做backtest的时候-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ2019070901000103问题如下Regarng the supervisory backtesting framework of The Basel II Accor whiof the following is incorre? A.Threre are seven zones in the Basel penalty zones with fferent plus factors.B.The smallest multiplicative factor is 3. C.Recorexceptions if the actuloss is greater ththe estimateloss.Accumulate the number of exceptions over the previous 250 ys.A is correct.考点监管机构回测解析回测是要对过去250天的每日loss进行测试，损失超过var就会记1次。回测中的penalty zone包括三个区域绿色，黄色和红色。绿色对应3倍exception数对应0-4个；黄色对应3.1-3.9倍，exception数对应5-9个红色对应4倍，exception数对应10个及以上。意思是一个自然年内有250个工作日所以有250个数据？可以这么理解吗

2023-11-09 10:28 1 · 回答

NO.PZ2019070901000103 问题如下 Regarng the supervisory backtesting framework of The Basel II Accor whiof the following is incorre? A.Threre are seven zones in the Basel penalty zones with fferent plus factors. B.The smallest multiplicative factor is 3. C.Recorexceptions if the actuloss is greater ththe estimateloss. Accumulate the number of exceptions over the previous 250 ys. A is correct.考点监管机构回测解析回测是要对过去250天的每日loss进行测试，损失超过var就会记1次。回测中的penalty zone包括三个区域绿色，黄色和红色。绿色对应3倍exception数对应0-4个；黄色对应3.1-3.9倍，exception数对应5-9个红色对应4倍，exception数对应10个及以上。如题谢谢

2023-10-02 15:41 1 · 回答

NO.PZ2019070901000103 问题如下 Regarng the supervisory backtesting framework of The Basel II Accor whiof the following is incorre? A.Threre are seven zones in the Basel penalty zones with fferent plus factors. B.The smallest multiplicative factor is 3. C.Recorexceptions if the actuloss is greater ththe estimateloss. Accumulate the number of exceptions over the previous 250 ys. A is correct.考点监管机构回测解析回测是要对过去250天的每日loss进行测试，损失超过var就会记1次。回测中的penalty zone包括三个区域绿色，黄色和红色。绿色对应3倍exception数对应0-4个；黄色对应3.1-3.9倍，exception数对应5-9个红色对应4倍，exception数对应10个及以上。 A，三个区域才是对的吗？

2022-11-06 23:15 1 · 回答

loss超过var才记一次exception吧，C是超过EL,是不是也是错误的呢

2020-09-21 20:40 1 · 回答

做backtest的时候

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