题目
Which of the following statements is true regarding the bootstrap simulation method used in VaR estimation? I Bootstrapping uses actual market data. II The bootstrapping method always uses a time horizon based on the time scale of the historical data. III Bootstrapping is based on synthesis of normally distributed random numbers.
选项
A.I only
B.II only
C.I and III
D.I, II and III
答案
A
解析
Bootstrapping uses actual market data. Bootstrapping can be done with data that uses the same time line as the one of interest or shorter term data. MC is based on a synthesis of normally distributed random numbers.自举使用实际的市场数据。 可以使用与感兴趣的时间轴或较短时间的数据使用相同时间线的数据进行引导。 MC是基于正态分布随机数的综合。