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Adam Wang · 2024年11月11日

a为什么对

  1. FRM II
  2. Basel Accord

NO.PZ2019070901000119

问题如下：

Which of the following statement is incorrect regarding to the calculation of the market risk capital requirement ?

选项：

A.

Only VaR should be back tested, because the bank supervisors should identify if the VaR model used by the bank is effecient.

B.

The VaR is calculated using a 99% one-tail confidence interval, and calibrated into a 10-day VaR for specific risks charge.

C.

The bank should compare the previous day's VaR to the average VaR over the past 250 trading days multiply by the multiplicative factor.

D.

both VaR and stressed VaR are considered in calculating capital charge of market risk.

解释：

C is correct.

考点：market risk capital charge

解析：C选项应该用过去60天的平均VaR乘以MC和过去一天的进行对比。

A为什么对 svar不需要回溯吗

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1 个答案

pzqa27 · 2024年11月12日

嗨，努力学习的PZer你好：


这个A选项没啥问题，只需要对VaR进行回测就行了，验证VaR是否有效。其他的不需要进行严格的数学回测。

因为stress var只适用于危急时刻，回测的话基本没有什么数据支持，做数学回测意义不大。

所以只有常规的VaR需要进行数学回测，来保证模型的有效性。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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