[問題] FRM考題?!
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者jeromew (原來這叫度日如年)時間19年前 (2006/04/23 18:28)推噓0(0推 0噓 0→)留言0則, 0人參與討論串1/1
The historical simulation(HS) approach is based on empirical
distributions and a large number of risk factors.
The RiskMetrics approach assume normal distributions
and uses mapping on equity indices.
The HS approach is more likely to provide an accurate estimate
of VAR than the RiskMetrics approach for a portfolio that consists of
a)A small number of emerging-market securities
b)A small number of broad-market indexes
c)A large number of emerging-market securities
d)A large number of broad-market indexes
只知道答案好像是d,但想請大家解答一下原因
(版主若認為不適合請刪文並多包涵^^")
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