顏同學(xué)
2018-04-25 11:38麻煩老師可以解釋下這道題么，Positive parameter estimate 怎么判斷的還有VAR 值的大小怎么區(qū)分的 謝謝老師 51. Extreme value theory (EVT) can assist with value at risk (VaR) calculations by providing better probability estimates of observing extreme losses than that indicated by a standard normal distribution because empirical distributions exhibit fat tails. If one uses the generalized Pareto distribution (GPD method to generate parameter estimates for the shape parameter, fat tails will indicate a: ?A. positive parameter estimate and VaR calculations that are too large B. negative parameter estimate and VaR calculations that are too small C. positive parameter estimate and VaR calculations that are too small D. negative parameter estimate and VaR calculations that are too large
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
金程教育吳老師助教
2018-04-25 14:19
該回答已被題主采納
學(xué)員你好。ξ是尾部形狀參數(shù)，厚尾該形狀參數(shù)>0，因?yàn)槭呛裎?，所以?biāo)準(zhǔn)正態(tài)分布與之相比，分位數(shù)取得較小，根據(jù)標(biāo)準(zhǔn)正態(tài)分布的分位數(shù)計(jì)算出來的VAR較小。
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