NO.PZ2023102101000042
问题如下：
Which of the following characteristics outlined
describe the measurement of stressed value at risk is incorrect?
选项：
A.
The stressed VaR is calculated on a monthly basis
B.
Historical bank data from the same portfolio is used
in measuring SVaR
C.
The stressed confidence interval is a 99%
D.
SVaR is calculated from a stressed period of 250 days
解释：
The stressed value at risk should be
calculated at least weekly. This measure is calculated by combining current
portfolio performance data based on the 10-day, 99% confidence interval with
firm’s historical data from a significantly financially stressed period of the
same portfolio. It requires that bank to back-test over the stressed period of
250 days.
老师您好，请问这是哪个知识点里面的内容呀？可以解释一下这道题嘛？谢谢老师
