金程资讯FRM
首页 FRM考试 FRM课程 FRM题库 FRM直播 FRM资料
您现在的位置:首页试题精选 【估值与风险模型】FRM一级每日习题精选

【估值与风险模型】FRM一级每日习题精选

发表时间: 2015-03-09 10:33:31 编辑:金程frm

【估值与风险模型】FRM一级每日习题精选
【估值与风险模型】FRM一级每日习题精选
Which of the following will lead to fat-tailed asset return distributions?

A. Time-varying volatility for the unconditional distribution.
B. Time-varying volatility for the conditional distribution.
C. Time-varying means for the unconditional distribution.
D. Time-varying means for the conditional distribution.

Answer: A

The most likely explanation for "fat tails" is that the second moment or volatility is timevarying for the unconditional distribution. For example, this explanation is much more likely given observed changes in volatility in interest rates prior to a much anticipated Federal Reserve announcement. Examining a data sample at different points of time from the full sample could generate fat tails in the unconditional distribution, even if the conditional distributions are normally distributed.

关注微信获取更多FRM免费课程

frm

吐槽

对不起!让你吐槽了

/500

上传图片

    可上传3张图片

    Copyright © 2001-2017 金程网校 All Rights Reserved.