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
选A?