真诚请教FRM handbook第六版关于一道Kurtosis的问题

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Handbook 第六版

Example 2.1, FRM exam 2009 -question 2-3

   An analyst gathered the following information about the return distributions for two portfolios during the same time period:

Portfolio	Skewness	Kurtosis
A	-1.6	1.9
B	0.8	3.2

The analyst states that the distribution for portfolio A is more peaked than a normal distribution and that the distribution for Portfolio B has a long tail on the left side of the distribution. which of the following is correct?

a. The analyst's assessment is correct
b. The analyst's assessment is correct for Portfolio A and incorrect for B
c. The analyst's assessment is not correct for A but correct for B
d. The analyst's assessment is incorrect for both portfolios.

The answer is b. A has less kurtosis than normal distribution, which implies that it is more peaked.

这个对吗?不是Kurtosis<3, less peaked?

还有32页的Figure2.4也看着糊涂, 不是高峰胖尾,为什么反过来了? (这个图在第五板的36页也有)

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关键词：handbook Kurtosis Hand Book RTO following question correct period return

Kurtosis=3 is normal dist., >3 is more peak than a normal, <3 is less peak than a normal....

so the ans is right.

答案b说的跟你说的是反的啊?
2# mjsnoopy

很難,我也不太明白

alicezy 发表于 2011-2-12 02:53
答案b说的跟你说的是反的啊?
2# mjsnoopy

Also, if you read the figure that I mentioned in post(pg32 in 6ed and pg36 in 5ed of handbook), you will find it shows-
Kurtosis <3 more peaked than normal distribution;
Kurtosis >3, less peaked.

This is what I really confused!

就没人知道吗？

答案是b
Skewness        只用比较positive or negative sign 就可以了positive 就是skew to the right, long right hand tail(not fat tail)
Kurtosis 是用比较是比3大还是比3小， 数字越大，表示越flat，fat tail。
二楼的回答是错的

还有，对比nornal distribution,高峰胖尾同时出现是不可能的。应该是你理解错了吧

9# johnluo721
老实说我不是很理解这个handbook的说法（也想弄清楚）。

至少金程的书是这么说“高峰胖尾”。很多教材也是这么画的图。

比方说啊： PRM  handbook（v2）-Math foundation of risk management p57说

"If the data were normally distributed, the momemt of coefficient of kurtosis would be 3.0; The computed index value is greater than 3, indicating that the return data in question are more peaked than normal distribution and therefore are leptokurtic. ...."

跟你说的相反，跟FRM handbook上说的也相反。