EWMA is simple in calculation and easy to be pot into practice, but it may conduct an underestimation of the market risk due to the inaccurate decay factor in the model.

 
  • EWMA方法簡(jiǎn)單并且易于操作,但是采用固定的衰減因子可能造成對風(fēng)險的錯誤估計,導致對于市場(chǎng)風(fēng)險估計不足;
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