NO.PZ2018122701000026
问题如下：
Which of the following statements regarding extreme value theory (EVT) is incorrect?
选项：
A.In contrast to conventional approaches for estimating VaR, EVT only considers the tail behavior of the distribution.
B.Conventional approaches for estimating VaR that assume that the distribution of returns follows a unique distribution for the entire range of values may fail to properly account for the fat tails of the distribution of returns.
C.EVT attempts to find the optimal point beyond which all values belong to the tail and then models the distribution of the tail separately.
D.By smoothing the tail of the distribution, EVT effectively ignores extreme events and losses that can generally be labeled outliers.
解释：
D is correct.
考点Extreme Value
解析EVT only uses information in the tail, so statement a. is correct. Conventional approaches such as delta-normal VaR assume a fixed p.d.f. for the entire distribution, which may understate the extent of fat tails. So, statement b. is correct. The first step in EVT is to choose a cutoff point for the tail, then to estimate the parameters of the tail distribution, so statement c. is correct. Finally, EVT does not ignore extreme events (as long as they are in the sample).
如题
