pzqa39 · 2025年06月11日
嗨，努力学习的PZer你好：
题目：您正在对某银行的风险价值（VaR）模型进行回测。目前，该银行计算的是 99% 置信水平下的 1 天期 VaR，而您建议将其切换至 95% 置信水平。关于这一切换，下列哪项陈述是正确的？
C：基于回测结果决定接受或拒绝 VaR 模型时，95% 置信水平的 VaR 模型比 99% 置信水平的模型更可靠。
同等条件下，95%的var的接受域更窄，那么拒绝域更多，会有更多的exception作为对模型的考量。比如250个检测样本，对于99%VaR可能只有一两个损失超过了VaR，而对于95%的VaR却会有更多的超过VaR的数，所以这个backtesting过程会更可靠一些。
----------------------------------------------
加油吧，让我们一起遇见更好的自己！
NO.PZ2018122701000035问题如下 You are backtesting a bank’s Vmol. Currently, the bank calculates a 1-y Vthe 99% confinlevel, anyou are recommenng this switto a 95% confinlevel. Whiof the following statements concerning this switis correct? The 95% Vmol is less likely to be rejecteusing backtesting ththe 99% Vmol. When valiting with backtesting the 90% confinlevel, there is a smaller probability of incorrectly rejecting a 95% Vmol when it is valitha 99% Vmol. The cision to accept or rejea Vmol baseon backtesting results is more reliable with a 95% confinlevel VaR mol thwith a 99% confinlevel mol. When backtesting using a 90% confince level, there is a smaller probability of committing a type I error when backtesting a 95% Vmol thwith a 99% Vmol. C is correct. 考点 ： Backtesting VaR 解析 ： The concept testehere is the unrstanng of the fferenbetween the Vparameter for confin(here, namely 95% vs 99%) anthe valition procere confinlevel, anhow they interawith one another. Using a Vconfinlevel creates a narrower rejection region allowing a greater number of exceptions to generate This in turn increases the power of the backtesting process anmakes for a more reliable test. 老师，C为什么是对的，当时这个例题讲的也是95%还是99%的VaR的置信度好，说的是99%的更好啊，因为分布更均匀
NO.PZ2018122701000035 问题如下 You are backtesting a bank’s Vmol. Currently, the bank calculates a 1-y Vthe 99% confinlevel, anyou are recommenng this switto a 95% confinlevel. Whiof the following statements concerning this switis correct? The 95% Vmol is less likely to be rejecteusing backtesting ththe 99% Vmol. When valiting with backtesting the 90% confinlevel, there is a smaller probability of incorrectly rejecting a 95% Vmol when it is valitha 99% Vmol. The cision to accept or rejea Vmol baseon backtesting results is more reliable with a 95% confinlevel VaR mol thwith a 99% confinlevel mol. When backtesting using a 90% confince level, there is a smaller probability of committing a type I error when backtesting a 95% Vmol thwith a 99% Vmol. C is correct. 考点 ： Backtesting VaR 解析 ： The concept testehere is the unrstanng of the fferenbetween the Vparameter for confin(here, namely 95% vs 99%) anthe valition procere confinlevel, anhow they interawith one another. Using a Vconfinlevel creates a narrower rejection region allowing a greater number of exceptions to generate This in turn increases the power of the backtesting process anmakes for a more reliable test.
NO.PZ2018122701000035问题如下 You are backtesting a bank’s Vmol. Currently, the bank calculates a 1-y Vthe 99% confinlevel, anyou are recommenng this switto a 95% confinlevel. Whiof the following statements concerning this switis correct? The 95% Vmol is less likely to be rejecteusing backtesting ththe 99% Vmol. When valiting with backtesting the 90% confinlevel, there is a smaller probability of incorrectly rejecting a 95% Vmol when it is valitha 99% Vmol. The cision to accept or rejea Vmol baseon backtesting results is more reliable with a 95% confinlevel VaR mol thwith a 99% confinlevel mol. When backtesting using a 90% confince level, there is a smaller probability of committing a type I error when backtesting a 95% Vmol thwith a 99% Vmol. C is correct. 考点 ： Backtesting VaR 解析 ： The concept testehere is the unrstanng of the fferenbetween the Vparameter for confin(here, namely 95% vs 99%) anthe valition procere confinlevel, anhow they interawith one another. Using a Vconfinlevel creates a narrower rejection region allowing a greater number of exceptions to generate This in turn increases the power of the backtesting process anmakes for a more reliable test. 低置信度的VAR不是可以容纳异常数据更多吗，更不容易拒绝吧
NO.PZ2018122701000035 问题如下 You are backtesting a bank’s Vmol. Currently, the bank calculates a 1-y Vthe 99% confinlevel, anyou are recommenng this switto a 95% confinlevel. Whiof the following statements concerning this switis correct? The 95% Vmol is less likely to be rejecteusing backtesting ththe 99% Vmol. When valiting with backtesting the 90% confinlevel, there is a smaller probability of incorrectly rejecting a 95% Vmol when it is valitha 99% Vmol. The cision to accept or rejea Vmol baseon backtesting results is more reliable with a 95% confinlevel VaR mol thwith a 99% confinlevel mol. When backtesting using a 90% confince level, there is a smaller probability of committing a type I error when backtesting a 95% Vmol thwith a 99% Vmol. C is correct. 考点 ： Backtesting VaR 解析 ： The concept testehere is the unrstanng of the fferenbetween the Vparameter for confin(here, namely 95% vs 99%) anthe valition procere confinlevel, anhow they interawith one another. Using a Vconfinlevel creates a narrower rejection region allowing a greater number of exceptions to generate This in turn increases the power of the backtesting process anmakes for a more reliable test. 95%的vmol 不是显著性水平更大，type I error的概率就大，所以更不可靠吗。。这么理解是哪里错了呢
