NO.PZ2018122701000036
问题如下：
Based on Basel II rules for backtesting, a penalty is given to banks that have more than four exceptions to their 1-day 99%VaR over the course of 250 trading days. The supervisor gives these penalties based on four criteria. Which of the following causes of exceptions is most likely to lead to a penalty?
选项：
A.
The bank increases its intraday trading activity.
B.
A large move in interest rates was combined with a small move in correlations.
C.
The bank’s model calculates interest rate risk based on the median duration of the bonds in the portfolio.
D.
A sudden market crisis in an emerging market leads to losses in the equity positions in that country.
解释：
C is correct.
考点Backtesting VaR
解析In the case of a bank that changed positions more frequently during the day, a penalty should be considered, but it is not necessarily given. In the case of bad luck, no penalty is given, as would be the case for a bank affected by unpredictable movements in rates or markets. However, when risk models are not precise enough, a penalty is typically given since model accuracy could have easily been improved.
什么时候会有惩罚，哪些情况
