NO.PZ2023100703000125
问题如下:
Now that there are 1000 observations with a VaR of 1.6 at the 95% confidence level calculated from historical simulations, which of the following statements is most likely to be true?
选项:
A.The observed values obey the standard normal distribution.
The observed values obey the lognormal distribution.
The tails of the observed value distribution are fatter than the standard normal distribution.
The tails of the observed value distribution are thinner than the standard normal distribution.
解释:
如果是满足标准正态分布,那95%分位数的VAR值应为1.65,现在是1.6,所以尾巴上的分布应该比正态分布瘦。
我以为是更肥,所以同样面积下只到1.6