Financial Risk Manager Part 2
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A risk analyst at an investment bank is examining how quantile estimators can be incorporated into the bank's risk measures. The analyst focuses on how estimators are constructed and how their precision and usefulness are determined. Which of the following statements about quantile estimators is correct?
A
Each quantile in the loss distribution must have an equal weight when used to create a coherent risk measure.
B
The data and processes involved in estimating quantiles are different from those used to estimate coherent risk measures.
C
QQ plots are a useful tool to evaluate the precision of a quantile estimator.
D
Both the halving error and the standard error of a quantile estimator decrease as the number of quantiles used in the estimation process increases.