NO.PZ2018122701000033
问题如下:
Basel II requires a backtest of a bank’s internal value at risk (VaR) model (IMA). Assume the bank’s ten-day 99% VaR is $1 million (minimum of 99% is hard-wired per Basel). The null hypothesis is: the VaR model is accurate. Out of 1,000 observations, 25 exceptions are observed (we saw the actual loss exceed the VaR 25 out of 1000 observations). (Binomial CDF)
选项:
A.We will probably call the VaR model good (accurate) but we risk a Type I error.
B.We will probably call the VaR model good (accurate) but we risk a Type II error.
C.We will probably call the model bad (inaccurate) but we risk a Type I error.
D.We will probably call the model bad (inaccurate) but we risk a Type II error.
解释:
C is correct.
考点
:
Backtesting VaR
解析 :H0 : the VaR model is accurate. Hα: the VaR model is inaccurate.
As 4.77 is larger than 2.58, we reject the null hypothesis. Therefore, the model is bad model, and this implies a risk of type I error.
如题