FRM二级模拟题:Distribution characteristics would make parametric

时间:2017-11-06 15:45 作者:FRM考试网 来源:原创

A risk analyst is comparing the use of parametric and non-parametric approaches for calculating VaR and is concerned about some of the characteristics present in the loss data.Which of the following distribution characteristics would make parametric approaches the favored method to use?
 
A.Skewness in the distribution
 
B.Fat tails in the distribution
 
C.Scarcity of high magnitude loss events
 
D.Heteroskedasticity in the distribution

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