开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

cenwandada · 2024年07月25日

250这个样本数量从哪里来的啊

NO.PZ2023100703000042

问题如下:

A risk analyst is asked to verily a VaR model by checking the rate of exceedances of the model. In the past year, there were eight exceedances of the 99% VaR. Is this evidence sufficient to reject the hypothesis, using a 99% test confidence level, that this particular VaR model is unbiased?

选项:

A.No. because the computed z = 2.20.

B.No. because the computed z = 2.29.

C.Yes, because the computed z = 2.87.

D.Yes, because the computed z = 3.47.

解释:

To verify the accuracy of a VaR model by checking the rate of exceedances, the analyst can use the binomial test, particularly if the sample size is large enough. The Kupiec's Proportion of Failures (POF) test is one such test.

The POF test's test statistic is given by:​

250这个样本数量从哪里来的啊

1 个答案

pzqa39 · 2024年07月26日

嗨,努力学习的PZer你好:


月份如果按工作日计算,原版书上说通常为20-22天,没有一个统一的天数。一年250天是固定的,250可以直接记下来,题目没给就用这个。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!