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Veronica0073 · 2024年07月28日

没看懂题干用意

  1. CFA II
  2. Portfolio

* 问题详情，请 查看题干

NO.PZ202110140100000505

问题如下：

Based on the statistical study performed by GWP, which of the following represents a suggested course of action if GWP were to conduct Monte Carlo simulation analyses on the factor strategies?

选项：

A.Inverse transformation B.Bootstrapping C.Sensitivity analysis

解释：

C is correct.

Performing sensitivity analysis represents best practice given these characteristics, because the user could test different probability distributions that relax the assumptions of the normal distribution, for example.

A is incorrect. Inverse transformation is a method of random observation generation, often used in simulation.

B is incorrect. Bootstrapping refers to random sampling with replacement, often used in historical simulation.

他不是再问说如果要用MCS，肯定会做什么步骤吗？那答案不就是Random number generator发射随机变量找到利率变动路径？和sensitivity analysis有什么关系？sensitivity analysis不是用来提供Non-normal distribution情形下的MCD吗？这题和背景都没说MCD的缺陷啊

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1 个答案

品职助教_七七 · 2024年07月28日

嗨，从没放弃的小努力你好：


这道题问的是如果要做MCS，那么还建议配合着做什么（suggested course of action）。

“Random number generator发射随机变量”是MCS里面内含的一个步骤，做MCS的时候就直接包含这个过程了，不需要额外采取行动，和这个题意不是很搭。

这道题解题的关键描述是“...these distributions were non-normal based on their negative skewness, excess kurtosis, and tail dependence”。是通过这句话说明了“sensitivity analysis不是用来提供Non-normal distribution情形下的MCS吗”。

所以，由于分布不是正态的，就需要逐个分析这些因子（egative skewness, excess kurtosis, and tail dependence）会带来的影响，此时就需要做sensitivity analysis来配合和补充MCS。

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