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卡布达 · 2021年04月18日

为什么会有这四条例外啊

NO.PZ2020033001000020

问题如下:

The Basel Committee established four categories of causes for exceptions and guidance for supervisors for each category. Which of the following pair applies to those categories?

选项:

A.

Bad luck and the data sample is too small.

B.

The basic integrity of the model and intraday trading activity.

C.

Model accuracy could be improved and the data sample is too small.

D.

Bank size is too small and model accuracy could be improved.

解释:

B is correct.

考点: Basel Rules For Backtesting

解析:协会规定的例外有4条,分别是:Basic integrity of the model,Model accuracy could be improved,Intraday 和 Bad luck。只有B选项的两点都属于这4条例外之中。

basel设置这四条例外的逻辑是什么呀

2 个答案

品职答疑小助手雍 · 2023年02月28日

例外的不用penalty啊

品职答疑小助手雍 · 2021年04月18日

嗨,爱思考的PZer你好:


因为这四个导致exception超过的事件是小概率,非故意的例外,这个基础班backtesting的最后一节课的1.5倍速5分20秒左右专门讲了的。

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kanjani · 2023年02月27日

既然是非故意的,为什么还要penalty呢

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