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
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!