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nicole 麦子🌳 · 2025年06月29日

A错在哪里了呢?

NO.PZ2018122701000035

问题如下:

You are backtesting a bank’s VaR model. Currently, the bank calculates a 1-day VaR at the 99% confidence level, and you are recommending that is switch to a 95% confidence level. Which of the following statements concerning this switch is correct?

选项:

A.

The 95% VaR model is less likely to be rejected using backtesting than the 99% VaR model.

B.

When validating with backtesting at the 90% confidence level, there is a smaller probability of incorrectly rejecting a 95% VaR model when it is valid than a 99% VaR model.

C.

The decision to accept or reject a VaR model based on backtesting results is more reliable with a 95% confidence level VaR model than with a 99% confidence level model.

D.

When backtesting using a 90% confidence level, there is a smaller probability of committing a type I error when backtesting a 95% VaR model than with a 99% VaR model.

解释:

C is correct.

考点 Backtesting VaR

解析 The concept tested here is the understanding of the difference between the VaR parameter for confidence (here, namely 95% vs 99%) and the validation procedure confidence level, and how they interact with one another. Using a VaR confidence level creates a narrower rejection region by allowing a greater number of exceptions to be generated. This in turn increases the power of the backtesting process and makes for a more reliable test.

95%不是比99%更不容易被拒绝,容纳更多exceptions吗?

1 个答案

李坏_品职助教 · 2025年06月29日

嗨,爱思考的PZer你好:


按照老师在经典题Backtesting VaR 02这个视频的讲解:

VaR模型被拒绝的概率,是取决于backtesting的置信度,而与VaR本身的置信度没有关系。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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解析错误:没看懂,能用中文一下逻辑嘛?

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