NO.PZ2018122701000035
问题如下：
You are backtesting a bank’s VaR model. Currently, the bank calculates a 1-day VaR at the 99% confidence level, and you are recommending that is switch to a 95% confidence level. Which of the following statements concerning this switch is correct?
选项：
A. The 95% VaR model is less likely to be
rejected using backtesting than the 99% VaR model.
B. When validating with backtesting at the 90%
confidence level, there is a smaller probability of incorrectly rejecting a 95%
VaR model when it is valid than a 99% VaR model.
C. The decision to accept or reject a VaR model
based on backtesting results is more reliable with a 95% confidence level VaR
model than with a 99% confidence level model.
D. When backtesting using a 90% confidence
level, there is a smaller probability of committing a type I error when backtesting
a 95% VaR model than with a 99% VaR model.
解释：
C is correct.
考点Backtesting VaR
解析The concept tested here is the understanding of the difference between the VaR parameter for confidence (here, namely 95% vs 99%) and the validation procedure confidence level, and how they interact with one another. Using a VaR confidence level creates a narrower rejection region by allowing a greater number of exceptions to be generated. This in turn increases the power of the backtesting process and makes for a more reliable test.
怎么判断confidence level是指的计算VAR的还是验证模型的？我在题干中看以为是考察计算VAR的自信水平从99%下降到95%
