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。
如题
