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Leaf · 2024年01月28日

这个知识点在哪部分呀?

NO.PZ2022071105000006

问题如下:

An analyst at bank LKS has been asked to validate the bank’s VaR model through backtesting. The analyst uses two sets of returns data to generate results of predicted and actual losses that can be compared in the validation process. Which of the following correctly describes the two most appropriate sets of returns data to use in backtesting

选项:

A.

The cleaned returns, which are the actual returns minus any profit and loss from intraday trades, and the actual returns, which correspond to the total returns on the bank’s trading portfolio

B.

The actual returns, which correspond to the total return on the bank’s trading portfolio, and the hypothetical returns, which represent the returns obtained from freezing the starting positions in the bank’s trading portfolio

C.

The hypothetical returns, which represent the returns obtained from freezing the starting positions in the bank’s trading portfolio, and the cleaned returns, which are the actual returns minus any profit and loss from intraday trades

D.

The trading returns, which are the actual returns minus any fees and commissions, and the hypothetical returns, which represent the actual returns obtained from freezing the starting positions in the bank’s trading portfolio

解释:

B是正确的。理想情况下,分析师将同时使用实际的和假设的收益来进行回测,因为两者能产生足够的信息比对。如果模型通过了假设而不是实际回报的回溯测试,模型的问题在于日内交易。如果模型没有通过假设的回溯测试,则应该重新检查建模方法。

A是不正确的。对净收益的描述不正确,这不是分析师应该使用的正确的两组回报。净收益也将从实际收益中减去任何费用、佣金、净息差。净收益有时可以用作假设收益的近似值,但错误定义的净收益是不可以的。

C是不正确的。这并不是分析师应该使用的正确的两组回报,而且净收益的描述也是错误的。

D不正确。不存在交易收益这样的定义。

B is correct. Ideally, the analyst will use both the actual and hypothetical returns for

backtesting since both yield informative comparisons. If the model passes backtesting

with hypothetical but not actual returns, the problem in the model lies with intraday

trading. If the model does not pass backtesting with hypothetical returns, the modelling

methodology should be re-examined.

A is incorrect. The descriptions of the cleaned returns are not correct, and these are not

the correct two sets of returns that the analyst should use. Cleaned returns will also

subtract any fees, commissions, net interest margin from actual returns. The correct

definition of cleaned returns can sometimes be used as an approximation of hypothetical

returns, but not the incorrectly defined returns stated here.

C is incorrect. These are not the correct two sets of returns that the analyst should use,

and the description of cleaned returns is incorrect.

D is incorrect. There is not a return set that is called trading returns.

没有任何印象,麻烦老师提示

1 个答案

DD仔_品职助教 · 2024年01月30日

嗨,努力学习的PZer你好:


这个点是原版书中的内容,建议同学把这个当做一个结论补充记忆。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2022071105000006 问题如下 analyst bank LKS hbeen asketo valite the bank’s Vmol through backtesting. The analyst uses two sets of returns ta to generate results of precteanactulosses thccomparein the valition process. Whiof the following correctly scribes the two most appropriate sets of returns ta to use in backtesting A.The cleanereturns, whiare the actureturns minus any profit anloss from intray tras, anthe actureturns, whicorresponto the totreturns on the bank’s trang portfolio B.The actureturns, whicorresponto the totreturn on the bank’s trang portfolio, anthe hypotheticreturns, whirepresent the returns obtainefrom freezing the starting positions in the bank’s trang portfolio C.The hypotheticreturns, whirepresent the returns obtainefrom freezing the starting positions in the bank’s trang portfolio, anthe cleanereturns, whiare the actureturns minus any profit anloss from intray tras The trang returns, whiare the actureturns minus any fees ancommissions, anthe hypotheticreturns, whirepresent the actureturns obtainefrom freezing the starting positions in the bank’s trang portfolio B是正确的。理想情况下,分析师将同时使用实际的和假设的收益来进行回测,因为两者能产生足够的信息比对。如果模型通过了假设而不是实际回报的回溯测试,模型的问题在于日内交易。如果模型没有通过假设的回溯测试,则应该重新检查建模方法。A是不正确的。对净收益的描述不正确,这不是分析师应该使用的正确的两组回报。净收益也将从实际收益中减去任何费用、佣金、净息差。净收益有时可以用作假设收益的近似值,但错误定义的净收益是不可以的。C是不正确的。这并不是分析师应该使用的正确的两组回报,而且净收益的描述也是错误的。正确。不存在交易收益这样的定义。B is correct. Ially, the analyst will use both the actuanhypotheticreturns forbacktesting sinboth yielinformative comparisons. If the mol passes backtestingwith hypotheticbut not actureturns, the problem in the mol lies with intraytrang. If the mol es not pass backtesting with hypotheticreturns, the mollingmethology shoulre-examineA is incorrect. The scriptions of the cleanereturns are not correct, anthese are notthe corretwo sets of returns ththe analyst shouluse. Cleanereturns will alsosubtraany fees, commissions, net interest margin from actureturns. The correctfinition of cleanereturns csometimes useapproximation of hypotheticalreturns, but not the incorrectly finereturns statehere.C is incorrect. These are not the corretwo sets of returns ththe analyst shouluse,anthe scription of cleanereturns is incorrect.is incorrect. There is not a return set this calletrang returns. 如题

2024-03-16 12:19 3 · 回答