蛋同學
2023-07-12 22:25Let X be a random variable representing the daily loss of your portfolio. The “peaks over threshold” (POT) approach considers a threshold value, u, of X and the distribution of excess losses over this threshold. Which of the following statements about this application of extreme value theory is correct? B If X is normally distributed, the distribution of excess losses requires the estimation of only one parameter, β, which is a positive scale parameter.這個選項為什么是錯的，normally distributed不就代表tail index=0嗎？那這么看來就只需要規(guī)模參數(shù)這一個參數(shù)即可
所屬：FRM Part II > Market Risk Measurement and Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Will助教
2023-07-13 10:00
該回答已被題主采納
同學你好，normal distribution確實是tail index=0，但是等于0只能說他是一個正常的尾巴，不能說明我可以忽略這個參數(shù)或者說沒有ξ這個參數(shù)。
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