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小千 · 2020年02月17日

问一道题:NO.PZ2016070201000003

问题如下:

Which of the following statements about expected shortfall estimates and coherent risk measures are true?

选项:

A.

Expected shortfall and coherent risk measures estimate quantiles for the entire loss distribution.

B.

Expected shortfall and coherent risk measures estimate quantiles for the tail region.

C.

Expected shortfall estimates quantiles for the tail region and coherent risk measures estimate quantiles for the non-tail region only.

D.

Expected shortfall estimates quantiles for the entire distribution and coherent risk measures estimate quantiles for the tail region only.

解释:

B is correct. ES estimates quantiles for n-1 equal probability masses in the tail region only. The coherent risk measure estimates quantiles for the entire distribution including the tail region.

问题:coherent risk measures 不是包括ES吗

在课件中,符合coherent的risk measures 是ES和Spectral,可是这道题目却又在对比coherent measures和ES,ES难道不是coherent measures吗?还是说这道题目的coherent measures 特指出了spectral

1 个答案

品职答疑小助手雍 · 2020年02月18日

同学你好,ES只能说是一个特殊情况(尾部以外,其他部分权重当0处理的coherent),

不把ES当成特殊情况(只考虑了尾部)的话,还是可以对比的。