ratio is useto measure historicalperformanis inappropriate. Answer:The probability stribution of returns foremerging market investments shows a larger tail ththe normstribution, anhere is a significant negative skew in the probability stribution of returnsin emerging markets. Given these fferences, risk managementancontrol tools threly on normstribution (suVAR) cbemisleang in extreme market contions ansignificantly unrestimate therisks to a portfolio. Similarly, many of the investmentperformanincators, suthe Sharpe ratio, useto assess performanceare baseon normstribution. So when market contions are stable,historicperformanmeasurethese incators clook very attractive,but this apparent outperformancsappeinto heavy losses faster thanmost investors react.Therefore,the \"mol\" of its emerging market portfolio shoulnot assumetonormally stribute Instea a larger, negatively skewereturnprobability stribution shoulassumeto better refleexposure toextreme events.中文解析新兴市场外汇交易受到相对频繁的极端事件和市场压力的影响。因此,新兴市场投资的回报概率分布比通常用于评估发达市场投资表现的正态分布表现出更大的尾部。此外,与发达市场(正态分布)相比,新兴市场的回报概率分布也有明显的负偏态。鉴于这些差异,在极端市场条件下,依赖于正态分布的风险管理和控制工具(如VAR)可能会产生误导,并大大低估了投资组合所面临的风险。同样,许多用于评估业绩的投资业绩指标也是基于正态分布的。因此,当市场状况稳定时,用夏普比率(Sharpe ratio)等指标评估的历史业绩可能看起来非常有吸引力,但这种明显的出色表现可能会以比大多数投资者反应得更快的速度消失在严重亏损中。新兴市场的短期稳定可能会给投资者一种过度自信的错觉,从而鼓励基于正态分布回报错觉的过度配置。因此,不应假定其新兴市场投资组合的“模型”为正态分布,而应该假设一个更大的、负偏态的回报概率分布,更好地反映极端事件的风险暴露。 这个的知识点又是啥

2024-01-16 21:27 2 · 回答

NO.PZ2018113001000088 问题如下 Emerging market currentrang is subjeto relatively frequent extreme events anmarketpressures. a result, the probability stribution of returns for emergingmarket investments shows a larger tail ththe normstribution,whiusually useto assess the performanof investments invelopemarkets. In aition, there is a significant negative skew in theprobability stribution of returns in emerging markets compareto velopearkets (normstribution).Analyze the reasons why Vis usetomanage risk in emerging markets,ansharpe ratio is useto measure historicalperformanis inappropriate. Answer:The probability stribution of returns foremerging market investments shows a larger tail ththe normstribution, anhere is a significant negative skew in the probability stribution of returnsin emerging markets. Given these fferences, risk managementancontrol tools threly on normstribution (suVAR) cbemisleang in extreme market contions ansignificantly unrestimate therisks to a portfolio. Similarly, many of the investmentperformanincators, suthe Sharpe ratio, useto assess performanceare baseon normstribution. So when market contions are stable,historicperformanmeasurethese incators clook very attractive,but this apparent outperformancsappeinto heavy losses faster thanmost investors react.Therefore,the \"mol\" of its emerging market portfolio shoulnot assumetonormally stribute Instea a larger, negatively skewereturnprobability stribution shoulassumeto better refleexposure toextreme events.中文解析新兴市场外汇交易受到相对频繁的极端事件和市场压力的影响。因此,新兴市场投资的回报概率分布比通常用于评估发达市场投资表现的正态分布表现出更大的尾部。此外,与发达市场(正态分布)相比,新兴市场的回报概率分布也有明显的负偏态。鉴于这些差异,在极端市场条件下,依赖于正态分布的风险管理和控制工具(如VAR)可能会产生误导,并大大低估了投资组合所面临的风险。同样,许多用于评估业绩的投资业绩指标也是基于正态分布的。因此,当市场状况稳定时,用夏普比率(Sharpe ratio)等指标评估的历史业绩可能看起来非常有吸引力,但这种明显的出色表现可能会以比大多数投资者反应得更快的速度消失在严重亏损中。新兴市场的短期稳定可能会给投资者一种过度自信的错觉,从而鼓励基于正态分布回报错觉的过度配置。因此,不应假定其新兴市场投资组合的“模型”为正态分布,而应该假设一个更大的、负偏态的回报概率分布,更好地反映极端事件的风险暴露。 Vis useto manage risk in emerging markets ansharpe ratio is useto measure historicperformanof emerging marketsare inappropriate.the probability stribution of returns for emerging market investments shows ftail annegative skew comparing to velopemarkets with normstribution.Vmethocannot to manage risk unr relatively frequent extreme events anmarket pressures, whiis characteristic of emerging markets. CVmmost suitable.sharpe ratio is not suitable e to its assumption ththe probability stribution of returns shoulnormstribution, whiis not characteristic of emerging markets.

2023-05-20 23:08 1 · 回答

NO.PZ2018113001000088 简要地说就是数据不一定都是正态分布的。所以VaR和夏普比率都不一定准确

2022-02-16 07:33 1 · 回答