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Pina · 2021年11月08日

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NO.PZ201702190100000201

问题如下:

1.Given Hamilton’s expectations, which of the following models is most appropriate to use in estimating portfolio VaR?

选项:

A.

Parametric method

B.

Historical simulation method

C.

Monte Carlo simulation method

解释:

C is correct.

The Monte Carlo simulation method can accommodate virtually any distribution, an important factor given the increased frequency of large daily losses. This method can also more easily accommodate the large number of portfolio holdings. The Monte Carlo method allows the user to develop her own forward-looking assumptions about the portfolio’s risk and return characteristics, unlike the historical simulation method, which uses the current portfolio and re-prices it using the actual historical changes in the key factors experienced during the look-back period. Given the limited return history for infrastructure investments and Hamilton’s expectations for higher-than-normal volatility, the historical simulation method would be a suboptimal choice.

考点: 计量VaR的方法对比

解析:

A选项: 由于在印度的投资above-average economic risk,所以不服从正态分布,因此不能使用parametric method

B选项:由于 Infrastructure 只有limited return history,所以数据量少,不能使用Historical simulation method。

C选项:正确。

老师好 这题是否 如果印度的投资 等于average economic risk,就可以服从正态分布,然后用parametric method? 有哪些描述可以表达投资可以服从正态分布?谢谢。

1 个答案
已采纳答案

星星_品职助教 · 2021年11月08日

同学你好,

在印度的投资above-average economic risk这个条件给出来的目的就是为了说明 不能用parametric的方法来做。并不是一定要反过来说才证明能用parametric的方法。如果是Average economic risk,这句话最大的可能是根本就不说了。

如果考察parametric方法,一般题干会直接假设正态分布。

当题目中提到mean,variance等关键参数时,大概率就是要使用parametric的方法了。


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NO.PZ201702190100000201 问题如下 Given Hamilton’s expectations, whiof the following mols is most appropriate to use in estimating portfolio VaR? A.Parametric metho B.Historicsimulation metho C.Monte Carlo simulation metho C is correct. The Monte Carlo simulation methocaccommote virtually any stribution, important factor given the increasefrequenof large ily losses. This methocalso more easily accommote the large number of portfolio holngs. The Monte Carlo methoallows the user to velop her own forwarlooking assumptions about the portfolio’s risk anreturn characteristics, unlike the historicsimulation metho whiuses the current portfolio anre-prices it using the actuhistoricchanges in the key factors experiencering the look-baperio Given the limitereturn history for infrastructure investments anHamilton’s expectations for higher-than-normvolatility, the historicsimulation methowoula suboptimchoice.考点 计量VaR的方法对比解析由于在印度的投资above-average economic risk,所以不服从正态分布,因此不能使用parametric metho由于 Infrastructure 只有limitereturn history,所以数据量少,不能使用Historicsimulation methoC正确。 是会肥尾然后峰矮一点吗?

2024-01-05 23:45 1 · 回答

NO.PZ201702190100000201 老师,我选的B 历史,因为不是要对公司进行重新估计,为什么不选B?

2022-01-01 13:12 1 · 回答

NO.PZ201702190100000201 A不能选的另一个原因是不是,Parametric Metho是用历史数据,而这里是limitereturn history,所以不能用? 谢谢老师!

2021-03-11 08:09 1 · 回答

这道题不能用第二段话来判断吗,因为有历史数据所以用历史法?我理解通常第一道题都是前几段话的?问题也没有强调是INFRSTRUCTURE,所以都不会往后看。

2020-03-10 13:00 1 · 回答