王楚溪 · 2022年02月06日
NO.PZ2020033001000016
问题如下：
Star Bank is backtesting its 95% confidence level VaR model, it uses the data of the past 750 trading days. How many expected exceptions are there in this backtesting?
选项：
A.12.5.
B.37.5.
C.5.
D.15.00.
解释：
B is correct.
考点：backtesting VaR
解析： (1 -0.95) x 750 =37.5
请问这和基础班讲义54页讲的公式有什么区别？可以理解为“一个是求cutoff具体的值，一个是问超过cutoff的有多少个”吗？
NO.PZ2020033001000016 问题如下 StBank is backtesting its 95% confinlevel Vmol, it uses the ta of the past 750 trang ys. How many expecteexceptions are there in this backtesting? A.12.5. B.37.5. C.5. 15.00. B is correct.考点backtesting VaR解析 (1 -0.95) x 750 =37.5 这个题是因为直接求个数，所以就750*0.05*0.95了，而公式里面的Z和x都是检验统计量，和实际的exception的个数无关是吗
NO.PZ2020033001000016 问题如下 StBank is backtesting its 95% confinlevel Vmol, it uses the ta of the past 750 trang ys. How many expecteexceptions are there in this backtesting? A.12.5. B.37.5. C.5. 15.00. B is correct.考点backtesting VaR解析 (1 -0.95) x 750 =37.5 找了之前提问中基础班讲义54页，还是不太明白，这个如何得来的，烦请解答， 谢谢！
NO.PZ2020033001000016 问题如下 StBank is backtesting its 95% confinlevel Vmol, it uses the ta of the past 750 trang ys. How many expecteexceptions are there in this backtesting? A.12.5. B.37.5. C.5. 15.00. B is correct.考点backtesting VaR解析 (1 -0.95) x 750 =37.5 如题
