NO.PZ2020033001000089
问题如下:
Backtesting of actual losses to VaR calculations is required according to the Basel Committee. How many exceptions occur in a 250-day trading period would result in increasing the capital multiplier from three to four?
选项:
A.zero to four
B.four to seven
C.seven to nine
D.ten to more
解释:
D is correct.
考点:Backtesting VaR
解析:
If there is ten or more backtesting violations, capital multiplier need to be increased from three to four.
capital multiplier是不是就是那个k。k从3增加到4,增加了1,所以number of exceptions对应就是10+?
看了看历史提问,这个问题还属于考试范围吗。