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Which of the following correctly describe the similarities between Operational VaR and Market VaR?
I. Both VARs, when used for regulatory capital measurement, need to be validated against actual loss experience
II. Both are built on data (market prices for Market VaR and operational loss data for Operational VaR) that is readily available
III. Both are modeled based on a normal distribution
IV. Extreme Value Theory can be used to model extreme losses at the tail of the
distribution for both Operational and Market VaR.
A) I and IV
B) I, II and III
C) I, II and IV
D) II, III and IV
答案:A
解析:I and IV are correct comparisons. II is not a correct comparison. While market risk data is readily available, operational losses (especially extreme operational losses) data are relatively sparse and pose significant difficulty for operational VaR modeling.
III is not a correct comparison. Other statistical distributions also are in use for modeling VaR. E.g. an Operational VaR can be derived from convolution of a frequency distribution (e.g. Poisson distribution) and a severity distribution (e.g. lognormal distribution).
FRM真题很关键,融跃小编给FRM考生进行真题练习,帮助考生更好的把握考点,同时对自己进行检验,若是出现不会的地方,还有及时弥补的时间。
FRM考试的内容就分享这么多,考生如果对FRM考试还有更多的疑问,可以文章评论一起学习探讨!
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