过去250天对应的是一个自然年吗-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ2019070901000103 问题如下 Regarng the supervisory backtesting framework of The Basel II Accor whiof the following is incorre? A.Threre are seven zones in the Basel penalty zones with fferent plus factors. B.The smallest multiplicative factor is 3. C.Recorexceptions if the actuloss is greater ththe estimateloss. Accumulate the number of exceptions over the previous 250 ys. A is correct.考点监管机构回测解析回测是要对过去250天的每日loss进行测试，损失超过var就会记1次。回测中的penalty zone包括三个区域绿色，黄色和红色。绿色对应3倍exception数对应0-4个；黄色对应3.1-3.9倍，exception数对应5-9个红色对应4倍，exception数对应10个及以上。如题谢谢

2023-10-02 15:41 1 · 回答

NO.PZ2019070901000103 问题如下 Regarng the supervisory backtesting framework of The Basel II Accor whiof the following is incorre? A.Threre are seven zones in the Basel penalty zones with fferent plus factors. B.The smallest multiplicative factor is 3. C.Recorexceptions if the actuloss is greater ththe estimateloss. Accumulate the number of exceptions over the previous 250 ys. A is correct.考点监管机构回测解析回测是要对过去250天的每日loss进行测试，损失超过var就会记1次。回测中的penalty zone包括三个区域绿色，黄色和红色。绿色对应3倍exception数对应0-4个；黄色对应3.1-3.9倍，exception数对应5-9个红色对应4倍，exception数对应10个及以上。 A，三个区域才是对的吗？

2022-11-06 23:15 1 · 回答

NO.PZ2019070901000103 问题如下 Regarng the supervisory backtesting framework of The Basel II Accor whiof the following is incorre? A.Threre are seven zones in the Basel penalty zones with fferent plus factors. B.The smallest multiplicative factor is 3. C.Recorexceptions if the actuloss is greater ththe estimateloss. Accumulate the number of exceptions over the previous 250 ys. A is correct.考点监管机构回测解析回测是要对过去250天的每日loss进行测试，损失超过var就会记1次。回测中的penalty zone包括三个区域绿色，黄色和红色。绿色对应3倍exception数对应0-4个；黄色对应3.1-3.9倍，exception数对应5-9个红色对应4倍，exception数对应10个及以上。老师C说实际的损失超过了估计的损失就是做回测，我觉得也不对啊，市场风险里面学的，不是还要计算failure rate，然后计算累积违约概率对应的分位点是否超过检测的分位点嘛。直接记录不算是在做backtesting 吧

2022-11-04 16:56 1 · 回答

loss超过var才记一次exception吧，C是超过EL,是不是也是错误的呢

2020-09-21 20:40 1 · 回答

过去250天对应的是一个自然年吗

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