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beiweiy · 2024年01月17日

请问b和c选项

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?

1 个答案
已采纳答案

DD仔_品职助教 · 2024年01月19日

嗨,从没放弃的小努力你好:


B选项:99%的置信区间拒绝域是1%,95%的置信区间拒绝域是5%,所以95%更容易被拒绝,所以B错

C选项:无论模型是95%VAR还是90%的VAR,只要做回测的时候使用同一个置信区间的回测模型,拒绝概率都是一样的,所以C错

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2024-03-16 12:42 1 · 回答

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2023-02-01 10:02 1 · 回答