NO.PZ2020033001000020
问题如下：
The Basel Committee established four categories of causes for exceptions and guidance for supervisors for each category. Which of the following pair applies to those categories?
选项：
A.
Bad luck and the data sample is too small.
B.
The basic integrity of the model and intraday trading activity.
C.
Model accuracy could be improved and the data sample is too small.
D.
Bank size is too small and model accuracy could be improved.
解释：
B is correct.
考点： Basel Rules For Backtesting
中文解析：协会规定的例外有4条，分别是：Basic integrity of the model，Model accuracy could be improved，Intraday 和 Bad luck，只有B选项的两点都属于这4条例外之中。
The committee established four categories of causes for exceptions and guidance for supervisors for each category:
(1) Basic integrity of the model: The deviation occurred because the positions were reported incorrectly or because of an error in the program code. (The penalty should apply)
(2) Model accuracy could be improved: The deviation occurred because the model does not measure risk with enough precision (e.g., has too few maturity buckets, The penalty should apply).
(3) Intraday: Positions changed during the day (The penalty should be considered)
(4) Bad luck: Markets were particularly volatile or correlations changed.
basic integrity of the model为什么可以不被罚款是例外呢
