Financial Risk Manager Part 2

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Which of the following statements about quantile estimators is correct?

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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.

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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.

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