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上小学 · 2023年08月16日

Overlapping方法是A正确。

  1. FRM II
  2. Basel Accord

NO.PZ2019070901000098

问题如下：

The Basel committee tends to utilize overlapping time periods for stress testing, so liquidity horizons are incorporated into the expected shortfall calculations in the internal models-based approach. Which of the following statements is correct?

选项：

A.

A series of trials are used to scale smaller time periods up to longer time periods.

B.

For different liquidity horizons, approriate weights are assigned, besides, the Basel Committee has to decide a correlation factor for it.

C.

Over a 250-day window of time, expected shortfall is measured over a base horizon of 20 days.

D.

The expected shortfall is based on a waterfall of the liquidity horizon categories and is then scaled to the square root of the difference in the horizon lengths of the nested risk factors.

解释：

D is correct.

考点：在内部模型法中使用liquidity horizons来计算ES

解析：

ES是基于一系列liquidity horizon计算得出的，即

ES=ES12+∑j=25[ESjLHj−LHj−110]2ES=\sqrt{ES_1^2+\sum_{j=2}^5\left[ES_j\sqrt{\frac{LH_j-LH_{j-1}}{10}}\right]^2}

D的表述我看讲义完全错误，A正确。谢谢

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李坏_品职助教 · 2023年08月16日

嗨，努力学习的PZer你好：


D是讲义的原话，没错：


A这个做法一开始被巴塞尔委员会考虑过，但是2014年又被修改了，所以A不对：


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