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文章用户商铺快讯星球问答

Which of the following non-parametric estimators combines the historical simulation model with conditional volatility models?

A. Filtered historical simulation.

B. Volatility-weighted historic simulation.

C. Correlation-weighted historic simulation.

D. Age-weighted historic simulation.

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  1. Which of the following statements about value at rish(VAR) is TRUE?
  2. With of the following items is not one of the advantages of non-parametric simulation methods?
  3. Suppose that 25 days ago the observed market variable percentage change was 2.3% with a daily volatility estimate of 2%. What is the sample percentage change using the Hull and White (HW) approach if the current daily volatility is estimated at 2.8%?
  4. Which of the following statements accurately describe filtered historical simulation? Filtered historical sumulation:

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FRMFRM二级FRM练习题
金融风险管理师

Suppose that 25 days ago the observed market variable percentage change was 2.3% with a daily volatility estimate of 2%. What is the sample percentage change using the Hull and White (HW) approach if the current daily volatility is estimated at 2.8%?

2021-1-17 3:37:25

金融风险管理师

Which of the following statements accurately describe filtered historical simulation? Filtered historical sumulation:

2021-1-17 3:48:55

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