【FRM每日一题】一级：估值与风险模型
备考FRM一级 | 2015-10-27
Which of the following will lead to fat-tailed asset return distributions? A. Time-varying volatility for the unconditional distribution.
B. Time-varying volatility for the conditional distribution.
C. Time-varying means for the unconditional distribution.
D. Time-varying means for the conditional distribution.
Answer: A
The most likely explanation for "fat tails" is that the second moment or volatility is timevarying for the unconditional distribution. For example, this explanation is much more likely given observed changes in volatility in interest rates prior to a much anticipated Federal Reserve announcement. Examining a data sample at different points of time from the full sample could generate fat tails in the unconditional distribution, even if the conditional distributions are normally distributed.【FRM奖学金】
金程FRM小编提醒：FRM通过率逐年增加，建议广大童鞋积极报考，具体可咨询金程FRM在线客服！
相关标签 FRM一级
