更多服务

特色服务

找学习资源

查报考信息

看备考资讯

备考工具箱

报考指南

报名入口

报名流程

考试动态

考试日历

备考指南

资料中心

福利政策

热门题库

全部

FRM一级考前答疑<2> 　

来源：高顿网校 2015-03-27

　　小编导读：

　　您还会为FRM考试感到烦恼吗？高顿网校精品题库，包含历年真题，模拟试题等题型，题题结合考试大纲贴近考试考点。坚持每天做题练习，一定可以提升备考效果，为赢取属于自己的美好明天加油吧！马上开始练习 >>>

　　2. EVT中那个字母说明尾部形状，大于1肥尾，小于0细尾，而数量分析习题课第52题第二个说法，说这个字母为负的时候说明尾部比正态分布尾部消失的快，尾部细不就是消失得快吗？

　　Which of the following statements about Extreme Value Theory (EVT) and its application to value at risk are true?

　　I. EVT extends the Central Limit Theorem to the distribution of the tails of independent, identically distributed random variables drawn from an unknown distribution.

　　II. For empirical stock market data, the shape parameter in EVT is negative implying tails that disappear more rapidly than a normal distribution.

　　III. EVT can help avoid a shortcoming of the historical simulation method which may have difficulty calculating VaR reliably due to a lack of data in the tails.

　　IV. For empirical stock market data, standard value at risk estimates at the 95% confidence level are exceeded more often than 5% of the time and would therefore benefit from the use of extreme value theory.

　　A. I and III

　　B. II and IV

　　C. I, III and IV

　　D. III and IV

　　Answer: A

　　I. correct. Whereas the Central Limit Theorem concerns the distribution of the average of independent, identically distributed variables drawn from an unknown distribution, EVT deals with the distribution of the tails.

　　II. incorrect. The shape parameter in EVT for empirical stock market data is typically between 0.2 and 0.4, implying that the tails disappear more slowly than a normal distribution.

　　III. correct. Due to its reliance on historical data which may lack sufficient tail data (i.e., extreme events), reliably calculating VaR with the historical simulation method can be difficult; EVT can help avoid this shortcoming.

　　IV． incorrect. For empirical stock market data, standard value at risk estimates at the 95% confidence level tend to be fairly accurate, and generally only becomes inaccurate at the 99.5% confidence level and beyond.

　　答疑：Shape parameter determines the speed at which the tail disappears. The normal distribution corresponds to shape parameter equals zero while typical financial data have a positive shape parameter which implies fat tails. (Handbook P364)。这道题的问题出在for empirical stock market data, 应该是肥尾的现象，对应正的shape parameter。而后半句没有问题。

　　高端网校温馨提醒：

　　各位考生，如果您在学习中遇到任何疑问，请登录高顿部落FRM论坛，随时与广大考生朋友们一起互动交流！进入论坛>>

　　FRM考试免费题库【手机题库下载】| 在线直播

　　FRM高清网课免费体验 FRM名师精品班免费试听

　　精彩推荐：

FRM考试，FRM是什么？

2015年FRM考试常见问题解析

FRM考试在线高清视频指导

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线