NO.PZ2016072602000059
问题如下:
Which of the following best describes the quantitative parameters of the 1996 internal models approach?
选项:
A.Ten-day trading horizon, 99% confidence interval, minimum one year of data, minimum quarterly updates
B.One-day trading horizon, 95% confidence interval, five years of data, updated weekly
C.One-day trading horizon, 99% confidence interval, minimum one year of data, updated monthly
D.Ten-day trading horizon, 97.5% confidence interval, minimum five years of data, updated daily
解释:
A is correct. The IMA is based on a 10-day horizon, 99% confidence level, one year of data, with at least quarterly updates.
老师,这里的“minimum one year of data”是什么意思?10天的var,还需要一年的数据量?