Financial Risk Manager Part 1

The correct answer is A. For a normal distribution:

1. Skewness = 0: A normal distribution is perfectly symmetrical around its mean, so its skewness (third standardized moment) is zero.

2. Kurtosis = 3: The kurtosis (fourth standardized moment) of a normal distribution is 3. This is often referred to as "mesokurtic."

Key concepts:

• Skewness measures the asymmetry of a distribution. Positive skewness indicates a longer right tail, negative skewness indicates a longer left tail, and zero indicates symmetry.
• Kurtosis measures the "tailedness" or peakedness of a distribution. A kurtosis of 3 is the baseline for normal distributions. Values greater than 3 indicate "leptokurtic" distributions (heavy tails), while values less than 3 indicate "platykurtic" distributions (light tails).

Option B is incorrect because skewness is 0, not 1. Option C is incorrect because kurtosis is 3, not 2. Option D is incorrect because kurtosis is 3, not 4.