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奔跑的咸鱼 · 2021年04月08日

C是什么意思呀

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000002

问题如下：

A risk analyst is comparing the use of parametric and non-parametric approaches for calculating VaR and is concerned about some of the characteristics present in the loss data. Which of the following distribution characteristics would make parametric approaches the favored method to use?

选项：

A.

Skewness in the distribution

B.

Fat tails in the distribution

C.

Scarcity of high magnitude loss events

D.

Heteroskedasticity in the distribution

解释：

C is correct.

考点 ： non-parametric method

解析 ： Non-parametric approaches can accommodate fat tails, skewness, and any other non-normal features that can cause problems for parametric approaches. However, if the data period that is used in estimation includes few losses or losses with low magnitude, non-parametric methods will often produce risk measures that are too low. Hence parametric methods would be more appropriate in those situations.

C是什么意思呀

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1 个答案

品职答疑小助手雍 · 2021年04月08日

嗨，努力学习的PZer你好：


C是说如果历史样本中很大的loss比较少的时候

按题目的意思，此时parametric的比non-parametric的方法好，因为此时non-parametric的方法显示不出很多大的损失。

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