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FRM二级考试:关于频率分布的例题解析!

发布时间:2021-03-17

来源:融跃教育

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频率分布是指在统计分组的基础上,将总体中各单位按组归类整理,按一定顺序排列,形成的总体中各单位在各组间的分布。在FRM二级考试中,关于频率分布的例题有什么?下文是例题解析,一起了解一下!

Which of the following is false regarding frequency distributions of operational risk events and severity distributions of operational risk events? They:

A) Can be combined in a process known as convolution.》》》点击领取2021年FRM备考资料大礼包(戳我免费领取)

B) Generally follow the same distribution.

C) Can help the analyst ascertain the cause of operational losses.

D) Must account for interdependencies when aggregating across many processes.

答案:B【资料下载】点击下载GARP官方FRM二级练习题

解析:Total risk is composed of frequency and severity.APoisson distribution is frequently assumed for the distribution of operational risk event frequency. The severity of each event often follows a different distribution, such as a lognormal.

These distributions can be combined into a single operational loss distribution in a process known as convolution. Separating losses into likelihood and severity allows the analyst to determine whether operational losses stem from low frequency high severity events or high frequency low severity events and aids diagnosis. If this analysis is repeated for multiple processes in the firm, which is necessary to estimate total operational risk using a bottom-up approach, then the analyst must consider correlations among the different processes.

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