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【FRM每日一题】二级:信用&市场强化(1)

发表时间:2015/8/26 13:58:42 编辑: 告诉小伙伴:
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[编考按]Johanna Roberto collected a data set of 1,000 daily observation on equity returns. She is concerned about the appropriateness of using parametric techn...



         Johanna Roberto collected a data set of 1,000 daily observation on equity returns. She is concerned about the appropriateness of using parametric techniques as the data appears skewed. Ultimately, she decides to use historical simulation and bootstrapping to estimate 5% VaR. Which of the following steps is most likely to be part of estimation procedure?

        A.Filter the data to remove the obvious outliers.

        B.Repeated sampling with replacement.

        C.Identify the tail region from reordering the original data.

        D.Apply a weighting procedure to reduce the impact of older data.

        Answer: B

        Bootstrapping from historical simulation involves repeated sampling with replacement. The 5% VaR is recorded from each sample draw. The average of the VaRs from all the draws is the VaR estimate. The Bootstrapping procedure does not involve filtering the data or weighting observations. Note that the VaR from the original data set is not used in the analysis.

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