NO.PZ2022071105000018
问题如下：
A regulatory analyst at an investment bank is reviewing the Basel Committee rules for backtesting VaR models.
The analyst notes that under the Basel framework, a penalty can be given to banks that have more than four
exceptions to their 1-day 99% VaR over the last 250 trading days. Which of the following scenarios is most likely
to result in a penalty?
选项：
A.A large move in interest rates occurs in conjunction with a small move in correlations.
B.The bank’s model calculates interest rate risk based on the median duration of the bonds in the portfolio.
C.A sudden market crisis in an emerging market, which leads to losses in the equity positions in that country.
D.A sudden devastating earthquake that causes major losses in the bank’s key area of operation.
解释：
中文解析：
B是正确的。在运气不好的情况下，不会像对银行那样因为利率或市场波动受到惩罚。然而，如果风险模型不够精确，通常会施加惩罚，因为模型的精确度应当比较容易得到改善。
B is correct. In the case of bad luck, no penalty is given, as would be the case for a bank
affected by unpredictable movements in rates or markets. However, when risk models are
not precise enough, a penalty is typically given since model accuracy could have easily
been improved.
如题
