开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

还是星宇好 · 2020年10月07日

问一道题:NO.PZ2019052001000039

问题如下:

Obelisk Bank uses weekly model vetting to mitigate potential model risk. Obelisk's managers recently rejected a model for valuing medium-term forward on three-year corporate bonds, and accepted a model for valuing long-term options on 10-year government bonds. The managers also frequently test proposed analytical models against a simulation approach. Which of the following vetting phases are these model vetting techniques presenting?

选项:

Accepting/rejecting a mode
testing models against simulation
A.
Incorporate model risk into the risk management framework
Health check and stress test
B.
Soundness of a model
Health check and stress test
C.
Health check of the model
Independent access to rates
D.
Soundness of a model
Benchmark modeling

解释:

D is correct.

考点:Mitigating Model Risk

解析:拒绝或者接受模型是审查soundness of the model的内容,风险管理者应该确保资产被模型合理的估值。

基于模拟方法或数值逼近技术测试所提出的分析模型是benchmark modeling

老师这题应该是考模型审查的步骤吧,soundness of model:貌似意思是instruments的价值通过数学模型是合理的表达,这直接拒绝了一个3,接受一个5,哪里体现了合理定价的意思啊,

1 个答案

品职答疑小助手雍 · 2020年10月07日

嗨,爱思考的PZer你好:


soundness of model这个工具就是要判断这个模型合不合适,合适了就接受,不合适就拒绝。

题目问的是拒绝和接受模型使用的工具,那就是soundness of model这个工具喽。


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