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小小悟空yu · 2021年05月10日

c为什么错呢

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000012

问题如下：

Jack has collected a large data set of daily market returns for three emerging markets and he want to compute the VaR. He is concerned about the non-normal skew in the data and is considering non-parametric estimation methods. Which of the following statements about Age-weighted historical simulation approach is most accurate?

选项：

A.

The age-weighted procedure incorporate estimates from GARCH model.

B.

If the decay factor in the model is close to 1, there is persistence within the data set.

C.

When using this approach, the weight assigned on day i is equal to Wi=λi−1(1−λ)/(1−λi)W_i=\lambda^{i-1}(1-\lambda)/(1-\lambda^i)

D.

The number of observation should at least exceed 250.

解释：

B is correct.

考点 ： Age-weighted historical simulation

解析 ： If the intensity parameter (i.e., decay factor) is close to 1, there will be persistence (i.e., slow decay) in the estimate. The expression for the weight on day ihasiin the exponent when it should be n. While a large sample size is generally preferred, some of the data may no longer be representative in a large sample.

选项c为什么错呢呀？？
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1 个答案

袁园_品职助教 · 2021年05月11日

同学你好！


分母错了，应该是λ^n


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NO.PZ2018122701000012问题如下 Jahcollectea large ta set of ily market returns for three emerging markets anhe want to compute the VaR. He is concerneabout the non-normskew in the ta anis consiring non-parametric estimation metho. Whiof the following statements about Age-weightehistoricsimulation approais most accurate? The age-weighteprocere incorporate estimates from GARmol. If the cfactor in the mol is close to 1, there is persistenwithin the ta set. When using this approach, the weight assigneon y i is equto Wi=λi−1(1−λ)/(1−λi)W_i=\lamb^{i-1}(1-\lamb)/(1-\lamb^i)Wi​=λi−1(1−λ)/(1−λi) The number of observation shoulleast excee250. B is correct. 考点 Age-weightehistoricsimulation 解析 If the intensity parameter (i.e., cfactor) is close to 1, there will persisten(i.e., slow cay) in the estimate. The expression for the weight on y ihasiin the exponent when it shouln. While a large sample size is generally preferre some of the ta mno longer representative in a large sample. 不是很明白。。。。。

2024-01-31 18:20 3 · 回答

NO.PZ2018122701000012 问题如下 Jahcollectea large ta set of ily market returns for three emerging markets anhe want to compute the VaR. He is concerneabout the non-normskew in the ta anis consiring non-parametric estimation metho. Whiof the following statements about Age-weightehistoricsimulation approais most accurate? The age-weighteprocere incorporate estimates from GARmol. If the cfactor in the mol is close to 1, there is persistenwithin the ta set. When using this approach, the weight assigneon y i is equto Wi=λi−1(1−λ)/(1−λi)W_i=\lamb^{i-1}(1-\lamb)/(1-\lamb^i)Wi​=λi−1(1−λ)/(1−λi) The number of observation shoulleast excee250. B is correct. 考点 Age-weightehistoricsimulation 解析 If the intensity parameter (i.e., cfactor) is close to 1, there will persisten(i.e., slow cay) in the estimate. The expression for the weight on y ihasiin the exponent when it shouln. While a large sample size is generally preferre some of the ta mno longer representative in a large sample. 老师，应该是数据越多越好，没有最低最高限制吧？

2023-08-07 19:58 1 · 回答

is close to 1, there will persistence 这句话是什么意思呢。A和什么错呢

2021-01-24 00:03 1 · 回答