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首頁 > FRM二級題庫 > Unit 1.Estimating Market Risk Measures

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It is not always apparent how risk should be quantified for a given bank when there are many different possible risk measures to consider. Prior to defining specific measures, one should be aware of the general characteristics of ideal risk measures. Such measures should be intuitive, stable, easy to understand, coherent, and interpretable in economic terms. In addition, the risk decomposition process must be simple and meaningful for a given risk measure. Standard deviation, value at risk (VaR), expected shortfall (ES), and spectral and distorted risk measures are commonly used measures to calculate economic capital. However, it is not easy to select a risk measure to calculate economic capital, as each measure has its respective pros and cons. Which of the following statements pertaining to the pros and cons of these risk measures is not accurate?

AStandard deviation does not have the property of monotonicity, and therefore, it is not coherent.

BVaR does not have the property of subadditivity, and therefore; it is not coherent.

CES is not stable regardless of the loss distribution.

DSpectral and distorted risk measures are neither intuitive nor commonly used in practice.

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