[ 2009 FRM Sample Exam ] Operational and Integrated risk management Q25 management, following, measures, Extreme, returns

Abey

 

25. Which of the following statement(s) is/are TRUE?

I. The scale parameter in Extreme Value Theory measures the speed at which the tail disappears

II. The shape parameter for empirical stock market data has a higher value than that of the normal distribution

III. Normal distribution tails drop more slowly than for the empirical distribution for financial returns

IV. As the confidence level increases, the use of the Central Limit Theorem leads to an overestimate of the potential loss

A. II only

B. I and III only

C. II and III only

D. II and III only

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Abey

 

Correct answer is Afficeffice" />