wawjbng · 2021年07月07日
NO.PZ2020033001000030
问题如下：
Which of the following options describes the advantages of spectral risk measurement over expected shortfall?
I.favorable smoothness properties
II.the possibility of adapting the risk measure directly to the risk aversion of investors
III.Spectral risk measure is a special case of expected shortfall.
选项：
A. I
B. I and II.
C. II and III.
D. I, II, III.
解释：
B is correct.
考点：谱风险度量
解析：ES法中，它只计算了尾部个别几个数据的平均值。所以谱分析法的权重分配更平滑一些，而且也可以根据风险偏好调整模型。
老师，请问1怎么理解呢？
NO.PZ2020033001000030 问题如下 Whiof the following options scribes the aantages of spectrrisk measurement over expecteshortfall?I.favorable smoothness properties II.the possibility of apting the risk measure rectly to the risk aversion of investorsIII.Spectrrisk measure is a specicase of expecteshortfall. A.I B.I anII. C.II anIII. I, II, III. B is correct.考点谱风险度量解析ES法中，它只计算了尾部个别几个数据的平均值。所以谱分析法的权重分配更平滑一些，而且也可以根据风险偏好调整模型。 如题
NO.PZ2020033001000030 I anII. II anIII. I, II, III. B is correct. 考点谱风险度量 解析ES法中，它只计算了尾部个别几个数据的平均值。所以谱分析法的权重分配更平滑一些，而且也可以根据风险偏好调整模型。 第三句陈述是不是说反了？如果说Es是谱分析的一种特殊形式就对了？
NO.PZ2020033001000030 能请老师一下 II.the possibility of apting the risk measure rectly to the risk aversion of investors 在本题中如何理解吗 谢谢
