a选项问题出在哪里

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：

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

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

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

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.