D为什么不对？

NO.PZ2019070901000119

问题如下：

Which of the following statement is incorrect regarding to the calculation of the market risk capital requirement ?

选项：

Only VaR should be back tested, because the bank supervisors should identify if the VaR model used by the bank is effecient.

The VaR is calculated using a 99% one-tail confidence interval, and calibrated into a 10-day VaR for specific risks charge.

The bank should compare the previous day's VaR to the average VaR over the past 250 trading days multiply by the multiplicative factor.

both VaR and stressed VaR are considered in calculating capital charge of market risk.

解释：

C is correct.

考点：market risk capital charge

解析：C选项应该用过去60天的平均VaR乘以MC和过去一天的进行对比。

D答案为什么不对？感觉对呀

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品职答疑小助手雍 · 2023年10月19日

同学你好，D是对的啊，题目让选不对的，所以不选D。

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NO.PZ2019070901000119 A是什么意思？什么是backtesting

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请问BThe Vis calculateusing a 99% one-tail confininterval, ancalibrateinto a 10-y Vfor specific risks charge. specific risk charge也是用这个方法计算?我理解这个只是VaR和StresseVaR的计算

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D为什么不对？

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