NO.PZ2023100703000038
问题如下：
You are backtesting a bank’s VaR model. Currently, the bank calculates a 1-day VaR at the 99% confidence level, and you are recommending that is switch to a 95% confidence level. Which of the following statements concerning this switch is correct?
选项：
A.The 95% VaR model is less likely to be rejected using backtesting than the 99% VaR model.
B.When validating with backtesting at the 90% confidence level, there is a smaller probability of incorrectly rejecting a 95% VaR model when it is valid than a 99% VaR model.
C.The decision to accept or reject a VaR model based on backtesting results is more reliable with a 95% confidence level VaR model than with a 99% confidence level model.
D.When backtesting using a 90% confidence level, there is a smaller probability of committing a type I error when backtesting a 95% VaR model than with a 99% VaR model.
解释：
The concept tested here is the understanding of the difference between the VaR parameter for confidence (here, namely 95% vs 99%) and the validation procedure confidence level, and how they interact with one another. Using a VaR confidence level creates a narrower rejection region by allowing a greater number of exceptions to be generated. This in turn increases the power of the backtesting process and makes for a more reliable test.感觉4个选择都对吧。
