Timedbean · 2024年10月27日
NO.PZ2023091701000101
问题如下：
Which of the following is a disadvantage of the historical simulation method over the Risk Metrics model? The historical method requires:
I.A worst-case scenario as an input.
II.The future is determined by the past.
III.Standard deviations and correlations.
IV.The assumption of normal distributions for asset returns.
选项：
A.I and III only B.II only C.II and IV only D.III only解释：
Risk Metrics 不是也是通过过去的return来推断未来么？为什么选II 呢？
NO.PZ2023091701000101 问题如下 Whiof the following is a saantage of the historicalsimulation methoover the Risk Metrimol? The historicmethorequires: I.A worst-casescenario input. II.The future isterminethe past. III.Stanreviations ancorrelations. IV.Theassumption of normstributions for asset returns. A.I anIII only B.II only C.II anIV only III only 第一个怎么理解，请问老师谢谢
NO.PZ2023091701000101问题如下 Whiof the following is a saantage of the historicalsimulation methoover the Risk Metrimol? The historicmethorequires: I.A worst-casescenario input. II.The future isterminethe past. III.Stanreviations ancorrelations. IV.Theassumption of normstributions for asset returns. A.I anIII onlyB.II only C.II anIV onlyIII onlyI.A worst-case scenario input.这点不是historical的劣势吗？用历史数据不是也包括了极端事件，会高估var吧
