Which of the following statements is incorrect regarding bootstrap historical simulation? The bootstrapping technique:

A. draws a sample from the original data set, records the VAR from that particular sample and “returns” the data.

B. can be performed to estimate the expected shortfall(ES).

C. is a simple and intuitive estimation procedure.

D. provides less precise estimates of coherent risk measures than historical simulation on raw data alone.

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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

金融风险管理师

Jack is evaluating the existing risk management system of ABC Asset Management. She is asked to match the following events to the corresponding type of risk. Identify each numbered event as a market risk, credit risk, operational risk, or legal risk event.

2021-1-25 17:20:17

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