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.
关于C选项，假设X的test confidence level是90%，那么阿尔法为5%，不管VaR的置信度是95%还是99%，犯type 1的概率都是5%，就是说拒真的概率都一样，这样的情况下，为什么说95%VaR更加reliable？
