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lin · 2020年09月24日

问一道题：NO.PZ2019070901000098

  1. FRM II
  2. Basel Accord

问题如下：

The Basel committee tends to utilize overlapping time periods for stress testing, so liquidity horizons are incorporated into the expected shortfall calculations in the internal models-based approach. Which of the following statements is correct?

选项：

A.

A series of trials are used to scale smaller time periods up to longer time periods.

B.

For different liquidity horizons, approriate weights are assigned, besides, the Basel Committee has to decide a correlation factor for it.

C.

Over a 250-day window of time, expected shortfall is measured over a base horizon of 10 days.

D.

The expected shortfall is based on a waterfall of the liquidity horizon categories and is then scaled to the square root of the difference in the horizon lengths of the nested risk factors.

解释：

>

D is correct.

考点：在内部模型法中使用liquidity horizons来计算ES

解析：

ES是基于一系列liquidity horizon计算得出的，即

ES=ES12+∑j=25[ESjLHj−LHj−110]2ES=\sqrt{ES_1^2+\sum_{j=2}^5\left[ES_j\sqrt{\frac{LH_j-LH_{j-1}}{10}}\right]^2}

那么请问老师这道题的正确答案到底是什么。

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1 个答案

品职答疑小助手雍 · 2020年09月25日

嗨，爱思考的PZer你好：


CD都没错，我反馈下尽量改出来只有一个答案的结果。


-------------------------------
努力的时光都是限量版，加油！


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