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小太阳 · 2023年11月22日

老师,请问C错哪了

NO.PZ2023100703000042

问题如下:

A risk analyst is asked to verily a VaR model by checking the rate of exceedances of the model. In the past year, there were eight exceedances of the 99% VaR. Is this evidence sufficient to reject the hypothesis, using a 99% test confidence level, that this particular VaR model is unbiased?

选项:

A.No. because the computed z = 2.20.

B.No. because the computed z = 2.29.

C.Yes, because the computed z = 2.87.

D.Yes, because the computed z = 3.47.

解释:

To verify the accuracy of a VaR model by checking the rate of exceedances, the analyst can use the binomial test, particularly if the sample size is large enough. The Kupiec's Proportion of Failures (POF) test is one such test.

The POF test's test statistic is given by:​

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

DD仔_品职助教 · 2023年11月22日

嗨,爱思考的PZer你好:


以下知识点:

答案算出来选D,具体公式请看下图:

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