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Fractal · 2021年12月03日

麻烦再解释下为什么C

  1. FRM II
  2. Basel Accord

NO.PZ2019070901000098

问题如下：

The Basel committee tends to utilize overlapping time periods for stress testing, so liquidity horizons are incorporated into the expected shortfall calculations in the internal models-based approach. Which of the following statements is correct?

选项：

A.

A series of trials are used to scale smaller time periods up to longer time periods.

B.

For different liquidity horizons, approriate weights are assigned, besides, the Basel Committee has to decide a correlation factor for it.

C.

Over a 250-day window of time, expected shortfall is measured over a base horizon of 20 days.

D.

The expected shortfall is based on a waterfall of the liquidity horizon categories and is then scaled to the square root of the difference in the horizon lengths of the nested risk factors.

解释：

D is correct.

考点：在内部模型法中使用liquidity horizons来计算ES

解析：

ES是基于一系列liquidity horizon计算得出的，即

ES=ES12+∑j=25[ESjLHj−LHj−110]2ES=\sqrt{ES_1^2+\sum_{j=2}^5\left[ES_j\sqrt{\frac{LH_j-LH_{j-1}}{10}}\right]^2}

C的选项好像换了，麻烦再解释下

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1 个答案

DD仔_品职助教 · 2021年12月03日

嗨，从没放弃的小努力你好：


C不对，ES的计算是基于10days而不是20days，所以不选他。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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