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LHY · 2020年10月04日

问一道题:NO.PZ2016070201000020

问题如下:

The Basel Committee has established four categories of causes for exceptions. Which of the following does not apply to one of those categories?

选项:

A.

Small sample.

B.

Intraday trading activity.

C.

Model accuracy needs improvement.

D.

The basic integrity of the model is lacking.

解释:

Causes include the following: bad luck, intraday trading activity, model accuracy needs improvement, and the basic integrity of the model is lacking.

intraday trading activity是指的日内交易,不过这个日内交易和这个模型是否靠合格有啥关系啊?

1 个答案

品职答疑小助手雍 · 2020年10月04日

嗨,努力学习的PZer你好:


因为当日调仓引起的头寸变化产生一个异常值需要再考量用不用于超出var的记数的。

backtesting var部分最后那个小标题里讲了的,这题就是直接考定义的。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!