NO.PZ2023102101000042
问题如下:
Which of the following characteristics outlined
describe the measurement of stressed value at risk is incorrect?
选项:
A.
The stressed VaR is calculated on a monthly basis
B.
Historical bank data from the same portfolio is used
in measuring SVaR
C.
The stressed confidence interval is a 99%
D.
SVaR is calculated from a stressed period of 250 days
解释:
The stressed value at risk should be
calculated at least weekly. This measure is calculated by combining current
portfolio performance data based on the 10-day, 99% confidence interval with
firm’s historical data from a significantly financially stressed period of the
same portfolio. It requires that bank to back-test over the stressed period of
250 days.
老师您好,请问这是哪个知识点里面的内容呀?可以解释一下这道题嘛?谢谢老师