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题目 For two random variables (possibly dependent), X and Y, an upper bound on the covariance of X and Y is: 选项 A.σ_X σ_Y B.0 C.1 D.there is no upper bound unless the variables are [...]
题目 If the daily returns of two assets are positively correlated, then: 选项 A.the covariance of their daily returns must be positive. B.the covariance of their daily returns must be zero. C.the [...]
题目 What is kurtosis? What is its role in statistical distributions? 选项 A.Kurtosis measures the nature of the spread of the values around the mean. It represents the 4th moment of a [...]
题目 It has been observed that daily returns on spot positions of the Euro against the US Dollar are highly correlated with returns on spot holdings of the Japanese Yen against the US Dollar. This [...]
题目 Assume that the economy can be in three possible states next year: boom, normal, or slow economic growth. An expert source has calculated that P(BOOM) = 0.30, P(NORMAL) = 0.50, P(SLOW) = 0.20. [...]
题目 There are 2 phone calls per hour in a call center every day. The probability that they will receive 20 calls in an 8-hour day is closest to: 选项 A.5.59% B.6.56% C.7.66% D.8.40% 答案 A [...]
题目 Which distribution does NOT tend to approximate the normal as one of its parameters increases? 选项 A.Bernoulli B.Binomial C.Poisson D.All of the above 答案 A 解析 Binomial tends to [...]
题目 A portfolio of bonds consists of five bonds whose default correlation is zero. The one-year probabilities of default of the bonds are: 1%, 2%, 5%, 10% and 15%. What is the one-year probability [...]
题目 If the variable (Y) is a normal random variable, such than 「huixue_img/importSubject/1564169387177545728.png」, which of the following (X) variables is lognormally (log-normally) [...]
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 [...]