The VaR at a 99% confidence level is estimated to be 2.56 from a historical simulation of 1,000 observations. Which of the following statements is most likely true?
　　A.The parametric assumption of normal returns is correct.
　　B.The parametric assumption of lognormal returns is correct.
　　C.The historical distribution has fatter tails than a normal distribution.
　　D.The historical distribution has thinner tails than a normal distribution.
　　Answer: C
　　The historical simulation indicates that the 1% tail loss begins at 2.56, which is over 2.33 predicted by a standard normal distribution. Therefore, the historical simulation has fatter tails than a standard normal distribution.
 　　FRM官方微信　　
　　掃一掃微信，*9時間獲取2014年FRM考試報名時間和考試時間提醒
　　
　　高頓網校特別提醒：已經報名2014年FRM考試的考生可按照復習計劃有效進行！另外，高頓網校2014年FRM考試輔導高清課程已經開通，通過針對性地講解、訓練、答疑、模考，對學習過程進行全程跟蹤、分析、指導，可以幫助考生全面提升備考效果。
　　報考指南：2014年FRM考試報考指南
　　免費題庫：2014年FRM考試免費題庫
　　考試輔導：FRM考試招生專題
　　高清網課：FRM考試網絡課程