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stefi · 2017年09月08日

问一道题:NO.PZ2016070202000018 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2017年10月21日

这道题考的是parametric estimation method和non-parametric  method的优缺点。看到delta
normal VAR就要想到不能持有option,因为option的分布不对称,delta normal
VAR前提是数据正态分布。所以A肯定错了。

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