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FRM二级模拟真题精选:Application of extreme value theory

发表时间:2017-11-06 15:46
作者:FRM考试网
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Let X be a random variable representing the daily loss of your portfolio.The“peaks over threshold”(POT)approach considers a threshold value,u,of X and the distribution of excess losses over this threshold.Which of the following statements about this application of extreme value theory is correct?
 
A.To apply the POT approach,the distribution of X must be elliptical and known.

B.If X is normally distributed,the distribution of excess losses requires the estimation of only one parameter,β,which is a positive scale parameter.
 
C.To apply the POT approach,one must choose a threshold,u,which is high enough that the number of observations in excess of u is zero.
 
D.As the threshold,u,increases,the distribution of excess losses over u converges to a generalized Pareto distribution.

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报名、考试时间

2018年05月2018年11月
报名时间 第一阶段:2017.12.1~18.1.31
第二阶段:2018.02.01~02.28
第三阶段:2018.30.01~04.15
考试时间 2018年05月19日(周六)
成绩查询 2018年06月28日(周四)
报名时间2 第一阶段:2018.05.1~07.31
第二阶段:2018.08.01~08.31
第三阶段:2018.09.01~10.15
考试时间 2018年11月17日(周六)
成绩查询 2019年01月03日(周四)
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