176****6082
2024-05-05 19:31老師，請每個選項(xiàng)講下吧
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
黃石助教
2024-05-10 14:34
該回答已被題主采納
同學(xué)你好。這道題主要考查的是原版書中一篇文獻(xiàn)綜述里的內(nèi)容，這些都是文獻(xiàn)里的結(jié)論，我的建議是有時間的話稍微記一下這些結(jié)論就可以了，至于這些論文用了哪些數(shù)據(jù)、用了什么方法就不需要去了解了。同時，對于這些實(shí)證研究，其實(shí)換個方法換組數(shù)據(jù)完全可能有不同的結(jié)果。原文如下：
The accuracy of square-root of time scaling depends on the statistical properties of the data generating process of the risk factors. Diebold et. al. (1998) show that, if risk factors follow a GARCH(1, 1) process, scaling by the square-root of time overestimates long horizon volatility and consequently VaR is overestimated. Similar conclusions are drawn by Provizionatou, Markose and Men kens (2005). In contrast to the results that assume that risk factors exhibit time-varying volatility, Danielsson and Zigrand (2006) find that, when the underlying risk factor follows a jump d iffusion process, scaling by the square root of time systematically underestimates risk and the downward bias tends to increase with the time horizon.
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追答
對于A選項(xiàng)的話，這個相當(dāng)于是做法上的錯誤。我們不應(yīng)該在出了問題之后才去找解決方案，而是防患于未然。更高階的VaR模型一般都會摒棄volatility是恒定不變的假設(shè)，轉(zhuǎn)而使用某些方法去建模時變波動率。
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