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小熊猫 · 2025年04月19日

b不是模型参数的问题吗?

NO.PZ2018122701000036

问题如下:

Based on Basel II rules for backtesting, a penalty is given to banks that have more than four exceptions to their 1-day 99%VaR over the course of 250 trading days. The supervisor gives these penalties based on four criteria. Which of the following causes of exceptions is most likely to lead to a penalty?

选项:

A.

The bank increases its intraday trading activity.

B.

A large move in interest rates was combined with a small move in correlations.

C.

The bank’s model calculates interest rate risk based on the median duration of the bonds in the portfolio.

D.

A sudden market crisis in an emerging market leads to losses in the equity positions in that country.

解释:

C is correct.

考点 Backtesting VaR

解析 In the case of a bank that changed positions more frequently during the day, a penalty should be considered, but it is not necessarily given. 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.

b不是模型参数的问题吗?模型中设置的correlation之类的

1 个答案

李坏_品职助教 · 2025年04月19日

嗨,爱思考的PZer你好:


B说的是 市场上利率的大幅变化,与相关性的变化一起出现了,这个选项是想强调市场原因的。市场的变化这个属于bad luck了,不能因为这个事情给银行施加惩罚的。


如果是模型参数问题,选项应该明确写出model parameters或者hypothesis之类的关键词。

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