NO.PZ2018122701000036
问题如下：
Based on Basel II rules for backtesting, a penalty is given to banks that have more than four exceptions to their 1-day 99%VaR over the course of 250 trading days. The supervisor gives these penalties based on four criteria. Which of the following causes of exceptions is most likely to lead to a penalty?
选项：
A.The bank increases its intraday trading activity.
B.A large move in interest rates was combined with a small move in correlations.
C.The bank’s model calculates interest rate risk based on the median duration of the bonds in the portfolio.
D.A sudden market crisis in an emerging market leads to losses in the equity positions in that country.
解释：
C is correct.
考点Backtesting VaR
解析In the case of a bank that changed positions more frequently during the day, a penalty should be considered, but it is not necessarily given. In the case of bad luck, no penalty is given, as would be the case for a bank affected by unpredictable movements in rates or markets. However, when risk models are not precise enough, a penalty is typically given since model accuracy could have easily been improved.
看了之前同学提的问题和老师的回答还是没明白什么叫相关性低分散性不好，以及为什么在这种情况下不会被处罚
