NO.PZ2018122701000032
问题如下：
Below are statements about verifying the
accuracy of a VAR model by its failure rate. The least appropriate statements
should be:
I. The frequency of exceptions in
the model is related to its confidence level.
II. If the log-likelihood ratio is large than 3.84, we should reject the hypothesis that the model is correct (Kupiec, 1995).
III. A small confidence level VAR
model is difficult to backtest, as the small number of exceptions barely
provide useful information.
IV. There is a tradeoff between the probability of rejecting an accurate model and the probability of accepting an inaccurate model, when considering the number of exceptions
选项：
A.
I and IV
B.
II only
C.
III only
D.
II and IV
解释：
C is correct.
考点Backtesting VaR
解析回测high confidence level的VaR模型比较困难，III说反了。
A选项感觉应该是例外的个数，这里写的频率是不是有点问题
