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ciaoyy · 2019年08月10日

问一道题:NO.PZ2019070901000098 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

C为什么错了--上课不是有一道例题就是10-day Es吗?可以解释一下其他选项吗?
1 个答案
已采纳答案

orange品职答疑助手 · 2019年08月11日

同学你好,C选项也可以选的,请见截图。

A选项的话,是巴塞尔委员会最开始提出的一点,但在IMA里是没有涉及的。B选项的话,在ES这个表示式内,每一个ES是没有权重的,相关系数也是在之后的revised standardized approach里才有,在IMA里没有

pz-stepsutake · 2020年03月28日

既然现在的C选项也是对的,选项能改一下么?确保只有一个无可争议的答案。谢谢

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NO.PZ2019070901000098 问题如下 The Basel committee ten to utilize overlapping time perio for stress testing, so liquity horizons are incorporateinto the expecteshortfall calculations in the internmols-baseapproach. Whiof the following statements is correct? A.A series of trials are useto scale smaller time perio up to longer time perio. B.For fferent liquity horizons, approriate weights are assigne besis, the Basel Committee hto ci a correlation factor for it. C.Over a 250-y winw of time, expecteshortfall is measureover a base horizon of 20 ys. The expecteshortfall is baseon a waterfall of the liquity horizon categories anis then scaleto the square root of the fferenin the horizon lengths of the nesterisk factors. is correct.考点在内部模型法中使用liquity horizons来计算ES解析ES是基于一系列liquity horizon计算得出的,即ES=ES12+∑j=25[ESjLHj−LHj−110]2ES=\sqrt{ES_1^2+\sum_{j=2}^5\left[ES_j\sqrt{\frac{LH_j-LH_{j-1}}{10}}\right]^2}ES=ES12​+∑j=25​[ESj​10LHj​−LHj−1​​​]2​ 选A?

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