NO.PZ2023091601000052
问题如下:
According to the Basel back-testing framework
guidelines, penalties start to apply if there are five or more exceptions
during the previous year. The Type I error rate of this test is 11 percent. If
the true coverage is 97 percent of exceptions instead of the required 99
percent, the power of the test is 87 percent. This implies that there is a
(an):
选项:
A.
89% probability
regulators will reject the correct model.
B.
11% probability
regulators will reject the incorrect model.
C.
87% probability
regulators will not reject the correct model.
D.
13% probability
regulators will not reject the incorrect model.
解释:
The power of the tat
refers to the probability of rejecting an incorrect model, which is one minus
the probability of not rejecting an incorrect model. Given that the power of
the test is 87 percent, the probability of a type 2 error, the probability of not
rejecting the incorrect model is 1.0 - 0.87 = 13%.
c与d不是一个意思么,为啥只有一个答案