题目
The historical simulation approach is more likely to provide an accurate estimate of the VaR than the Risk Metrics approach for a portfolio that consists of:
选项
A.a small number of emerging market securities
B.a small number of broad market indexes
C.a large number of emerging market securities
D.a large number of broad market indexes
答案
A
解析
The Risk Metrics approach is a delta-normal model that requires the returns to be approximately normally distributed, while the historical simulation model requires much less stringent assumptions. The returns on a portfolio with small number of securities is less likely to be normally distributed than a larger portfolio; and an emerging markets index is less likely to be normally distributed than a broad market index. Therefore the historical simulation approach will most likely provide a better VaR estimate than Risk Metrics for a portfolio with a small number of emerging market securities.风险度量方法是一种delta-normal模型，要求收益近似正态分布，而历史模拟模型所要求的假设则要宽松得多。 具有少量证券的投资组合的收益比较大的证券投资组合的正态分布可能性较小； 新兴市场指数的分布比大市场指数的可能性小。 因此，对于具有少量新兴市场证券的投资组合，历史模拟方法最有可能提供比风险度量更好的VaR估计。