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小太阳 · 2023年11月22日

老师,请问怎么记住这么多置信区间

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

1 个答案
已采纳答案

DD仔_品职助教 · 2023年11月22日

嗨,努力学习的PZer你好:


巴塞尔协议2.5的内容,属于结论需要记忆。

SVaR每周计算一次

使用相同的portfolio来计算

置信区间是99%

stress period是250天

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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