NO.PZ2024050101000111
问题如下：
Setting margin levels and loss reserves are important aspects of mitigating systemic risk through the use of a central counterparty (CCP). Which of the following statements most accurately reflects the calculation of initial margins?
选项：
A.The value at risk (VaR) approach sets appropriate initial margins at the 99% confidence level
B.The Standard Portfolio Analysis of Risk (SPAN) is considered the most advanced methodology today in calculating initial margins
C.The calculation of the initial margin should be based on volatility, tail risk, and dependency
D.Initial margins depend solely on the credit quality of the clearing member
解释：
The calculation of the initial margin should be based on volatility, tail risk, and dependency. The value at risk (VaR) approach is a more advanced method than the SPAN approach for calculating initial margins. Studies suggest that the VaR approach does a good job of setting initial margins at the 95% confidence level, but at the 99% confidence level initial margins are not sufficient. The initial margin depends primarily on market risk and not the credit quality of the clearing member.
“Studies suggest that the VaR approach does a good job of setting initial margins at the 95% confidence level, but at the 99% confidence level initial margins are not sufficient. ”这句话什么意思？ 99% confidence level对应的损失不是更大吗？保证金不是更多吗？为什么说是不充足的？
