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ivywang · 2023年07月29日

bd

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.

选项B和D 可以翻译和解释下嘛

1 个答案

DD仔_品职助教 · 2023年07月30日

嗨,努力学习的PZer你好:


同学你好,

BD说的是同一个意思,只不过用了一些替换的单词。

当我们使用90%的置信区间做回测的时候,对于95%的VaR模型,type1 error发生的概率比99%VaR模型要小。

这句话是不对的,无论是99%还是95%的VaR模型,不影响type1 error的发生概率的,type 1 error的发生概率是由回测模型所决定的,当回测模型的置信区间确定之后,无论原VaR模型选择的是多少的置信区间,对于type1 error发生概率不影响。

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加油吧,让我们一起遇见更好的自己!

水瓶公主 · 2023年11月08日

意思是terror1与置信区间大小没关系对吧?

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