题目
Assume the true distribution of returns is leptokurtic. If we assume normality when we calculate the VaR, then which of the following statements is true?
选项
A.The 95% VaR is overstated.
B.The 95% VaR is understated.
C.The 95% VaR is appropriate.
D.We cannot state the relationship between the true VaR and the calculated VaR.
答案
B
解析
Leptokurtic implies fat tail which means extreme value is more likely. Therefore, the 95% VaR calculated under normality assumption is understated. 尖峰暗示了肥尾，这意味着极有可能出现极值。 因此，在正常性假设下计算出的95％VaR被低估了。