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FRM一级
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A risk analyst notices that the distribution he is assessing has a large number of observations in the right tail which are mostly unexpected and a small number of observations in the left tail, many of which are also unexpected. Which of the following statistical measures would help the analyst identify the distribution’s characteristics? I.Variance of weekly price changes II.Kurtosis of weekly price changes A I only B II only C Both I and II D Neither I nor II 平均正确率:54.4% 正确答案:B你的答案:C 解析 The distribution is skewed and leptokurtic. To measure the magnitude of these skewed tails, the analyst needs to consider both the skewness and kurtosis.
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