NO.PZ2020033001000089
问题如下:
Backtesting of actual losses to VaR calculations is required according to the Basel Committee. How many exceptions occur in a 250-day trading period would result in increasing the capital multiplier from three to four?
选项:
A.
zero to four
B.
four to seven
C.
seven to nine
D.
ten to more
解释:
D is correct.
考点:Backtesting VaR
解析:
If there is ten or more backtesting violations, capital multiplier need to be increased from three to four.
老师好,这里的“capital multiplier ”能举个应用场景的例子吗?