Iris
2018-10-05 17:36Your supervisor is an expert in market and credit risk. He recruits you to manage the operational risk department. He would like to use VaR to measure the firm's operational risk and proposes that you use the same VaR framework previously developed for market and credit risk. Which of the following is a valid argument for why it is difficult to estimate an operational VaR using the same framework as market and credit VaR? A.Market risk events are easier to map to risk factors than operational risk events. C.Market and credit VaRs are estimated using only frequency distribution, but operational VaR is estimated using both a freq distribution and a severity distribution. 其他B,D肯定錯，但是不明白為什么C錯和A對，為什么market risk更容易map to risk factors? 請老師解答一下，謝謝！
所屬：FRM Part I 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Cindy助教
2018-10-08 17:38
該回答已被題主采納
同學你好，因為我們在研究市場風險的時候，通常都是假設正態(tài)分布的，而正態(tài)分布的性質(zhì)很多我們都是已知的，研究起來就比較方便。對于操作風險，它是一種肥尾的分布，肥尾的話建模起來就不那么容易了。所以A是對的，C選項，看關鍵詞only，這么絕對的說99%的可能都是錯的，太絕對了。
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