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Fractal · 2021年12月02日

internal model

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000059

问题如下：

Which of the following best describes the quantitative parameters of the 1996 internal models approach?

选项：

A.

Ten-day trading horizon, 99% confidence interval, minimum one year of data, minimum quarterly updates

B.

One-day trading horizon, 95% confidence interval, five years of data, updated weekly

C.

One-day trading horizon, 99% confidence interval, minimum one year of data, updated monthly

D.

Ten-day trading horizon, 97.5% confidence interval, minimum five years of data, updated daily

解释：

A is correct. The IMA is based on a 10-day horizon, 99% confidence level, one year of data, with at least quarterly updates.

请问这个是计量操作风险的方法么

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1 个答案

品职答疑小助手雍 · 2021年12月02日

同学你好， 这个是计量市场风险的方法，99%的10-day var。

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NO.PZ2016072602000059 Whiof the following best scribes the quantitative parameters of the 1996 internmols approach? Ten-y trang horizon, 99% confininterval, minimum one yeof tminimum quarterly uptes One-y trang horizon, 95% confininterval, five years of tupteweekly One-y trang horizon, 99% confininterval, minimum one yeof tuptemonthly Ten-y trang horizon, 97.5% confininterval, minimum five years of tupteily A is correct. The IMA is baseon a 10-y horizon, 99% confinlevel, one yeof twith least quarterly uptes. 这个是1996年的版本要求季度更新一次 2009年要求每月更新吗？ 强化班讲义13页是2009年的版本要求

2021-03-08 14:36 1 · 回答