FRM I, Variance, Kurtosis, Skewness adjustment


New Member
Hello, sorry, I have stupid question, but I cannot fully understand, so I'd like to ask from the community. In FRM original book, Quantative analysis, Chapter 2, they ask to compute the mean, variance, skewness and kurtosis in question 2.10. I struggle to understand why they adjust variance by additional 100 in the first place, and then what is the rule to adjust the resulting skewness and kurtosis? For example, I compute the variance as (x (in %) - Mean (in abs))*Pr (in abs), I get 5.54, in FRM it is 0.0554. So, they divide by 100 in the end to remove the % which are present in the returns? But then why the final variance in their answer is shown in %? For skewness I get 20.09, the correct answer is 1000 time less in %. Can you please guide me how to adjust the units?


  • 1679983350669.png
    76.2 KB · Views: 3