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.
riskmetrics在讲义哪里讲到？
