NO.PZ2019070901000119
问题如下：
Which of the following statement is incorrect regarding to the calculation of the market risk capital requirement ?
选项：
A.Only VaR should be back tested, because the bank supervisors should identify if the VaR model used by the bank is effecient.
B.The VaR is calculated using a 99% one-tail confidence interval, and calibrated into a 10-day VaR for specific risks charge.
C.The bank should compare the previous day's VaR to the average VaR over the past 250 trading days multiply by the multiplicative factor.
D.both VaR and stressed VaR are considered in calculating capital charge of market risk.
解释：
C is correct.
考点：market risk capital charge
解析：C选项应该用过去60天的平均VaR乘以MC和过去一天的进行对比。
老师sepecific capita reqirement的计算是不是就按照MR的计算方式考虑就可以了？有什么特别需要注意不同的地方吗？
因为前面有道题问SCR用什么方法，选的是标准法和IRB（这又类似CR）
