A：stress var都需backtesting计算multiplier
B：SRC怎么计算？也是计算10day var？问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
NO.PZ2019070901000119问题如下 Whiof the following statement is incorreregarng to the calculation of the market risk capitrequirement ?A.Only Vshoulbateste because the bank supervisors shoulintify if the Vmol usethe bank is effecient.B.The Vis calculateusing a 99% one-tail confininterval, ancalibrateinto a 10-y Vfor specific risks charge.C.The bank shoulcompare the previous y's Vto the average Vover the past 250 trang ys multiply the multiplicative factor.both VanstresseVare consirein calculating capitcharge of market risk.C is correct.考点market risk capitcharge解析C应该用过去60天的平均VaR乘以MC和过去一天的进行对比。A为什么对 svar不需要回溯吗
NO.PZ2019070901000119 问题如下 Whiof the following statement is incorreregarng to the calculation of the market risk capitrequirement ? A.Only Vshoulbateste because the bank supervisors shoulintify if the Vmol usethe bank is effecient. B.The Vis calculateusing a 99% one-tail confininterval, ancalibrateinto a 10-y Vfor specific risks charge. C.The bank shoulcompare the previous y's Vto the average Vover the past 250 trang ys multiply the multiplicative factor. both VanstresseVare consirein calculating capitcharge of market risk. C is correct.考点market risk capitcharge解析C应该用过去60天的平均VaR乘以MC和过去一天的进行对比。 不应该只有var被回溯测试哇
NO.PZ2019070901000119问题如下 Whiof the following statement is incorreregarng to the calculation of the market risk capitrequirement ?A.Only Vshoulbateste because the bank supervisors shoulintify if the Vmol usethe bank is effecient.B.The Vis calculateusing a 99% one-tail confininterval, ancalibrateinto a 10-y Vfor specific risks charge.C.The bank shoulcompare the previous y's Vto the average Vover the past 250 trang ys multiply the multiplicative factor.both VanstresseVare consirein calculating capitcharge of market risk.C is correct.考点market risk capitcharge解析C应该用过去60天的平均VaR乘以MC和过去一天的进行对比。如题。。。。。。。。。。。。
NO.PZ2019070901000119问题如下Whiof the following statement is incorreregarng to the calculation of the market risk capitrequirement ?A.Only Vshoulbateste because the bank supervisors shoulintify if the Vmol usethe bank is effecient.B.The Vis calculateusing a 99% one-tail confininterval, ancalibrateinto a 10-y Vfor specific risks charge.C.The bank shoulcompare the previous y's Vto the average Vover the past 250 trang ys multiply the multiplicative factor.both VanstresseVare consirein calculating capitcharge of market risk.C is correct.考点market risk capitcharge解析C应该用过去60天的平均VaR乘以MC和过去一天的进行对比。案为什么不对？感觉对呀
NO.PZ2019070901000119 问题如下 Whiof the following statement is incorreregarng to the calculation of the market risk capitrequirement ? A.Only Vshoulbateste because the bank supervisors shoulintify if the Vmol usethe bank is effecient. B.The Vis calculateusing a 99% one-tail confininterval, ancalibrateinto a 10-y Vfor specific risks charge. C.The bank shoulcompare the previous y's Vto the average Vover the past 250 trang ys multiply the multiplicative factor. both VanstresseVare consirein calculating capitcharge of market risk. C is correct.考点market risk capitcharge解析C应该用过去60天的平均VaR乘以MC和过去一天的进行对比。 老师sepecific capita reqirement的计算是不是就按照MR的计算方式考虑就可以了？有什么特别需要注意不同的地方吗？因为前面有道题问SCR用什么方法，选的是标准法和IRB（这又类似CR）
