题目

BU.230.730.51.FA25 Final Exam- Requires Respondus LockDown Browser

多项填空题

If you incorrectly used a distribution of return that has a shorter [Fill in the blank], (left/right) tail than the true conditional distribution of return when calculating VaR and ES, then you tend to [Fill in the blank], (overestimate/underestimate) VaR and [Fill in the blank], (overestimate/underestimate) ES.

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思路分析

First, restating the question in my own words: when you pick a distribution for returns that has a shorter [blank] tail than the true conditional distribution, and you use that to compute VaR and ES, you will tend to [blank] VaR and [blank] ES. Option analysis: - If the missing tail is the right tail, that means your assumed distribution has a lighter right tail than the actual distribution. In the context of VaR and ES, we are usually concerned with tail risk in the loss domain (the left tail of returns). However, the problem statement explicitly says the tail that is shorter is the right tail, so we evaluate the effec......Login to view full explanation