NO.PZ2022071105000013
问题如下:
A newly hired risk analyst at an investment bank is assisting in backtesting the bank’s VaR model. Currently, the
1-day VaR is estimated at the 95% confidence level but the bank is considering a change to estimating 1-day
VaR at the 99% confidence level, as recommended in the Basel framework. Which of the following statements
regarding this change is correct?
选项:
A.
The decision to accept or reject a VaR model based on backtesting results at the two-tailed 95% confidence
level is less reliable using a 99% VaR model than using a 95% VaR model.
B.
The 95% VaR model is less likely to be rejected using backtesting than the 99% VaR model.
C.
When backtesting using a two-tailed 90% confidence level test, there is a smaller probability of incorrectly
rejecting a 95% VaR model than a 99% VaR model.
D.
Using a 99% VaR model will lower the probability of committing both type 1 and type 2 errors.
解释:
中文解析:
A是正确的。这里的考点计算VaR时用的置信度和VaR回测使用的置信度,以及这两个置信度之间的关系。使用95%的VaR置信水平比99%的置信度水平创建一个更窄的接受域,因为95%的置信度允许产生更多的异常值。这使得95%的置信度水平计算出来的VaR,在回测上比99%置信度算出来的VaR更可靠。
A is correct. 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 (namely 95%), and how they interact with one another.
Using a 95% VaR confidence level creates a narrower nonrejection region than using a
99% VaR confidence level 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 than using a 99% confidence level.
b选项是单尾看,99属于大概率的范围更大,所以95更容易被拒绝?c为什么99错误的拒绝比95的概率要大?