金融分析师FRM一级练习题：定量分析（5）
备考FRM一级 | 2020-02-21
定量分析这门课在FRM一级考试中的占比是20%，这部分内容作为一门工具性的学科，是为第三门金融市场与产品还有第四门估值与风险模型做基础的，所以也是十分重要的，最近很多考生咨询有没有关于定量分析的练习题，所以小编特向金程研究院老师那申请了关于定量分析的习题分享给大家，希望大家可以持续关注！》》》需要做FRM习题的点我咨询Which type of distribution produces the lowest probability for a variable to exceed a specified extreme value X which is greater than the mean assuming the distributions all have the same mean and variance?
A leptokurtic distribution with a kurtosis of 4A leptokurtic distribution with a kurtosis of 8A normal distribution
A platykurtic distribution
Solution: D
A is incorrect. A leptokurtic distribution has fatter tails than the normal distribution. The kurtosis indicates the level of fatness in the tails, the higher the kurtosis, the fatter the tails. Therefore, the probability of exceeding a specified extreme value will be higher.
B is incorrect. Since answer A. has a lower kurtosis, a distribution with a kurtosis of 8 will necessarily produce a larger probability in the tails.
C is incorrect. By definition, a normal distribution has thinner tails than a leptokurtic distribution and larger tails than a platykurtic distribution.
D is correct. By definition, a platykurtic distribution has thinner tails than both the normal distribution and any leptokurtic distribution. Therefore, for an extreme value X, the lowest probability of exceeding it will be found in the distribution with the thinner tails.
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