【FRM每日一题】二级：市场风险测量与管理（1）
备考FRM二级 | 2015-07-30
An empirical distribution that exhibits a fatter right tail than that of a lognormal distribution would indicate:
A.Equal implied volatilities across low and high strike prices.
B.Greater implied volatilities for low strike prices.
C.Greater implied volatilities for high strike prices.
D.Higher implied volatilities for mid-range strike prices.
Answer: C
An empirical distribution with a fat right tail generates a higher implied volatility for higher strike prices due to the increased probability of observing high underlying asset prices.
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