解析是什么意思，不是很懂

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：

I and IV

II only

III only

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。

如题

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李坏_品职助教 · 2024年03月05日

嗨，从没放弃的小努力你好：

题目要求选出least appropriate，也就是选出陈述错误的选项。

III说的是“A small confidence level VAR model is difficult to backtest”，这个不对。应该是A high confidence level VaR is difficult to backtest.

对于small confidence level的VAR来说，超出VaR的数值个数会更多一些，因此exception的个数就较多，数据多了自然就回测起来简单。对于high confidence level来说，exception的个数太少，因此在回测的时候能找到的意外值更少，所以比较困难。

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解析是什么意思，不是很懂

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