小編導讀：高頓網校2015年FRM考試輔導高清課程、免費題庫已經開通，通過針對性地講解、訓練、答疑、?？?，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。高頓FRM題庫>>>點擊進入“每日一練——免費在線測試”
　　Which of the following about the most common distribution used for peaks-over-threshold is false?
　　I.       The distribution requires a threshold, shape, and scaling parameter.
　　II.      The distribution of these extreme values follows the GEV distribution.
　　III.    The distribution produces a curve that dips below the normal distribution prior to the tail and then moves above the normal distribution in a curved shape until it reached the extreme tail.
　　IV.    The distribution provides a more accurate estimate of the event probabilities in the distribution tail, allowing VaR to be computed at high confidence levels.
　　A.     I and II
　　B.     II only
　　C.     III and IV
　　D.     IV only
　　Answer: B
　　GPD requires a threshold, shape, and scaling parameter. The distribution of these extreme values follows the GPD. GPD produces a curve that dips below the normal distribution prior to the tail and then moves above the normal distribution in a curved shape until it reaches the extreme tail. GPD provides a more accurate estimate of the event probabilities in the distribution tail, allowing VaR to be computed at high confidence levels.