作者jeromew (原来这叫度日如年)
看板CFAiafeFSA
标题[问题] FRM考题?!
时间Sun Apr 23 18:36:20 2006
The historical simulation(HS) approach is based on empirical
distributions and a large number of risk factors.
The RiskMetrics approach assume normal distributions
and uses mapping on equity indices.
The HS approach is more likely to provide an accurate estimate
of VAR than the RiskMetrics approach for a portfolio that consists of
a)A small number of emerging-market securities
b)A small number of broad-market indexes
c)A large number of emerging-market securities
d)A large number of broad-market indexes
只知道答案好像是d,但想请大家解答一下原因
(版主若认为不适合请删文并多包涵^^")
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